From b1f236901eefef712913df2b565d7da44d770fa9 Mon Sep 17 00:00:00 2001 From: Enzo Busseti Date: Fri, 31 Jan 2025 12:32:05 +0400 Subject: [PATCH] [auto commit] ftse100_daily reconciliation & execution on 2025-01-31 --- .../ftse100_daily_initial_holdings.json | 275 ++++++++++++------ .../ftse100_daily_target_weights.json | 103 +++++++ 2 files changed, 292 insertions(+), 86 deletions(-) diff --git a/examples/strategies/ftse100_daily_initial_holdings.json b/examples/strategies/ftse100_daily_initial_holdings.json index 13fc65b3..54e9b612 100644 --- a/examples/strategies/ftse100_daily_initial_holdings.json +++ b/examples/strategies/ftse100_daily_initial_holdings.json @@ -24793,106 +24793,209 @@ "WTB.L": 11846.218070388411 }, "2025-01-30 08:00:00+00:00": { - "AAF.L": 25454.72496999161, - "AAL.L": 10964.991338602651, - "ABF.L": 9648.755715214382, - "ADM.L": 11284.197843947208, - "AHT.L": 21850.040060514428, + "AAF.L": 24711.521321232725, + "AAL.L": 10930.291998923538, + "ABF.L": 9641.154279514376, + "ADM.L": 11288.296717119727, + "AHT.L": 22026.657012504744, "ALW.L": 0.0, - "ANTO.L": 22488.26251931952, - "AUTO.L": 10967.12088647104, - "AV.L": 11658.989912059478, - "AZN.L": 11518.048280308296, - "BA.L": 10835.824371910268, - "BARC.L": 11223.243734339867, - "BATS.L": 10088.681701236117, - "BEZ.L": 11073.407070553467, - "BKG.L": 11366.93089742889, - "BLND.L": 3345.0208953537676, - "BNZL.L": 10435.679680952942, - "BP.L": 2471.3778548365394, + "ANTO.L": 22408.8220865165, + "AUTO.L": 10964.320122912444, + "AV.L": 11631.696554512991, + "AZN.L": 11507.802729445184, + "BA.L": 10849.4372165986, + "BARC.L": 11246.01570578948, + "BATS.L": 10155.939579244367, + "BEZ.L": 11047.104440932204, + "BKG.L": 11313.648408847193, + "BLND.L": 3350.498605471216, + "BNZL.L": 10441.793142980441, + "BP.L": 2466.047816374226, "BT-A.L": 0.0, - "BTRW.L": 11068.948390260488, + "BTRW.L": 11083.694031209992, "CCH.L": 0.0, "CNA.L": 11322.050575571173, - "CPG.L": 1.0857580918106194e-12, - "CRDA.L": 10183.335352286638, - "CTEC.L": 43.19085912138588, - "DCC.L": 21996.883047639665, - "DGE.L": 9990.208024855712, - "DPLM.L": 13319.514946930703, - "EDV.L": 4702.96096747952, - "ENT.L": 13242.153204135371, - "EXPN.L": 12279.999912086807, - "EZJ.L": 11144.360490738385, - "FCIT.L": 3.0548856236964086e-12, - "FRES.L": 11195.779401585625, - "GAW.L": 29523.41618108212, + "CPG.L": 1.0833977481327703e-12, + "CRDA.L": 10150.19432007505, + "CTEC.L": 42.77489684391936, + "DCC.L": 21877.226385549155, + "DGE.L": 9965.566196222977, + "DPLM.L": 13283.613289391804, + "EDV.L": 4613.15267402033, + "ENT.L": 13159.200761983118, + "EXPN.L": 12273.80415027445, + "EZJ.L": 11128.485748408153, + "FCIT.L": 3.0341040888413316e-12, + "FRES.L": 11162.704720931017, + "GAW.L": 29341.91977013284, "GBPOUND": 2910.9225285776597, - "GLEN.L": 3077.8625907857336, - "GSK.L": 11375.612208626731, - "HIK.L": 11503.05169718778, - "HL.L": 11321.591974676665, - "HLMA.L": 12521.78752004336, - "HLN.L": 12.427448257568297, - "HSBA.L": 11552.15230488462, - "HSX.L": 10851.699713585993, - "HWDN.L": 10795.14935775054, - "IAG.L": 11264.309273769662, - "ICG.L": 11726.15860172891, - "IHG.L": 22194.663770000465, - "III.L": 11617.82216330009, + "GLEN.L": 3064.5577092693693, + "GSK.L": 11440.965815570367, + "HIK.L": 11441.973546583245, + "HL.L": 11347.334566706393, + "HLMA.L": 12467.957084275971, + "HLN.L": 12.318782576034202, + "HSBA.L": 11556.300126158085, + "HSX.L": 10821.91462745538, + "HWDN.L": 10775.26878803092, + "IAG.L": 11271.126215852957, + "ICG.L": 11715.836279016119, + "IHG.L": 22142.831299729587, + "III.L": 11596.521808364749, "IMB.L": 10963.177931026092, - "IMI.L": 12036.892470610797, - "INF.L": 10912.557754594005, - "ITRK.L": 10454.944807289794, - "JD.L": 11562.557459742367, - "KGF.L": 11055.541159847591, + "IMI.L": 11969.783592163392, + "INF.L": 10873.997479842783, + "ITRK.L": 10475.60675354926, + "JD.L": 11646.227130109073, + "KGF.L": 11028.45572234362, "LAND.L": 0.0, - "LGEN.L": 11175.511768016546, + "LGEN.L": 11133.410919802787, "LLOY.L": 0.0, "LMP.L": 0.0, - "LSEG.L": 36435.78117335338, - "MKS.L": 327.2882792418198, - "MNDI.L": 11064.908322204417, - "MNG.L": 11243.768998114718, - "MRO.L": 46705.94312275383, - "NG.L": 10875.768852096298, - "NWG.L": 11242.095649170415, - "NXT.L": 9737.397188633895, + "LSEG.L": 36236.5948170651, + "MKS.L": 327.486708015017, + "MNDI.L": 11015.531449366994, + "MNG.L": 11227.629452599434, + "MRO.L": 46534.343845690244, + "NG.L": 10882.50975683758, + "NWG.L": 11288.797653757349, + "NXT.L": 9773.836512832526, "PHNX.L": 0.0, - "PRU.L": 11424.984150083345, - "PSH.L": 46303.163684238825, - "PSN.L": 11214.932505257142, - "PSON.L": 7924.750005629188, - "REL.L": 12056.239320326722, - "RIO.L": 11043.76201931665, - "RKT.L": 11026.335547469764, - "RMV.L": 19255.859805797387, - "RR.L": 11090.598196828634, - "RTO.L": 11320.034743776541, + "PRU.L": 11367.367383045028, + "PSH.L": 45927.25452347854, + "PSN.L": 11206.035295812278, + "PSON.L": 7915.689696933732, + "REL.L": 12031.993489617169, + "RIO.L": 11084.944475572642, + "RKT.L": 11013.734021129801, + "RMV.L": 19109.182024798025, + "RR.L": 11067.863566380345, + "RTO.L": 11317.164377184481, "SBRY.L": 0.0, "SDR.L": 11139.785738422695, - "SGE.L": 44530.12202949458, + "SGE.L": 44663.79594177825, "SGRO.L": 0.0, - "SHEL.L": 2653.7605025009557, - "SMDS.L": 10711.107039248092, + "SHEL.L": 2661.4525619284946, + "SMDS.L": 10720.085335173702, "SMIN.L": 0.0, - "SMT.L": 11708.565488310825, - "SN.L": 6181.31805541282, - "SPX.L": 7897.793069288741, - "SSE.L": 11162.092874859994, - "STAN.L": 11431.691937026584, - "STJ.L": 12016.032839280335, - "SVT.L": 9985.019691683032, - "TSCO.L": 13179.874842245503, + "SMT.L": 11636.936617088211, + "SN.L": 6202.549275426501, + "SPX.L": 7873.2657616201395, + "SSE.L": 11151.522711152733, + "STAN.L": 11463.47606660126, + "STJ.L": 11151.742764926503, + "SVT.L": 10046.003118138751, + "TSCO.L": 13172.730842636855, "TW.L": 10892.413544286072, - "ULVR.L": 9529.071861626184, - "UTG.L": 10831.914250140138, - "UU.L": 11263.133976992107, - "VOD.L": 11188.06544107192, - "WEIR.L": 10042.159047730489, - "WPP.L": 11254.661984663777, - "WTB.L": 11878.874770789202 + "ULVR.L": 9524.950290751776, + "UTG.L": 10818.996045906217, + "UU.L": 11274.41516058743, + "VOD.L": 11279.851100847956, + "WEIR.L": 9975.15548444288, + "WPP.L": 11242.818269776717, + "WTB.L": 11907.449383639905 + }, + "2025-01-31 08:00:00+00:00": { + "AAF.L": 26978.291882927933, + "AAL.L": 11052.896332456437, + "ABF.L": 9790.649181614594, + "ADM.L": 10935.79362428302, + "AHT.L": 22489.225220098397, + "ALW.L": 0.0, + "ANTO.L": 23031.10547680677, + "AUTO.L": 11115.55195367318, + "AV.L": 11713.578015385601, + "AZN.L": 11702.468195844283, + "BA.L": 11021.86658265077, + "BARC.L": 11183.390467724048, + "BATS.L": 10184.764384105032, + "BEZ.L": 11033.953126121569, + "BKG.L": 11467.575598083222, + "BLND.L": 3407.101145671657, + "BNZL.L": 10576.289307585586, + "BP.L": 2508.0962188825397, + "BT-A.L": 0.0, + "BTRW.L": 11270.470399916629, + "CCH.L": 0.0, + "CNA.L": 11322.050575571173, + "CPG.L": 1.0881184354884685e-12, + "CRDA.L": 10189.360994506918, + "CTEC.L": 42.982877982652624, + "DCC.L": 22116.539709730176, + "DGE.L": 9984.047567697526, + "DPLM.L": 13528.941282574253, + "EDV.L": 4891.558383743818, + "ENT.L": 13242.153204135371, + "EXPN.L": 12391.523624709182, + "EZJ.L": 11575.257625361945, + "FCIT.L": 3.0496902399826407e-12, + "FRES.L": 11758.048972713998, + "GAW.L": 29503.24991319885, + "GBPOUND": 2911.4427912614974, + "GLEN.L": 3146.604478620284, + "GSK.L": 11469.558018608202, + "HIK.L": 11553.950156024894, + "HL.L": 11337.037529894504, + "HLMA.L": 12799.221304382934, + "HLN.L": 12.48342815709609, + "HSBA.L": 11661.383047246747, + "HSX.L": 10811.986265411844, + "HWDN.L": 10801.776214323747, + "IAG.L": 11424.498051653147, + "ICG.L": 12046.150605825389, + "IHG.L": 22329.42819270481, + "III.L": 11800.396634174362, + "IMB.L": 11119.677090071542, + "IMI.L": 12213.815877426667, + "INF.L": 11115.641711381577, + "ITRK.L": 10547.923565457402, + "JD.L": 11778.478027280087, + "KGF.L": 11204.513477020253, + "LAND.L": 0.0, + "LGEN.L": 11325.205258979839, + "LLOY.L": 0.0, + "LMP.L": 0.0, + "LSEG.L": 36803.50983111645, + "MKS.L": 338.39962446929775, + "MNDI.L": 11087.352355312341, + "MNG.L": 11233.009574734991, + "MRO.L": 47673.13558569723, + "NG.L": 10981.38093136428, + "NWG.L": 11260.257671807705, + "NXT.L": 10083.570768520882, + "PHNX.L": 0.0, + "PRU.L": 11662.22795786312, + "PSH.L": 46502.174416406044, + "PSN.L": 11281.661576093658, + "PSON.L": 8151.257723015698, + "REL.L": 12250.205966003183, + "RIO.L": 11176.461045030415, + "RKT.L": 11236.360986469206, + "RMV.L": 19343.86647439701, + "RR.L": 11352.043556155608, + "RTO.L": 11394.659895605406, + "SBRY.L": 0.0, + "SDR.L": 11307.982668881761, + "SGE.L": 44663.79594177825, + "SGRO.L": 0.0, + "SHEL.L": 2734.270724509196, + "SMDS.L": 10558.47600851279, + "SMIN.L": 0.0, + "SMT.L": 11962.021494175428, + "SN.L": 6254.110809745454, + "SPX.L": 8035.145992232887, + "SSE.L": 11331.215494176055, + "STAN.L": 11527.044325750621, + "STJ.L": 12388.157732404903, + "SVT.L": 10245.21564456077, + "TSCO.L": 13333.461023639848, + "TW.L": 11075.94199962437, + "ULVR.L": 9644.475846109539, + "UTG.L": 10935.259884011479, + "UU.L": 11551.932001612908, + "VOD.L": 11286.407398044214, + "WEIR.L": 10167.79072889476, + "WPP.L": 11488.578742248954, + "WTB.L": 11621.703255132941 } } \ No newline at end of file diff --git a/examples/strategies/ftse100_daily_target_weights.json b/examples/strategies/ftse100_daily_target_weights.json index 352861d4..45c45dc1 100644 --- a/examples/strategies/ftse100_daily_target_weights.json +++ b/examples/strategies/ftse100_daily_target_weights.json @@ -21731,5 +21731,108 @@ "WEIR.L": 0.009999999893355692, "WPP.L": 0.009999995190851933, "WTB.L": 0.00999998805727478 + }, + "2025-01-31 08:00:00+00:00": { + "AAF.L": 0.023985233319258992, + "AAL.L": 0.010000000515981555, + "ABF.L": 0.00900517166288743, + "ADM.L": 0.010000011831277952, + "AHT.L": 0.01831350002317856, + "ALW.L": 2.6536852323012845e-08, + "ANTO.L": 0.02036964728587819, + "AUTO.L": 0.010000000987609628, + "AV.L": 0.011055659495961366, + "AZN.L": 0.01000000994576293, + "BA.L": 0.01000000186726822, + "BARC.L": 0.009999999649079654, + "BATS.L": 0.010000003343277889, + "BEZ.L": 0.01000000728051824, + "BKG.L": 0.010000000308475641, + "BLND.L": 0.003011609360629034, + "BNZL.L": 0.009999995122776786, + "BP.L": 0.0022169935153712383, + "BT-A.L": 1.8253310691800876e-08, + "BTRW.L": 0.01000000128410125, + "CCH.L": 3.477884822953438e-08, + "CNA.L": 0.009999996420627977, + "CPG.L": 0.0003169165107069468, + "CRDA.L": 0.009999993709926061, + "CTEC.L": 3.7962210274669354e-05, + "DCC.L": 0.019729144900243606, + "DGE.L": 0.009305492499429737, + "DPLM.L": 0.010000082890137818, + "EDV.L": 0.004668757133397277, + "ENT.L": 0.01163687234154203, + "EXPN.L": 0.01000000187898426, + "EZJ.L": 0.009999992635944461, + "FCIT.L": 1.572843398352443e-08, + "FRES.L": 0.010000000997757079, + "GAW.L": 0.02663324593189399, + "GBPOUND": 2.367977590790951e-08, + "GLEN.L": 0.0027625653634614365, + "GSK.L": 0.009999995842469012, + "HIK.L": 0.010000007607355647, + "HL.L": 0.01000000416217567, + "HLMA.L": 0.010000007474580422, + "HLN.L": 7.881244754273883e-08, + "HSBA.L": 0.010000002268763747, + "HSX.L": 0.010000001982578194, + "HWDN.L": 0.009999999097791864, + "IAG.L": 0.009999998723966962, + "ICG.L": 0.010000008642230896, + "IHG.L": 0.019720466433330194, + "III.L": 0.010000002280930809, + "IMB.L": 0.010000012162314291, + "IMI.L": 0.009999998001702173, + "INF.L": 0.00999997373073479, + "ITRK.L": 0.009999998914114848, + "JD.L": 0.01002260088288853, + "KGF.L": 0.009999990628904637, + "LAND.L": 1.1697019307539946e-08, + "LGEN.L": 0.01000000067508336, + "LLOY.L": 4.7829863307452444e-08, + "LMP.L": 3.6576701557799305e-08, + "LSEG.L": 0.030414738928119023, + "MKS.L": 0.00024009007740607836, + "MNDI.L": 0.009999994878509973, + "MNG.L": 0.009999998937091779, + "MRO.L": 0.0421383370402453, + "NG.L": 0.00999999050915608, + "NWG.L": 0.009999996749076267, + "NXT.L": 0.010000005519544677, + "PHNX.L": 2.3933930829793532e-08, + "PRU.L": 0.009999999742113139, + "PSH.L": 0.041016081399364995, + "PSN.L": 0.009999999540363704, + "PSON.L": 0.0075086716666637986, + "REL.L": 0.009999997894121367, + "RIO.L": 0.010000001959206209, + "RKT.L": 0.009999996506352955, + "RMV.L": 0.017098112707509414, + "RR.L": 0.009999999389379836, + "RTO.L": 0.010000000293915175, + "SBRY.L": 3.267352000273241e-08, + "SDR.L": 0.009999995606807864, + "SGE.L": 0.03945356619620037, + "SGRO.L": 3.4375503622988484e-08, + "SHEL.L": 0.0019536778393838767, + "SMDS.L": 0.009999998086229292, + "SMIN.L": 7.084687501876103e-05, + "SMT.L": 0.009999997467395593, + "SN.L": 0.005528134066193134, + "SPX.L": 0.009999988371736634, + "SSE.L": 0.00999999766890101, + "STAN.L": 0.009999999704235388, + "STJ.L": 0.010000001607467016, + "SVT.L": 0.010000000818672644, + "TSCO.L": 0.011785494331299945, + "TW.L": 0.009999993829802737, + "ULVR.L": 0.009999979889906472, + "UTG.L": 0.010000003185788675, + "UU.L": 0.009999997031650458, + "VOD.L": 0.009999998802213155, + "WEIR.L": 0.00999999979690706, + "WPP.L": 0.009999997165397227, + "WTB.L": 0.009999991308907764 } } \ No newline at end of file