lasso.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "id": "37a9240d",
   "metadata": {},
   "outputs": [],
   "source": [
    "import pandas as pd\n",
    "import numpy as np\n",
    "import yfinance as yf\n",
    "from sklearn import linear_model"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "id": "e2cc88b9",
   "metadata": {},
   "outputs": [],
   "source": [
    "nasdaq_100_tickers = [\"AAPL\", \"MSFT\", \"AMZN\", \"GOOGL\", \"GOOG\", \"TSLA\", \"META\", \"NVDA\", \"PYPL\", \"NFLX\",\n",
    "    \"ASML\", \"ADBE\", \"INTC\", \"CMCSA\", \"CSCO\", \"PEP\", \"AVGO\", \"TMUS\", \"COST\", \"PDD\",\n",
    "    \"TXN\", \"QCOM\", \"AMAT\", \"MU\", \"AMGN\", \"INTU\", \"ISRG\", \"ZM\", \"CSX\", \"VRTX\",\n",
    "    \"JD\", \"GILD\", \"BIDU\", \"MRVL\", \"REGN\", \"MDLZ\", \"ADSK\", \"ATVI\", \"BIIB\", \"ILMN\",\n",
    "    \"LRCX\", \"ADP\", \"BKNG\", \"MELI\", \"KLAC\", \"DOCU\", \"NXPI\", \"MNST\", \"WDAY\", \"ROST\",\n",
    "    \"KDP\", \"EA\", \"ALGN\", \"ADI\", \"IDXX\", \"DXCM\", \"XEL\", \"CTAS\", \"EXC\", \"MAR\",\n",
    "    \"SNPS\", \"ASAN\", \"CDNS\", \"CPRT\", \"SGEN\", \"SPLK\", \"ORLY\", \"DLTR\", \"MTCH\",\n",
    "    \"MCHP\", \"INCY\", \"PCAR\", \"CTSH\", \"FAST\", \"VRSK\", \"CHKP\", \"FOXA\", \"FOX\", \"ANSS\",\n",
    "    \"SWKS\", \"OKTA\", \"TTD\", \"CDW\", \"TEAM\", \"WBA\", \"LULU\", \"PAYX\",\n",
    "    \"VRSN\", \"AEP\", \"ZBRA\", \"PTON\", \"TCOM\", \"NTES\", \"BMRN\", \"ULTA\", \"EXPE\",\n",
    "    \"CSGP\", \"SIRI\", \"EBAY\", \"WDC\"\n",
    "    ]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "id": "b3026763",
   "metadata": {},
   "outputs": [],
   "source": [
    "training_data=pd.read_csv('training_full_data.csv', header=0)\n",
    "training_data=training_data.set_index(['ticker', 'Date'])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "id": "99d2551d",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th>Open</th>\n",
       "      <th>High</th>\n",
       "      <th>Low</th>\n",
       "      <th>Close</th>\n",
       "      <th>Adj Close</th>\n",
       "      <th>Volume</th>\n",
       "      <th>returns</th>\n",
       "      <th>ret_fwd</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ticker</th>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">AAPL</th>\n",
       "      <th>2016/01/05</th>\n",
       "      <td>26.437500</td>\n",
       "      <td>26.462500</td>\n",
       "      <td>25.602501</td>\n",
       "      <td>25.677500</td>\n",
       "      <td>23.376617</td>\n",
       "      <td>223164000</td>\n",
       "      <td>-0.660000</td>\n",
       "      <td>-0.025059</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/01/06</th>\n",
       "      <td>25.139999</td>\n",
       "      <td>25.592501</td>\n",
       "      <td>24.967501</td>\n",
       "      <td>25.174999</td>\n",
       "      <td>22.919142</td>\n",
       "      <td>273829600</td>\n",
       "      <td>-0.502501</td>\n",
       "      <td>-0.019570</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/01/07</th>\n",
       "      <td>24.670000</td>\n",
       "      <td>25.032499</td>\n",
       "      <td>24.107500</td>\n",
       "      <td>24.112499</td>\n",
       "      <td>21.951851</td>\n",
       "      <td>324377600</td>\n",
       "      <td>-1.062500</td>\n",
       "      <td>-0.042205</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/01/08</th>\n",
       "      <td>24.637501</td>\n",
       "      <td>24.777500</td>\n",
       "      <td>24.190001</td>\n",
       "      <td>24.240000</td>\n",
       "      <td>22.067924</td>\n",
       "      <td>283192000</td>\n",
       "      <td>0.127501</td>\n",
       "      <td>0.005288</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/01/11</th>\n",
       "      <td>24.742500</td>\n",
       "      <td>24.764999</td>\n",
       "      <td>24.334999</td>\n",
       "      <td>24.632500</td>\n",
       "      <td>22.425255</td>\n",
       "      <td>198957600</td>\n",
       "      <td>0.392500</td>\n",
       "      <td>0.016192</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">WDC</th>\n",
       "      <th>2020/12/23</th>\n",
       "      <td>49.950001</td>\n",
       "      <td>50.599998</td>\n",
       "      <td>49.410000</td>\n",
       "      <td>49.930000</td>\n",
       "      <td>49.930000</td>\n",
       "      <td>2685500</td>\n",
       "      <td>0.209999</td>\n",
       "      <td>0.004224</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/24</th>\n",
       "      <td>50.310001</td>\n",
       "      <td>50.380001</td>\n",
       "      <td>49.349998</td>\n",
       "      <td>49.919998</td>\n",
       "      <td>49.919998</td>\n",
       "      <td>1224500</td>\n",
       "      <td>-0.010002</td>\n",
       "      <td>-0.000200</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/28</th>\n",
       "      <td>50.590000</td>\n",
       "      <td>50.970001</td>\n",
       "      <td>49.630001</td>\n",
       "      <td>50.060001</td>\n",
       "      <td>50.060001</td>\n",
       "      <td>2763400</td>\n",
       "      <td>0.140003</td>\n",
       "      <td>0.002805</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/29</th>\n",
       "      <td>50.639999</td>\n",
       "      <td>50.639999</td>\n",
       "      <td>48.230000</td>\n",
       "      <td>48.290001</td>\n",
       "      <td>48.290001</td>\n",
       "      <td>4622400</td>\n",
       "      <td>-1.770000</td>\n",
       "      <td>-0.035358</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/30</th>\n",
       "      <td>48.279999</td>\n",
       "      <td>50.290001</td>\n",
       "      <td>48.279999</td>\n",
       "      <td>49.529999</td>\n",
       "      <td>49.529999</td>\n",
       "      <td>3965400</td>\n",
       "      <td>1.239998</td>\n",
       "      <td>0.025678</td>\n",
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       "<p>119409 rows × 8 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                        Open       High        Low      Close  Adj Close  \\\n",
       "ticker Date                                                                \n",
       "AAPL   2016/01/05  26.437500  26.462500  25.602501  25.677500  23.376617   \n",
       "       2016/01/06  25.139999  25.592501  24.967501  25.174999  22.919142   \n",
       "       2016/01/07  24.670000  25.032499  24.107500  24.112499  21.951851   \n",
       "       2016/01/08  24.637501  24.777500  24.190001  24.240000  22.067924   \n",
       "       2016/01/11  24.742500  24.764999  24.334999  24.632500  22.425255   \n",
       "...                      ...        ...        ...        ...        ...   \n",
       "WDC    2020/12/23  49.950001  50.599998  49.410000  49.930000  49.930000   \n",
       "       2020/12/24  50.310001  50.380001  49.349998  49.919998  49.919998   \n",
       "       2020/12/28  50.590000  50.970001  49.630001  50.060001  50.060001   \n",
       "       2020/12/29  50.639999  50.639999  48.230000  48.290001  48.290001   \n",
       "       2020/12/30  48.279999  50.290001  48.279999  49.529999  49.529999   \n",
       "\n",
       "                      Volume   returns   ret_fwd  \n",
       "ticker Date                                       \n",
       "AAPL   2016/01/05  223164000 -0.660000 -0.025059  \n",
       "       2016/01/06  273829600 -0.502501 -0.019570  \n",
       "       2016/01/07  324377600 -1.062500 -0.042205  \n",
       "       2016/01/08  283192000  0.127501  0.005288  \n",
       "       2016/01/11  198957600  0.392500  0.016192  \n",
       "...                      ...       ...       ...  \n",
       "WDC    2020/12/23    2685500  0.209999  0.004224  \n",
       "       2020/12/24    1224500 -0.010002 -0.000200  \n",
       "       2020/12/28    2763400  0.140003  0.002805  \n",
       "       2020/12/29    4622400 -1.770000 -0.035358  \n",
       "       2020/12/30    3965400  1.239998  0.025678  \n",
       "\n",
       "[119409 rows x 8 columns]"
      ]
     },
     "execution_count": 4,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "training_data"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "id": "98a79577",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>AAPL</th>\n",
       "      <th>MSFT</th>\n",
       "      <th>AMZN</th>\n",
       "      <th>GOOGL</th>\n",
       "      <th>GOOG</th>\n",
       "      <th>TSLA</th>\n",
       "      <th>META</th>\n",
       "      <th>NVDA</th>\n",
       "      <th>PYPL</th>\n",
       "      <th>NFLX</th>\n",
       "      <th>...</th>\n",
       "      <th>PTON</th>\n",
       "      <th>TCOM</th>\n",
       "      <th>NTES</th>\n",
       "      <th>BMRN</th>\n",
       "      <th>ULTA</th>\n",
       "      <th>EXPE</th>\n",
       "      <th>CSGP</th>\n",
       "      <th>SIRI</th>\n",
       "      <th>EBAY</th>\n",
       "      <th>WDC</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
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       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
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       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2016/01/05</th>\n",
       "      <td>23.376617</td>\n",
       "      <td>48.921055</td>\n",
       "      <td>31.689501</td>\n",
       "      <td>38.076500</td>\n",
       "      <td>37.129002</td>\n",
       "      <td>14.895333</td>\n",
       "      <td>102.730003</td>\n",
       "      <td>8.027896</td>\n",
       "      <td>34.310001</td>\n",
       "      <td>107.660004</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>47.689999</td>\n",
       "      <td>30.877262</td>\n",
       "      <td>103.449997</td>\n",
       "      <td>182.669998</td>\n",
       "      <td>114.849823</td>\n",
       "      <td>19.973000</td>\n",
       "      <td>3.475622</td>\n",
       "      <td>24.208334</td>\n",
       "      <td>51.900974</td>\n",
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       "    <tr>\n",
       "      <th>2016/01/06</th>\n",
       "      <td>22.919142</td>\n",
       "      <td>48.032391</td>\n",
       "      <td>31.632500</td>\n",
       "      <td>37.966499</td>\n",
       "      <td>37.181000</td>\n",
       "      <td>14.602667</td>\n",
       "      <td>102.970001</td>\n",
       "      <td>7.695942</td>\n",
       "      <td>33.980000</td>\n",
       "      <td>117.680000</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>47.889999</td>\n",
       "      <td>30.843512</td>\n",
       "      <td>100.440002</td>\n",
       "      <td>183.210007</td>\n",
       "      <td>113.997566</td>\n",
       "      <td>19.487000</td>\n",
       "      <td>3.457844</td>\n",
       "      <td>24.477110</td>\n",
       "      <td>50.744545</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/01/07</th>\n",
       "      <td>21.951851</td>\n",
       "      <td>46.361698</td>\n",
       "      <td>30.396999</td>\n",
       "      <td>37.049999</td>\n",
       "      <td>36.319500</td>\n",
       "      <td>14.376667</td>\n",
       "      <td>97.919998</td>\n",
       "      <td>7.390838</td>\n",
       "      <td>33.130001</td>\n",
       "      <td>114.559998</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>45.250000</td>\n",
       "      <td>29.369446</td>\n",
       "      <td>97.089996</td>\n",
       "      <td>182.979996</td>\n",
       "      <td>109.946747</td>\n",
       "      <td>18.429001</td>\n",
       "      <td>3.413398</td>\n",
       "      <td>23.809803</td>\n",
       "      <td>49.907436</td>\n",
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       "    <tr>\n",
       "      <th>2016/01/08</th>\n",
       "      <td>22.067924</td>\n",
       "      <td>46.503891</td>\n",
       "      <td>30.352501</td>\n",
       "      <td>36.545502</td>\n",
       "      <td>35.723499</td>\n",
       "      <td>14.066667</td>\n",
       "      <td>97.330002</td>\n",
       "      <td>7.232183</td>\n",
       "      <td>32.689999</td>\n",
       "      <td>111.389999</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>45.029999</td>\n",
       "      <td>29.030231</td>\n",
       "      <td>95.750000</td>\n",
       "      <td>182.169998</td>\n",
       "      <td>106.690742</td>\n",
       "      <td>18.212000</td>\n",
       "      <td>3.386731</td>\n",
       "      <td>23.865412</td>\n",
       "      <td>47.801704</td>\n",
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       "    <tr>\n",
       "      <th>2016/01/11</th>\n",
       "      <td>22.425255</td>\n",
       "      <td>46.477219</td>\n",
       "      <td>30.886999</td>\n",
       "      <td>36.653500</td>\n",
       "      <td>35.801498</td>\n",
       "      <td>13.856667</td>\n",
       "      <td>97.510002</td>\n",
       "      <td>7.244387</td>\n",
       "      <td>33.040001</td>\n",
       "      <td>114.970001</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>43.619999</td>\n",
       "      <td>28.200846</td>\n",
       "      <td>93.290001</td>\n",
       "      <td>182.000000</td>\n",
       "      <td>106.489632</td>\n",
       "      <td>18.011999</td>\n",
       "      <td>3.395620</td>\n",
       "      <td>24.189802</td>\n",
       "      <td>45.566536</td>\n",
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       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/23</th>\n",
       "      <td>128.687256</td>\n",
       "      <td>215.239517</td>\n",
       "      <td>159.263504</td>\n",
       "      <td>86.411499</td>\n",
       "      <td>86.619003</td>\n",
       "      <td>215.326660</td>\n",
       "      <td>268.109985</td>\n",
       "      <td>129.811371</td>\n",
       "      <td>239.440002</td>\n",
       "      <td>514.479980</td>\n",
       "      <td>...</td>\n",
       "      <td>162.759995</td>\n",
       "      <td>32.630001</td>\n",
       "      <td>89.001801</td>\n",
       "      <td>88.300003</td>\n",
       "      <td>268.459991</td>\n",
       "      <td>126.489998</td>\n",
       "      <td>90.775002</td>\n",
       "      <td>5.767800</td>\n",
       "      <td>48.795238</td>\n",
       "      <td>49.930000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/24</th>\n",
       "      <td>129.679718</td>\n",
       "      <td>216.924255</td>\n",
       "      <td>158.634506</td>\n",
       "      <td>86.708000</td>\n",
       "      <td>86.942497</td>\n",
       "      <td>220.589996</td>\n",
       "      <td>267.399994</td>\n",
       "      <td>129.656693</td>\n",
       "      <td>238.639999</td>\n",
       "      <td>513.969971</td>\n",
       "      <td>...</td>\n",
       "      <td>162.720001</td>\n",
       "      <td>31.990000</td>\n",
       "      <td>89.078705</td>\n",
       "      <td>88.660004</td>\n",
       "      <td>264.640015</td>\n",
       "      <td>126.959999</td>\n",
       "      <td>90.663002</td>\n",
       "      <td>5.804596</td>\n",
       "      <td>47.831356</td>\n",
       "      <td>49.919998</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/28</th>\n",
       "      <td>134.317825</td>\n",
       "      <td>219.076462</td>\n",
       "      <td>164.197998</td>\n",
       "      <td>88.697998</td>\n",
       "      <td>88.804497</td>\n",
       "      <td>221.229996</td>\n",
       "      <td>277.000000</td>\n",
       "      <td>128.721222</td>\n",
       "      <td>235.729996</td>\n",
       "      <td>519.119995</td>\n",
       "      <td>...</td>\n",
       "      <td>152.179993</td>\n",
       "      <td>31.900000</td>\n",
       "      <td>87.607826</td>\n",
       "      <td>87.580002</td>\n",
       "      <td>278.170013</td>\n",
       "      <td>128.479996</td>\n",
       "      <td>93.949997</td>\n",
       "      <td>5.841393</td>\n",
       "      <td>47.945881</td>\n",
       "      <td>50.060001</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/29</th>\n",
       "      <td>132.529388</td>\n",
       "      <td>218.287643</td>\n",
       "      <td>166.100006</td>\n",
       "      <td>87.888000</td>\n",
       "      <td>87.935997</td>\n",
       "      <td>221.996674</td>\n",
       "      <td>276.779999</td>\n",
       "      <td>129.152786</td>\n",
       "      <td>231.029999</td>\n",
       "      <td>530.869995</td>\n",
       "      <td>...</td>\n",
       "      <td>150.100006</td>\n",
       "      <td>32.029999</td>\n",
       "      <td>89.828545</td>\n",
       "      <td>86.180000</td>\n",
       "      <td>277.339996</td>\n",
       "      <td>131.300003</td>\n",
       "      <td>91.821999</td>\n",
       "      <td>5.896586</td>\n",
       "      <td>48.537563</td>\n",
       "      <td>48.290001</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/30</th>\n",
       "      <td>131.399353</td>\n",
       "      <td>215.882248</td>\n",
       "      <td>164.292496</td>\n",
       "      <td>86.812500</td>\n",
       "      <td>86.975998</td>\n",
       "      <td>231.593338</td>\n",
       "      <td>271.869995</td>\n",
       "      <td>131.173431</td>\n",
       "      <td>231.509995</td>\n",
       "      <td>524.590027</td>\n",
       "      <td>...</td>\n",
       "      <td>154.960007</td>\n",
       "      <td>33.250000</td>\n",
       "      <td>92.222313</td>\n",
       "      <td>86.959999</td>\n",
       "      <td>282.980011</td>\n",
       "      <td>132.119995</td>\n",
       "      <td>92.496002</td>\n",
       "      <td>5.896586</td>\n",
       "      <td>48.241714</td>\n",
       "      <td>49.529999</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>1257 rows × 100 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                  AAPL        MSFT        AMZN      GOOGL       GOOG  \\\n",
       "Date                                                                   \n",
       "2016/01/05   23.376617   48.921055   31.689501  38.076500  37.129002   \n",
       "2016/01/06   22.919142   48.032391   31.632500  37.966499  37.181000   \n",
       "2016/01/07   21.951851   46.361698   30.396999  37.049999  36.319500   \n",
       "2016/01/08   22.067924   46.503891   30.352501  36.545502  35.723499   \n",
       "2016/01/11   22.425255   46.477219   30.886999  36.653500  35.801498   \n",
       "...                ...         ...         ...        ...        ...   \n",
       "2020/12/23  128.687256  215.239517  159.263504  86.411499  86.619003   \n",
       "2020/12/24  129.679718  216.924255  158.634506  86.708000  86.942497   \n",
       "2020/12/28  134.317825  219.076462  164.197998  88.697998  88.804497   \n",
       "2020/12/29  132.529388  218.287643  166.100006  87.888000  87.935997   \n",
       "2020/12/30  131.399353  215.882248  164.292496  86.812500  86.975998   \n",
       "\n",
       "                  TSLA        META        NVDA        PYPL        NFLX  ...  \\\n",
       "Date                                                                    ...   \n",
       "2016/01/05   14.895333  102.730003    8.027896   34.310001  107.660004  ...   \n",
       "2016/01/06   14.602667  102.970001    7.695942   33.980000  117.680000  ...   \n",
       "2016/01/07   14.376667   97.919998    7.390838   33.130001  114.559998  ...   \n",
       "2016/01/08   14.066667   97.330002    7.232183   32.689999  111.389999  ...   \n",
       "2016/01/11   13.856667   97.510002    7.244387   33.040001  114.970001  ...   \n",
       "...                ...         ...         ...         ...         ...  ...   \n",
       "2020/12/23  215.326660  268.109985  129.811371  239.440002  514.479980  ...   \n",
       "2020/12/24  220.589996  267.399994  129.656693  238.639999  513.969971  ...   \n",
       "2020/12/28  221.229996  277.000000  128.721222  235.729996  519.119995  ...   \n",
       "2020/12/29  221.996674  276.779999  129.152786  231.029999  530.869995  ...   \n",
       "2020/12/30  231.593338  271.869995  131.173431  231.509995  524.590027  ...   \n",
       "\n",
       "                  PTON       TCOM       NTES        BMRN        ULTA  \\\n",
       "Date                                                                   \n",
       "2016/01/05         NaN  47.689999  30.877262  103.449997  182.669998   \n",
       "2016/01/06         NaN  47.889999  30.843512  100.440002  183.210007   \n",
       "2016/01/07         NaN  45.250000  29.369446   97.089996  182.979996   \n",
       "2016/01/08         NaN  45.029999  29.030231   95.750000  182.169998   \n",
       "2016/01/11         NaN  43.619999  28.200846   93.290001  182.000000   \n",
       "...                ...        ...        ...         ...         ...   \n",
       "2020/12/23  162.759995  32.630001  89.001801   88.300003  268.459991   \n",
       "2020/12/24  162.720001  31.990000  89.078705   88.660004  264.640015   \n",
       "2020/12/28  152.179993  31.900000  87.607826   87.580002  278.170013   \n",
       "2020/12/29  150.100006  32.029999  89.828545   86.180000  277.339996   \n",
       "2020/12/30  154.960007  33.250000  92.222313   86.959999  282.980011   \n",
       "\n",
       "                  EXPE       CSGP      SIRI       EBAY        WDC  \n",
       "Date                                                               \n",
       "2016/01/05  114.849823  19.973000  3.475622  24.208334  51.900974  \n",
       "2016/01/06  113.997566  19.487000  3.457844  24.477110  50.744545  \n",
       "2016/01/07  109.946747  18.429001  3.413398  23.809803  49.907436  \n",
       "2016/01/08  106.690742  18.212000  3.386731  23.865412  47.801704  \n",
       "2016/01/11  106.489632  18.011999  3.395620  24.189802  45.566536  \n",
       "...                ...        ...       ...        ...        ...  \n",
       "2020/12/23  126.489998  90.775002  5.767800  48.795238  49.930000  \n",
       "2020/12/24  126.959999  90.663002  5.804596  47.831356  49.919998  \n",
       "2020/12/28  128.479996  93.949997  5.841393  47.945881  50.060001  \n",
       "2020/12/29  131.300003  91.821999  5.896586  48.537563  48.290001  \n",
       "2020/12/30  132.119995  92.496002  5.896586  48.241714  49.529999  \n",
       "\n",
       "[1257 rows x 100 columns]"
      ]
     },
     "execution_count": 5,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "training_adj_close=pd.DataFrame()\n",
    "training_log_ret=pd.DataFrame()\n",
    "for ticker in nasdaq_100_tickers:\n",
    "    training_adj_close[ticker]=training_data.loc[ticker]['Adj Close']\n",
    "    daily_log_return = np.log(training_adj_close[ticker] / training_adj_close[ticker].shift(1))\n",
    "    training_log_ret[ticker] = daily_log_return\n",
    "training_adj_close"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "id": "1a384975",
   "metadata": {},
   "outputs": [],
   "source": [
    "training_log_ret=training_log_ret.iloc[1:, :]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "id": "8625f6ce",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>AAPL</th>\n",
       "      <th>MSFT</th>\n",
       "      <th>AMZN</th>\n",
       "      <th>GOOGL</th>\n",
       "      <th>GOOG</th>\n",
       "      <th>TSLA</th>\n",
       "      <th>META</th>\n",
       "      <th>NVDA</th>\n",
       "      <th>PYPL</th>\n",
       "      <th>NFLX</th>\n",
       "      <th>...</th>\n",
       "      <th>PTON</th>\n",
       "      <th>TCOM</th>\n",
       "      <th>NTES</th>\n",
       "      <th>BMRN</th>\n",
       "      <th>ULTA</th>\n",
       "      <th>EXPE</th>\n",
       "      <th>CSGP</th>\n",
       "      <th>SIRI</th>\n",
       "      <th>EBAY</th>\n",
       "      <th>WDC</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2016/01/06</th>\n",
       "      <td>-0.019764</td>\n",
       "      <td>-0.018332</td>\n",
       "      <td>-0.001800</td>\n",
       "      <td>-0.002893</td>\n",
       "      <td>0.001399</td>\n",
       "      <td>-0.019844</td>\n",
       "      <td>0.002333</td>\n",
       "      <td>-0.042229</td>\n",
       "      <td>-0.009665</td>\n",
       "      <td>0.088991</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0.004185</td>\n",
       "      <td>-0.001094</td>\n",
       "      <td>-0.029528</td>\n",
       "      <td>0.002952</td>\n",
       "      <td>-0.007448</td>\n",
       "      <td>-0.024634</td>\n",
       "      <td>-0.005128</td>\n",
       "      <td>0.011041</td>\n",
       "      <td>-0.022533</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/01/07</th>\n",
       "      <td>-0.043121</td>\n",
       "      <td>-0.035402</td>\n",
       "      <td>-0.039841</td>\n",
       "      <td>-0.024436</td>\n",
       "      <td>-0.023443</td>\n",
       "      <td>-0.015598</td>\n",
       "      <td>-0.050287</td>\n",
       "      <td>-0.040452</td>\n",
       "      <td>-0.025333</td>\n",
       "      <td>-0.026870</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>-0.056704</td>\n",
       "      <td>-0.048972</td>\n",
       "      <td>-0.033922</td>\n",
       "      <td>-0.001256</td>\n",
       "      <td>-0.036181</td>\n",
       "      <td>-0.055822</td>\n",
       "      <td>-0.012937</td>\n",
       "      <td>-0.027641</td>\n",
       "      <td>-0.016634</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/01/08</th>\n",
       "      <td>0.005274</td>\n",
       "      <td>0.003062</td>\n",
       "      <td>-0.001465</td>\n",
       "      <td>-0.013710</td>\n",
       "      <td>-0.016546</td>\n",
       "      <td>-0.021799</td>\n",
       "      <td>-0.006044</td>\n",
       "      <td>-0.021700</td>\n",
       "      <td>-0.013370</td>\n",
       "      <td>-0.028061</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>-0.004874</td>\n",
       "      <td>-0.011617</td>\n",
       "      <td>-0.013898</td>\n",
       "      <td>-0.004437</td>\n",
       "      <td>-0.030062</td>\n",
       "      <td>-0.011845</td>\n",
       "      <td>-0.007843</td>\n",
       "      <td>0.002333</td>\n",
       "      <td>-0.043109</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/01/11</th>\n",
       "      <td>0.016063</td>\n",
       "      <td>-0.000574</td>\n",
       "      <td>0.017456</td>\n",
       "      <td>0.002951</td>\n",
       "      <td>0.002181</td>\n",
       "      <td>-0.015041</td>\n",
       "      <td>0.001848</td>\n",
       "      <td>0.001686</td>\n",
       "      <td>0.010650</td>\n",
       "      <td>0.031634</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>-0.031813</td>\n",
       "      <td>-0.028986</td>\n",
       "      <td>-0.026028</td>\n",
       "      <td>-0.000934</td>\n",
       "      <td>-0.001887</td>\n",
       "      <td>-0.011043</td>\n",
       "      <td>0.002621</td>\n",
       "      <td>0.013501</td>\n",
       "      <td>-0.047888</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/01/12</th>\n",
       "      <td>0.014409</td>\n",
       "      <td>0.009136</td>\n",
       "      <td>0.000243</td>\n",
       "      <td>0.016599</td>\n",
       "      <td>0.013924</td>\n",
       "      <td>0.010148</td>\n",
       "      <td>0.018895</td>\n",
       "      <td>0.016706</td>\n",
       "      <td>0.001210</td>\n",
       "      <td>0.013907</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0.021994</td>\n",
       "      <td>0.012952</td>\n",
       "      <td>-0.001931</td>\n",
       "      <td>0.019695</td>\n",
       "      <td>0.006275</td>\n",
       "      <td>0.028191</td>\n",
       "      <td>-0.007884</td>\n",
       "      <td>0.004205</td>\n",
       "      <td>-0.008368</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/23</th>\n",
       "      <td>-0.007001</td>\n",
       "      <td>-0.013125</td>\n",
       "      <td>-0.006649</td>\n",
       "      <td>0.004646</td>\n",
       "      <td>0.005139</td>\n",
       "      <td>0.008769</td>\n",
       "      <td>0.003812</td>\n",
       "      <td>-0.020467</td>\n",
       "      <td>-0.016773</td>\n",
       "      <td>-0.024670</td>\n",
       "      <td>...</td>\n",
       "      <td>0.009569</td>\n",
       "      <td>-0.009759</td>\n",
       "      <td>0.000865</td>\n",
       "      <td>-0.000566</td>\n",
       "      <td>0.012633</td>\n",
       "      <td>0.026760</td>\n",
       "      <td>0.002670</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>-0.009538</td>\n",
       "      <td>0.004215</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/24</th>\n",
       "      <td>0.007683</td>\n",
       "      <td>0.007797</td>\n",
       "      <td>-0.003957</td>\n",
       "      <td>0.003425</td>\n",
       "      <td>0.003728</td>\n",
       "      <td>0.024150</td>\n",
       "      <td>-0.002652</td>\n",
       "      <td>-0.001192</td>\n",
       "      <td>-0.003347</td>\n",
       "      <td>-0.000992</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.000246</td>\n",
       "      <td>-0.019809</td>\n",
       "      <td>0.000864</td>\n",
       "      <td>0.004069</td>\n",
       "      <td>-0.014331</td>\n",
       "      <td>0.003709</td>\n",
       "      <td>-0.001235</td>\n",
       "      <td>0.006359</td>\n",
       "      <td>-0.019951</td>\n",
       "      <td>-0.000200</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/28</th>\n",
       "      <td>0.035141</td>\n",
       "      <td>0.009873</td>\n",
       "      <td>0.034470</td>\n",
       "      <td>0.022691</td>\n",
       "      <td>0.021190</td>\n",
       "      <td>0.002897</td>\n",
       "      <td>0.035272</td>\n",
       "      <td>-0.007241</td>\n",
       "      <td>-0.012269</td>\n",
       "      <td>0.009970</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.066967</td>\n",
       "      <td>-0.002817</td>\n",
       "      <td>-0.016650</td>\n",
       "      <td>-0.012256</td>\n",
       "      <td>0.049862</td>\n",
       "      <td>0.011901</td>\n",
       "      <td>0.035613</td>\n",
       "      <td>0.006319</td>\n",
       "      <td>0.002391</td>\n",
       "      <td>0.002801</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/29</th>\n",
       "      <td>-0.013404</td>\n",
       "      <td>-0.003607</td>\n",
       "      <td>0.011517</td>\n",
       "      <td>-0.009174</td>\n",
       "      <td>-0.009828</td>\n",
       "      <td>0.003460</td>\n",
       "      <td>-0.000795</td>\n",
       "      <td>0.003347</td>\n",
       "      <td>-0.020139</td>\n",
       "      <td>0.022382</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.013762</td>\n",
       "      <td>0.004067</td>\n",
       "      <td>0.025032</td>\n",
       "      <td>-0.016115</td>\n",
       "      <td>-0.002988</td>\n",
       "      <td>0.021712</td>\n",
       "      <td>-0.022911</td>\n",
       "      <td>0.009404</td>\n",
       "      <td>0.012265</td>\n",
       "      <td>-0.035998</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/30</th>\n",
       "      <td>-0.008563</td>\n",
       "      <td>-0.011081</td>\n",
       "      <td>-0.010942</td>\n",
       "      <td>-0.012313</td>\n",
       "      <td>-0.010977</td>\n",
       "      <td>0.042321</td>\n",
       "      <td>-0.017899</td>\n",
       "      <td>0.015524</td>\n",
       "      <td>0.002075</td>\n",
       "      <td>-0.011900</td>\n",
       "      <td>...</td>\n",
       "      <td>0.031865</td>\n",
       "      <td>0.037382</td>\n",
       "      <td>0.026299</td>\n",
       "      <td>0.009010</td>\n",
       "      <td>0.020132</td>\n",
       "      <td>0.006226</td>\n",
       "      <td>0.007314</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>-0.006114</td>\n",
       "      <td>0.025354</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>1256 rows × 100 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                AAPL      MSFT      AMZN     GOOGL      GOOG      TSLA  \\\n",
       "Date                                                                     \n",
       "2016/01/06 -0.019764 -0.018332 -0.001800 -0.002893  0.001399 -0.019844   \n",
       "2016/01/07 -0.043121 -0.035402 -0.039841 -0.024436 -0.023443 -0.015598   \n",
       "2016/01/08  0.005274  0.003062 -0.001465 -0.013710 -0.016546 -0.021799   \n",
       "2016/01/11  0.016063 -0.000574  0.017456  0.002951  0.002181 -0.015041   \n",
       "2016/01/12  0.014409  0.009136  0.000243  0.016599  0.013924  0.010148   \n",
       "...              ...       ...       ...       ...       ...       ...   \n",
       "2020/12/23 -0.007001 -0.013125 -0.006649  0.004646  0.005139  0.008769   \n",
       "2020/12/24  0.007683  0.007797 -0.003957  0.003425  0.003728  0.024150   \n",
       "2020/12/28  0.035141  0.009873  0.034470  0.022691  0.021190  0.002897   \n",
       "2020/12/29 -0.013404 -0.003607  0.011517 -0.009174 -0.009828  0.003460   \n",
       "2020/12/30 -0.008563 -0.011081 -0.010942 -0.012313 -0.010977  0.042321   \n",
       "\n",
       "                META      NVDA      PYPL      NFLX  ...      PTON      TCOM  \\\n",
       "Date                                                ...                       \n",
       "2016/01/06  0.002333 -0.042229 -0.009665  0.088991  ...       NaN  0.004185   \n",
       "2016/01/07 -0.050287 -0.040452 -0.025333 -0.026870  ...       NaN -0.056704   \n",
       "2016/01/08 -0.006044 -0.021700 -0.013370 -0.028061  ...       NaN -0.004874   \n",
       "2016/01/11  0.001848  0.001686  0.010650  0.031634  ...       NaN -0.031813   \n",
       "2016/01/12  0.018895  0.016706  0.001210  0.013907  ...       NaN  0.021994   \n",
       "...              ...       ...       ...       ...  ...       ...       ...   \n",
       "2020/12/23  0.003812 -0.020467 -0.016773 -0.024670  ...  0.009569 -0.009759   \n",
       "2020/12/24 -0.002652 -0.001192 -0.003347 -0.000992  ... -0.000246 -0.019809   \n",
       "2020/12/28  0.035272 -0.007241 -0.012269  0.009970  ... -0.066967 -0.002817   \n",
       "2020/12/29 -0.000795  0.003347 -0.020139  0.022382  ... -0.013762  0.004067   \n",
       "2020/12/30 -0.017899  0.015524  0.002075 -0.011900  ...  0.031865  0.037382   \n",
       "\n",
       "                NTES      BMRN      ULTA      EXPE      CSGP      SIRI  \\\n",
       "Date                                                                     \n",
       "2016/01/06 -0.001094 -0.029528  0.002952 -0.007448 -0.024634 -0.005128   \n",
       "2016/01/07 -0.048972 -0.033922 -0.001256 -0.036181 -0.055822 -0.012937   \n",
       "2016/01/08 -0.011617 -0.013898 -0.004437 -0.030062 -0.011845 -0.007843   \n",
       "2016/01/11 -0.028986 -0.026028 -0.000934 -0.001887 -0.011043  0.002621   \n",
       "2016/01/12  0.012952 -0.001931  0.019695  0.006275  0.028191 -0.007884   \n",
       "...              ...       ...       ...       ...       ...       ...   \n",
       "2020/12/23  0.000865 -0.000566  0.012633  0.026760  0.002670  0.000000   \n",
       "2020/12/24  0.000864  0.004069 -0.014331  0.003709 -0.001235  0.006359   \n",
       "2020/12/28 -0.016650 -0.012256  0.049862  0.011901  0.035613  0.006319   \n",
       "2020/12/29  0.025032 -0.016115 -0.002988  0.021712 -0.022911  0.009404   \n",
       "2020/12/30  0.026299  0.009010  0.020132  0.006226  0.007314  0.000000   \n",
       "\n",
       "                EBAY       WDC  \n",
       "Date                            \n",
       "2016/01/06  0.011041 -0.022533  \n",
       "2016/01/07 -0.027641 -0.016634  \n",
       "2016/01/08  0.002333 -0.043109  \n",
       "2016/01/11  0.013501 -0.047888  \n",
       "2016/01/12  0.004205 -0.008368  \n",
       "...              ...       ...  \n",
       "2020/12/23 -0.009538  0.004215  \n",
       "2020/12/24 -0.019951 -0.000200  \n",
       "2020/12/28  0.002391  0.002801  \n",
       "2020/12/29  0.012265 -0.035998  \n",
       "2020/12/30 -0.006114  0.025354  \n",
       "\n",
       "[1256 rows x 100 columns]"
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "training_log_ret"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "id": "73287bd1",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "False    91\n",
       "True      9\n",
       "dtype: int64"
      ]
     },
     "execution_count": 8,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "training_log_ret.isna().sum().ge(100).value_counts()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "id": "569738c5",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0       91\n",
       "645      1\n",
       "828      1\n",
       "583      1\n",
       "1194     1\n",
       "801      1\n",
       "802      1\n",
       "318      1\n",
       "181      1\n",
       "939      1\n",
       "dtype: int64"
      ]
     },
     "execution_count": 9,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "training_log_ret.isna().sum().value_counts()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "id": "48998c37",
   "metadata": {},
   "outputs": [],
   "source": [
    "drop_lst=['PDD', 'ZM', 'DOCU', 'ASAN', 'FOXA', 'FOX', 'OKTA', 'TTD', 'PTON']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "id": "27ad3a0d",
   "metadata": {},
   "outputs": [],
   "source": [
    "training_log_ret=training_log_ret.drop(columns=drop_lst)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "bc3147d4",
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "44bbe366",
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "a60eee4e",
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "cdbac16f",
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": 82,
   "id": "fc8e20e5",
   "metadata": {},
   "outputs": [],
   "source": [
    "alpha=pd.read_csv('first round alpha.csv', header=0)\n",
    "alpha=alpha.set_index(['ticker', 'Date'])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 83,
   "id": "f01f67c4",
   "metadata": {},
   "outputs": [],
   "source": [
    "alpha.replace([np.inf, -np.inf], np.nan, inplace=True)\n",
    "alpha=alpha.ffill()\n",
    "alpha=alpha.groupby('ticker').transform(lambda x: x.fillna(x.mean()))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 84,
   "id": "fc634eac",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th>a51</th>\n",
       "      <th>a49</th>\n",
       "      <th>a12</th>\n",
       "      <th>a35</th>\n",
       "      <th>a54</th>\n",
       "      <th>a25</th>\n",
       "      <th>a17</th>\n",
       "      <th>a38</th>\n",
       "      <th>a18</th>\n",
       "      <th>a34</th>\n",
       "      <th>...</th>\n",
       "      <th>a5</th>\n",
       "      <th>a45</th>\n",
       "      <th>a23</th>\n",
       "      <th>a74</th>\n",
       "      <th>a13</th>\n",
       "      <th>a84</th>\n",
       "      <th>a81</th>\n",
       "      <th>a11</th>\n",
       "      <th>a21</th>\n",
       "      <th>a14</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ticker</th>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">AAPL</th>\n",
       "      <th>2016/01/05</th>\n",
       "      <td>-1.000000</td>\n",
       "      <td>-1.000000</td>\n",
       "      <td>0.079023</td>\n",
       "      <td>2571.71717</td>\n",
       "      <td>-0.100901</td>\n",
       "      <td>0.483688</td>\n",
       "      <td>-0.149385</td>\n",
       "      <td>-0.292017</td>\n",
       "      <td>-0.454874</td>\n",
       "      <td>0.508811</td>\n",
       "      <td>...</td>\n",
       "      <td>0.25104</td>\n",
       "      <td>0.008083</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.503709</td>\n",
       "      <td>0.493383</td>\n",
       "      <td>0</td>\n",
       "      <td>0.469912</td>\n",
       "      <td>1</td>\n",
       "      <td>0.017003</td>\n",
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       "    <tr>\n",
       "      <th>2016/01/06</th>\n",
       "      <td>-1.000000</td>\n",
       "      <td>-1.000000</td>\n",
       "      <td>0.502501</td>\n",
       "      <td>2571.71717</td>\n",
       "      <td>-0.329696</td>\n",
       "      <td>0.483688</td>\n",
       "      <td>-0.149385</td>\n",
       "      <td>-0.292017</td>\n",
       "      <td>-0.454874</td>\n",
       "      <td>0.508811</td>\n",
       "      <td>...</td>\n",
       "      <td>0.25104</td>\n",
       "      <td>0.008083</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.503709</td>\n",
       "      <td>0.493383</td>\n",
       "      <td>0</td>\n",
       "      <td>0.469912</td>\n",
       "      <td>1</td>\n",
       "      <td>0.017003</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/01/07</th>\n",
       "      <td>-1.000000</td>\n",
       "      <td>-1.000000</td>\n",
       "      <td>1.062500</td>\n",
       "      <td>2571.71717</td>\n",
       "      <td>-0.006059</td>\n",
       "      <td>0.483688</td>\n",
       "      <td>-0.149385</td>\n",
       "      <td>-0.292017</td>\n",
       "      <td>-0.454874</td>\n",
       "      <td>0.508811</td>\n",
       "      <td>...</td>\n",
       "      <td>0.25104</td>\n",
       "      <td>0.008083</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.503709</td>\n",
       "      <td>0.493383</td>\n",
       "      <td>0</td>\n",
       "      <td>0.469912</td>\n",
       "      <td>1</td>\n",
       "      <td>0.017003</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/01/08</th>\n",
       "      <td>-1.000000</td>\n",
       "      <td>-1.000000</td>\n",
       "      <td>0.127501</td>\n",
       "      <td>2571.71717</td>\n",
       "      <td>-0.092316</td>\n",
       "      <td>0.483688</td>\n",
       "      <td>-0.149385</td>\n",
       "      <td>-0.292017</td>\n",
       "      <td>-0.454874</td>\n",
       "      <td>0.508811</td>\n",
       "      <td>...</td>\n",
       "      <td>0.25104</td>\n",
       "      <td>0.008083</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.503709</td>\n",
       "      <td>0.493383</td>\n",
       "      <td>0</td>\n",
       "      <td>1.010989</td>\n",
       "      <td>1</td>\n",
       "      <td>0.017003</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/01/11</th>\n",
       "      <td>-1.000000</td>\n",
       "      <td>-1.000000</td>\n",
       "      <td>0.392500</td>\n",
       "      <td>2571.71717</td>\n",
       "      <td>-0.707448</td>\n",
       "      <td>0.483688</td>\n",
       "      <td>-0.149385</td>\n",
       "      <td>-0.292017</td>\n",
       "      <td>-0.454874</td>\n",
       "      <td>0.439560</td>\n",
       "      <td>...</td>\n",
       "      <td>0.25104</td>\n",
       "      <td>0.008083</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.664835</td>\n",
       "      <td>0.493383</td>\n",
       "      <td>0</td>\n",
       "      <td>0.009057</td>\n",
       "      <td>1</td>\n",
       "      <td>0.017003</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">ZM</th>\n",
       "      <th>2020/12/23</th>\n",
       "      <td>25.119995</td>\n",
       "      <td>25.119995</td>\n",
       "      <td>25.119995</td>\n",
       "      <td>-0.00000</td>\n",
       "      <td>-0.277880</td>\n",
       "      <td>0.990000</td>\n",
       "      <td>-0.001287</td>\n",
       "      <td>-0.015800</td>\n",
       "      <td>-0.020000</td>\n",
       "      <td>0.655000</td>\n",
       "      <td>...</td>\n",
       "      <td>0.01710</td>\n",
       "      <td>0.648000</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.555000</td>\n",
       "      <td>0.010000</td>\n",
       "      <td>0</td>\n",
       "      <td>1.227600</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.004774</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/24</th>\n",
       "      <td>8.709991</td>\n",
       "      <td>8.709991</td>\n",
       "      <td>-8.709991</td>\n",
       "      <td>-0.00000</td>\n",
       "      <td>-0.019300</td>\n",
       "      <td>0.990000</td>\n",
       "      <td>-0.019206</td>\n",
       "      <td>-0.000350</td>\n",
       "      <td>-0.040000</td>\n",
       "      <td>0.810000</td>\n",
       "      <td>...</td>\n",
       "      <td>0.00020</td>\n",
       "      <td>-0.657000</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.060000</td>\n",
       "      <td>0.010000</td>\n",
       "      <td>0</td>\n",
       "      <td>0.271400</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.002961</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/28</th>\n",
       "      <td>23.779999</td>\n",
       "      <td>23.779999</td>\n",
       "      <td>23.779999</td>\n",
       "      <td>-0.00000</td>\n",
       "      <td>-0.127136</td>\n",
       "      <td>1.000000</td>\n",
       "      <td>-0.002489</td>\n",
       "      <td>-0.001050</td>\n",
       "      <td>-0.020000</td>\n",
       "      <td>0.865000</td>\n",
       "      <td>...</td>\n",
       "      <td>0.00010</td>\n",
       "      <td>0.679500</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.050000</td>\n",
       "      <td>0.010000</td>\n",
       "      <td>0</td>\n",
       "      <td>1.881000</td>\n",
       "      <td>1</td>\n",
       "      <td>0.005598</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/29</th>\n",
       "      <td>-2.359985</td>\n",
       "      <td>-2.359985</td>\n",
       "      <td>2.359985</td>\n",
       "      <td>-0.00000</td>\n",
       "      <td>-0.354365</td>\n",
       "      <td>0.060000</td>\n",
       "      <td>-0.089743</td>\n",
       "      <td>-0.046000</td>\n",
       "      <td>-0.960000</td>\n",
       "      <td>0.050000</td>\n",
       "      <td>...</td>\n",
       "      <td>0.00840</td>\n",
       "      <td>0.666000</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.040000</td>\n",
       "      <td>0.010000</td>\n",
       "      <td>0</td>\n",
       "      <td>0.085000</td>\n",
       "      <td>1</td>\n",
       "      <td>0.107946</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/30</th>\n",
       "      <td>0.350006</td>\n",
       "      <td>0.350006</td>\n",
       "      <td>-0.350006</td>\n",
       "      <td>165.00000</td>\n",
       "      <td>-0.645456</td>\n",
       "      <td>0.880000</td>\n",
       "      <td>-0.008649</td>\n",
       "      <td>-0.009800</td>\n",
       "      <td>-0.770000</td>\n",
       "      <td>0.905000</td>\n",
       "      <td>...</td>\n",
       "      <td>0.00250</td>\n",
       "      <td>-0.711000</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.860000</td>\n",
       "      <td>0.010000</td>\n",
       "      <td>-1</td>\n",
       "      <td>1.206200</td>\n",
       "      <td>1</td>\n",
       "      <td>0.036829</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>125700 rows × 30 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                         a51        a49        a12         a35       a54  \\\n",
       "ticker Date                                                                \n",
       "AAPL   2016/01/05  -1.000000  -1.000000   0.079023  2571.71717 -0.100901   \n",
       "       2016/01/06  -1.000000  -1.000000   0.502501  2571.71717 -0.329696   \n",
       "       2016/01/07  -1.000000  -1.000000   1.062500  2571.71717 -0.006059   \n",
       "       2016/01/08  -1.000000  -1.000000   0.127501  2571.71717 -0.092316   \n",
       "       2016/01/11  -1.000000  -1.000000   0.392500  2571.71717 -0.707448   \n",
       "...                      ...        ...        ...         ...       ...   \n",
       "ZM     2020/12/23  25.119995  25.119995  25.119995    -0.00000 -0.277880   \n",
       "       2020/12/24   8.709991   8.709991  -8.709991    -0.00000 -0.019300   \n",
       "       2020/12/28  23.779999  23.779999  23.779999    -0.00000 -0.127136   \n",
       "       2020/12/29  -2.359985  -2.359985   2.359985    -0.00000 -0.354365   \n",
       "       2020/12/30   0.350006   0.350006  -0.350006   165.00000 -0.645456   \n",
       "\n",
       "                        a25       a17       a38       a18       a34  ...  \\\n",
       "ticker Date                                                          ...   \n",
       "AAPL   2016/01/05  0.483688 -0.149385 -0.292017 -0.454874  0.508811  ...   \n",
       "       2016/01/06  0.483688 -0.149385 -0.292017 -0.454874  0.508811  ...   \n",
       "       2016/01/07  0.483688 -0.149385 -0.292017 -0.454874  0.508811  ...   \n",
       "       2016/01/08  0.483688 -0.149385 -0.292017 -0.454874  0.508811  ...   \n",
       "       2016/01/11  0.483688 -0.149385 -0.292017 -0.454874  0.439560  ...   \n",
       "...                     ...       ...       ...       ...       ...  ...   \n",
       "ZM     2020/12/23  0.990000 -0.001287 -0.015800 -0.020000  0.655000  ...   \n",
       "       2020/12/24  0.990000 -0.019206 -0.000350 -0.040000  0.810000  ...   \n",
       "       2020/12/28  1.000000 -0.002489 -0.001050 -0.020000  0.865000  ...   \n",
       "       2020/12/29  0.060000 -0.089743 -0.046000 -0.960000  0.050000  ...   \n",
       "       2020/12/30  0.880000 -0.008649 -0.009800 -0.770000  0.905000  ...   \n",
       "\n",
       "                        a5       a45  a23  a74       a13       a84  a81  \\\n",
       "ticker Date                                                               \n",
       "AAPL   2016/01/05  0.25104  0.008083  0.0    0 -0.503709  0.493383    0   \n",
       "       2016/01/06  0.25104  0.008083  0.0    0 -0.503709  0.493383    0   \n",
       "       2016/01/07  0.25104  0.008083  0.0    0 -0.503709  0.493383    0   \n",
       "       2016/01/08  0.25104  0.008083  0.0    0 -0.503709  0.493383    0   \n",
       "       2016/01/11  0.25104  0.008083  0.0    0 -0.664835  0.493383    0   \n",
       "...                    ...       ...  ...  ...       ...       ...  ...   \n",
       "ZM     2020/12/23  0.01710  0.648000  0.0    0 -0.555000  0.010000    0   \n",
       "       2020/12/24  0.00020 -0.657000  0.0    0 -0.060000  0.010000    0   \n",
       "       2020/12/28  0.00010  0.679500  0.0    0 -0.050000  0.010000    0   \n",
       "       2020/12/29  0.00840  0.666000  0.0    0 -0.040000  0.010000    0   \n",
       "       2020/12/30  0.00250 -0.711000  0.0    0 -0.860000  0.010000   -1   \n",
       "\n",
       "                        a11  a21       a14  \n",
       "ticker Date                                 \n",
       "AAPL   2016/01/05  0.469912    1  0.017003  \n",
       "       2016/01/06  0.469912    1  0.017003  \n",
       "       2016/01/07  0.469912    1  0.017003  \n",
       "       2016/01/08  1.010989    1  0.017003  \n",
       "       2016/01/11  0.009057    1  0.017003  \n",
       "...                     ...  ...       ...  \n",
       "ZM     2020/12/23  1.227600    1 -0.004774  \n",
       "       2020/12/24  0.271400    1 -0.002961  \n",
       "       2020/12/28  1.881000    1  0.005598  \n",
       "       2020/12/29  0.085000    1  0.107946  \n",
       "       2020/12/30  1.206200    1  0.036829  \n",
       "\n",
       "[125700 rows x 30 columns]"
      ]
     },
     "execution_count": 84,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "alpha"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "4817d9bc",
   "metadata": {},
   "source": [
    "alpha_nor = alpha.groupby('ticker').transform(lambda x: (x-x.mean())/x.std(ddof=1))\n",
    "alpha_nor"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "id": "72fa3395",
   "metadata": {},
   "outputs": [],
   "source": [
    "for t in drop_lst:\n",
    "    alpha.drop(t, level=0, axis=0, inplace=True) "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "id": "f8593ec4",
   "metadata": {},
   "outputs": [],
   "source": [
    "alpha=alpha[alpha.index.get_level_values('Date') >='2016/02/03']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "id": "c480e259",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th>a51</th>\n",
       "      <th>a49</th>\n",
       "      <th>a12</th>\n",
       "      <th>a35</th>\n",
       "      <th>a54</th>\n",
       "      <th>a25</th>\n",
       "      <th>a17</th>\n",
       "      <th>a38</th>\n",
       "      <th>a18</th>\n",
       "      <th>a34</th>\n",
       "      <th>...</th>\n",
       "      <th>a5</th>\n",
       "      <th>a45</th>\n",
       "      <th>a23</th>\n",
       "      <th>a74</th>\n",
       "      <th>a13</th>\n",
       "      <th>a84</th>\n",
       "      <th>a81</th>\n",
       "      <th>a11</th>\n",
       "      <th>a21</th>\n",
       "      <th>a14</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ticker</th>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">AAPL</th>\n",
       "      <th>2016/02/03</th>\n",
       "      <td>-0.467499</td>\n",
       "      <td>-0.467499</td>\n",
       "      <td>-0.467499</td>\n",
       "      <td>2571.71717</td>\n",
       "      <td>-0.766437</td>\n",
       "      <td>0.054945</td>\n",
       "      <td>-0.149385</td>\n",
       "      <td>-0.308296</td>\n",
       "      <td>-0.648352</td>\n",
       "      <td>0.247253</td>\n",
       "      <td>...</td>\n",
       "      <td>0.240913</td>\n",
       "      <td>0.008083</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.428571</td>\n",
       "      <td>0.493383</td>\n",
       "      <td>0</td>\n",
       "      <td>0.021012</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.032780</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/02/04</th>\n",
       "      <td>-0.062500</td>\n",
       "      <td>-0.062500</td>\n",
       "      <td>-0.062500</td>\n",
       "      <td>2571.71717</td>\n",
       "      <td>-0.634024</td>\n",
       "      <td>0.197802</td>\n",
       "      <td>-0.149385</td>\n",
       "      <td>-0.279435</td>\n",
       "      <td>-0.428571</td>\n",
       "      <td>0.538462</td>\n",
       "      <td>...</td>\n",
       "      <td>0.239102</td>\n",
       "      <td>0.008083</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.417582</td>\n",
       "      <td>0.493383</td>\n",
       "      <td>0</td>\n",
       "      <td>0.825987</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.046626</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/02/05</th>\n",
       "      <td>0.645000</td>\n",
       "      <td>0.645000</td>\n",
       "      <td>-0.645000</td>\n",
       "      <td>2571.71717</td>\n",
       "      <td>-0.116490</td>\n",
       "      <td>0.714286</td>\n",
       "      <td>-0.149385</td>\n",
       "      <td>-0.414080</td>\n",
       "      <td>-0.692308</td>\n",
       "      <td>0.329670</td>\n",
       "      <td>...</td>\n",
       "      <td>0.375679</td>\n",
       "      <td>0.008083</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.527473</td>\n",
       "      <td>0.493383</td>\n",
       "      <td>0</td>\n",
       "      <td>0.849052</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.032190</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/02/08</th>\n",
       "      <td>-0.247501</td>\n",
       "      <td>-0.247501</td>\n",
       "      <td>-0.247501</td>\n",
       "      <td>2571.71717</td>\n",
       "      <td>-0.670173</td>\n",
       "      <td>0.032967</td>\n",
       "      <td>-0.460193</td>\n",
       "      <td>-0.316870</td>\n",
       "      <td>-0.648352</td>\n",
       "      <td>0.032967</td>\n",
       "      <td>...</td>\n",
       "      <td>0.548726</td>\n",
       "      <td>0.008083</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.527473</td>\n",
       "      <td>0.493383</td>\n",
       "      <td>0</td>\n",
       "      <td>0.802198</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.144546</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/02/09</th>\n",
       "      <td>0.005001</td>\n",
       "      <td>0.005001</td>\n",
       "      <td>-0.005001</td>\n",
       "      <td>2571.71717</td>\n",
       "      <td>-0.508215</td>\n",
       "      <td>0.549451</td>\n",
       "      <td>-0.029111</td>\n",
       "      <td>-0.312040</td>\n",
       "      <td>-0.043956</td>\n",
       "      <td>0.609890</td>\n",
       "      <td>...</td>\n",
       "      <td>0.425069</td>\n",
       "      <td>-0.028257</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.692308</td>\n",
       "      <td>0.493383</td>\n",
       "      <td>0</td>\n",
       "      <td>0.047096</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.072229</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">ZBRA</th>\n",
       "      <th>2020/12/23</th>\n",
       "      <td>0.220001</td>\n",
       "      <td>0.220001</td>\n",
       "      <td>-0.220001</td>\n",
       "      <td>286.00000</td>\n",
       "      <td>-0.333551</td>\n",
       "      <td>0.570000</td>\n",
       "      <td>-0.060501</td>\n",
       "      <td>-0.286700</td>\n",
       "      <td>-0.540000</td>\n",
       "      <td>0.370000</td>\n",
       "      <td>...</td>\n",
       "      <td>0.208800</td>\n",
       "      <td>-0.339300</td>\n",
       "      <td>-7.869995</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.120000</td>\n",
       "      <td>0.080000</td>\n",
       "      <td>-1</td>\n",
       "      <td>0.643800</td>\n",
       "      <td>1</td>\n",
       "      <td>0.085961</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/24</th>\n",
       "      <td>2.849976</td>\n",
       "      <td>2.849976</td>\n",
       "      <td>-2.849976</td>\n",
       "      <td>99.00000</td>\n",
       "      <td>-0.541726</td>\n",
       "      <td>0.890000</td>\n",
       "      <td>-0.012658</td>\n",
       "      <td>-0.028000</td>\n",
       "      <td>-0.020000</td>\n",
       "      <td>0.940000</td>\n",
       "      <td>...</td>\n",
       "      <td>0.053200</td>\n",
       "      <td>-0.348000</td>\n",
       "      <td>5.000000</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.160000</td>\n",
       "      <td>0.290000</td>\n",
       "      <td>0</td>\n",
       "      <td>1.465100</td>\n",
       "      <td>1</td>\n",
       "      <td>0.009409</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/28</th>\n",
       "      <td>-5.699982</td>\n",
       "      <td>-5.699982</td>\n",
       "      <td>-5.699982</td>\n",
       "      <td>2925.00000</td>\n",
       "      <td>-0.806574</td>\n",
       "      <td>0.160000</td>\n",
       "      <td>-0.319680</td>\n",
       "      <td>-0.276500</td>\n",
       "      <td>-0.910000</td>\n",
       "      <td>0.020000</td>\n",
       "      <td>...</td>\n",
       "      <td>0.533600</td>\n",
       "      <td>-0.495900</td>\n",
       "      <td>0.600006</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.250000</td>\n",
       "      <td>0.860000</td>\n",
       "      <td>0</td>\n",
       "      <td>0.390000</td>\n",
       "      <td>1</td>\n",
       "      <td>0.318392</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/29</th>\n",
       "      <td>4.549988</td>\n",
       "      <td>4.549988</td>\n",
       "      <td>-4.549988</td>\n",
       "      <td>162.00000</td>\n",
       "      <td>-0.198604</td>\n",
       "      <td>0.880000</td>\n",
       "      <td>-0.008167</td>\n",
       "      <td>-0.141750</td>\n",
       "      <td>-0.020000</td>\n",
       "      <td>0.640000</td>\n",
       "      <td>...</td>\n",
       "      <td>0.017400</td>\n",
       "      <td>-0.287100</td>\n",
       "      <td>-3.130005</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.270000</td>\n",
       "      <td>0.860000</td>\n",
       "      <td>0</td>\n",
       "      <td>0.558600</td>\n",
       "      <td>1</td>\n",
       "      <td>0.013894</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/30</th>\n",
       "      <td>-5.709991</td>\n",
       "      <td>-5.709991</td>\n",
       "      <td>5.709991</td>\n",
       "      <td>858.00000</td>\n",
       "      <td>-0.659492</td>\n",
       "      <td>0.180000</td>\n",
       "      <td>-0.157140</td>\n",
       "      <td>-0.382200</td>\n",
       "      <td>-0.880000</td>\n",
       "      <td>0.045000</td>\n",
       "      <td>...</td>\n",
       "      <td>0.682500</td>\n",
       "      <td>0.487200</td>\n",
       "      <td>-1.760010</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.660000</td>\n",
       "      <td>0.890000</td>\n",
       "      <td>0</td>\n",
       "      <td>0.078400</td>\n",
       "      <td>1</td>\n",
       "      <td>0.439637</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>112567 rows × 30 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                        a51       a49       a12         a35       a54  \\\n",
       "ticker Date                                                             \n",
       "AAPL   2016/02/03 -0.467499 -0.467499 -0.467499  2571.71717 -0.766437   \n",
       "       2016/02/04 -0.062500 -0.062500 -0.062500  2571.71717 -0.634024   \n",
       "       2016/02/05  0.645000  0.645000 -0.645000  2571.71717 -0.116490   \n",
       "       2016/02/08 -0.247501 -0.247501 -0.247501  2571.71717 -0.670173   \n",
       "       2016/02/09  0.005001  0.005001 -0.005001  2571.71717 -0.508215   \n",
       "...                     ...       ...       ...         ...       ...   \n",
       "ZBRA   2020/12/23  0.220001  0.220001 -0.220001   286.00000 -0.333551   \n",
       "       2020/12/24  2.849976  2.849976 -2.849976    99.00000 -0.541726   \n",
       "       2020/12/28 -5.699982 -5.699982 -5.699982  2925.00000 -0.806574   \n",
       "       2020/12/29  4.549988  4.549988 -4.549988   162.00000 -0.198604   \n",
       "       2020/12/30 -5.709991 -5.709991  5.709991   858.00000 -0.659492   \n",
       "\n",
       "                        a25       a17       a38       a18       a34  ...  \\\n",
       "ticker Date                                                          ...   \n",
       "AAPL   2016/02/03  0.054945 -0.149385 -0.308296 -0.648352  0.247253  ...   \n",
       "       2016/02/04  0.197802 -0.149385 -0.279435 -0.428571  0.538462  ...   \n",
       "       2016/02/05  0.714286 -0.149385 -0.414080 -0.692308  0.329670  ...   \n",
       "       2016/02/08  0.032967 -0.460193 -0.316870 -0.648352  0.032967  ...   \n",
       "       2016/02/09  0.549451 -0.029111 -0.312040 -0.043956  0.609890  ...   \n",
       "...                     ...       ...       ...       ...       ...  ...   \n",
       "ZBRA   2020/12/23  0.570000 -0.060501 -0.286700 -0.540000  0.370000  ...   \n",
       "       2020/12/24  0.890000 -0.012658 -0.028000 -0.020000  0.940000  ...   \n",
       "       2020/12/28  0.160000 -0.319680 -0.276500 -0.910000  0.020000  ...   \n",
       "       2020/12/29  0.880000 -0.008167 -0.141750 -0.020000  0.640000  ...   \n",
       "       2020/12/30  0.180000 -0.157140 -0.382200 -0.880000  0.045000  ...   \n",
       "\n",
       "                         a5       a45       a23  a74       a13       a84  a81  \\\n",
       "ticker Date                                                                     \n",
       "AAPL   2016/02/03  0.240913  0.008083  0.000000    0 -0.428571  0.493383    0   \n",
       "       2016/02/04  0.239102  0.008083  0.000000    0 -0.417582  0.493383    0   \n",
       "       2016/02/05  0.375679  0.008083  0.000000    0 -0.527473  0.493383    0   \n",
       "       2016/02/08  0.548726  0.008083  0.000000    0 -0.527473  0.493383    0   \n",
       "       2016/02/09  0.425069 -0.028257  0.000000    0 -0.692308  0.493383    0   \n",
       "...                     ...       ...       ...  ...       ...       ...  ...   \n",
       "ZBRA   2020/12/23  0.208800 -0.339300 -7.869995    0 -0.120000  0.080000   -1   \n",
       "       2020/12/24  0.053200 -0.348000  5.000000    0 -0.160000  0.290000    0   \n",
       "       2020/12/28  0.533600 -0.495900  0.600006    0 -0.250000  0.860000    0   \n",
       "       2020/12/29  0.017400 -0.287100 -3.130005    0 -0.270000  0.860000    0   \n",
       "       2020/12/30  0.682500  0.487200 -1.760010    0 -0.660000  0.890000    0   \n",
       "\n",
       "                        a11  a21       a14  \n",
       "ticker Date                                 \n",
       "AAPL   2016/02/03  0.021012    1 -0.032780  \n",
       "       2016/02/04  0.825987    1 -0.046626  \n",
       "       2016/02/05  0.849052    1 -0.032190  \n",
       "       2016/02/08  0.802198    1 -0.144546  \n",
       "       2016/02/09  0.047096    1 -0.072229  \n",
       "...                     ...  ...       ...  \n",
       "ZBRA   2020/12/23  0.643800    1  0.085961  \n",
       "       2020/12/24  1.465100    1  0.009409  \n",
       "       2020/12/28  0.390000    1  0.318392  \n",
       "       2020/12/29  0.558600    1  0.013894  \n",
       "       2020/12/30  0.078400    1  0.439637  \n",
       "\n",
       "[112567 rows x 30 columns]"
      ]
     },
     "execution_count": 17,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "alpha"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 18,
   "id": "f3f6a1cd",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th></th>\n",
       "      <th></th>\n",
       "      <th>a51</th>\n",
       "      <th>a49</th>\n",
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       "      <th>a54</th>\n",
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       "      <th>a17</th>\n",
       "      <th>a38</th>\n",
       "      <th>a18</th>\n",
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       "      <th>a5</th>\n",
       "      <th>a45</th>\n",
       "      <th>a23</th>\n",
       "      <th>a74</th>\n",
       "      <th>a13</th>\n",
       "      <th>a84</th>\n",
       "      <th>a81</th>\n",
       "      <th>a11</th>\n",
       "      <th>a21</th>\n",
       "      <th>a14</th>\n",
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       "    <tr>\n",
       "      <th>ticker</th>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">AAPL</th>\n",
       "      <th>2016/02/03</th>\n",
       "      <td>-0.288753</td>\n",
       "      <td>-0.288753</td>\n",
       "      <td>-0.416899</td>\n",
       "      <td>-1.327336e-16</td>\n",
       "      <td>-0.865137</td>\n",
       "      <td>-1.285677</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>-0.074604</td>\n",
       "      <td>-1.020275</td>\n",
       "      <td>-0.994222</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.069897</td>\n",
       "      <td>-2.852414e-17</td>\n",
       "      <td>0.264835</td>\n",
       "      <td>1.087041</td>\n",
       "      <td>0.451078</td>\n",
       "      <td>5.460353e-16</td>\n",
       "      <td>0.757490</td>\n",
       "      <td>-0.915863</td>\n",
       "      <td>0.629414</td>\n",
       "      <td>-0.213018</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/02/04</th>\n",
       "      <td>0.020221</td>\n",
       "      <td>0.020221</td>\n",
       "      <td>-0.108073</td>\n",
       "      <td>-1.327336e-16</td>\n",
       "      <td>-0.394148</td>\n",
       "      <td>-0.857112</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.064509</td>\n",
       "      <td>0.140747</td>\n",
       "      <td>0.115370</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.082496</td>\n",
       "      <td>-2.852414e-17</td>\n",
       "      <td>0.264835</td>\n",
       "      <td>1.087041</td>\n",
       "      <td>0.516681</td>\n",
       "      <td>5.460353e-16</td>\n",
       "      <td>0.757490</td>\n",
       "      <td>0.727112</td>\n",
       "      <td>0.629414</td>\n",
       "      <td>-0.274093</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/02/05</th>\n",
       "      <td>0.559974</td>\n",
       "      <td>0.559974</td>\n",
       "      <td>-0.552250</td>\n",
       "      <td>-1.327336e-16</td>\n",
       "      <td>1.446707</td>\n",
       "      <td>0.692314</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>-0.584489</td>\n",
       "      <td>-1.252479</td>\n",
       "      <td>-0.680186</td>\n",
       "      <td>...</td>\n",
       "      <td>0.867487</td>\n",
       "      <td>-2.852414e-17</td>\n",
       "      <td>0.264835</td>\n",
       "      <td>1.087041</td>\n",
       "      <td>-0.139350</td>\n",
       "      <td>5.460353e-16</td>\n",
       "      <td>0.757490</td>\n",
       "      <td>0.774188</td>\n",
       "      <td>0.629414</td>\n",
       "      <td>-0.210418</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/02/08</th>\n",
       "      <td>-0.120916</td>\n",
       "      <td>-0.120916</td>\n",
       "      <td>-0.249143</td>\n",
       "      <td>-1.327336e-16</td>\n",
       "      <td>-0.522728</td>\n",
       "      <td>-1.351610</td>\n",
       "      <td>-2.008652</td>\n",
       "      <td>-0.115930</td>\n",
       "      <td>-1.020275</td>\n",
       "      <td>-1.810714</td>\n",
       "      <td>...</td>\n",
       "      <td>2.071135</td>\n",
       "      <td>-2.852414e-17</td>\n",
       "      <td>0.264835</td>\n",
       "      <td>1.087041</td>\n",
       "      <td>-0.139350</td>\n",
       "      <td>5.460353e-16</td>\n",
       "      <td>0.757490</td>\n",
       "      <td>0.678557</td>\n",
       "      <td>0.629414</td>\n",
       "      <td>-0.705986</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/02/09</th>\n",
       "      <td>0.071718</td>\n",
       "      <td>0.071718</td>\n",
       "      <td>-0.064228</td>\n",
       "      <td>-1.327336e-16</td>\n",
       "      <td>0.053353</td>\n",
       "      <td>0.197816</td>\n",
       "      <td>0.777291</td>\n",
       "      <td>-0.092648</td>\n",
       "      <td>2.172536</td>\n",
       "      <td>0.387534</td>\n",
       "      <td>...</td>\n",
       "      <td>1.211026</td>\n",
       "      <td>-1.991817e-01</td>\n",
       "      <td>0.264835</td>\n",
       "      <td>1.087041</td>\n",
       "      <td>-1.123395</td>\n",
       "      <td>5.460353e-16</td>\n",
       "      <td>0.757490</td>\n",
       "      <td>-0.862625</td>\n",
       "      <td>0.629414</td>\n",
       "      <td>-0.387017</td>\n",
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       "    <tr>\n",
       "      <th>...</th>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">ZBRA</th>\n",
       "      <th>2020/12/23</th>\n",
       "      <td>0.110132</td>\n",
       "      <td>0.110132</td>\n",
       "      <td>-0.061921</td>\n",
       "      <td>-6.310006e-01</td>\n",
       "      <td>0.612775</td>\n",
       "      <td>0.265192</td>\n",
       "      <td>0.440153</td>\n",
       "      <td>-0.120103</td>\n",
       "      <td>0.166178</td>\n",
       "      <td>-0.399777</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.257603</td>\n",
       "      <td>-1.002152e+00</td>\n",
       "      <td>-1.511068</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>1.570189</td>\n",
       "      <td>-1.417555e+00</td>\n",
       "      <td>-1.327087</td>\n",
       "      <td>0.483595</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>0.269060</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/24</th>\n",
       "      <td>0.709318</td>\n",
       "      <td>0.709318</td>\n",
       "      <td>-0.660073</td>\n",
       "      <td>-6.865912e-01</td>\n",
       "      <td>-0.143807</td>\n",
       "      <td>1.567567</td>\n",
       "      <td>0.702366</td>\n",
       "      <td>1.015162</td>\n",
       "      <td>1.748807</td>\n",
       "      <td>1.456013</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.788642</td>\n",
       "      <td>-1.028097e+00</td>\n",
       "      <td>1.425119</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>1.418142</td>\n",
       "      <td>-7.869338e-01</td>\n",
       "      <td>0.753530</td>\n",
       "      <td>3.238359</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>-0.034703</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/28</th>\n",
       "      <td>-1.238615</td>\n",
       "      <td>-1.238615</td>\n",
       "      <td>-1.308269</td>\n",
       "      <td>1.535110e-01</td>\n",
       "      <td>-1.106361</td>\n",
       "      <td>-1.403476</td>\n",
       "      <td>-0.980344</td>\n",
       "      <td>-0.075342</td>\n",
       "      <td>-0.959923</td>\n",
       "      <td>-1.539297</td>\n",
       "      <td>...</td>\n",
       "      <td>0.850890</td>\n",
       "      <td>-1.469155e+00</td>\n",
       "      <td>0.421295</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>1.076036</td>\n",
       "      <td>9.247524e-01</td>\n",
       "      <td>0.753530</td>\n",
       "      <td>-0.367688</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>1.191359</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/29</th>\n",
       "      <td>1.096631</td>\n",
       "      <td>1.096631</td>\n",
       "      <td>-1.046718</td>\n",
       "      <td>-6.678628e-01</td>\n",
       "      <td>1.103220</td>\n",
       "      <td>1.526868</td>\n",
       "      <td>0.726980</td>\n",
       "      <td>0.515987</td>\n",
       "      <td>1.748807</td>\n",
       "      <td>0.479281</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.910822</td>\n",
       "      <td>-8.464846e-01</td>\n",
       "      <td>-0.429677</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>1.000012</td>\n",
       "      <td>9.247524e-01</td>\n",
       "      <td>0.753530</td>\n",
       "      <td>0.197822</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>-0.016905</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/30</th>\n",
       "      <td>-1.240896</td>\n",
       "      <td>-1.240896</td>\n",
       "      <td>1.286776</td>\n",
       "      <td>-4.609587e-01</td>\n",
       "      <td>-0.571810</td>\n",
       "      <td>-1.322078</td>\n",
       "      <td>-0.089502</td>\n",
       "      <td>-0.539190</td>\n",
       "      <td>-0.868618</td>\n",
       "      <td>-1.457903</td>\n",
       "      <td>...</td>\n",
       "      <td>1.359062</td>\n",
       "      <td>1.462586e+00</td>\n",
       "      <td>-0.117124</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>-0.482448</td>\n",
       "      <td>1.014841e+00</td>\n",
       "      <td>0.753530</td>\n",
       "      <td>-1.412842</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>1.672465</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>112567 rows × 30 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                        a51       a49       a12           a35       a54  \\\n",
       "ticker Date                                                               \n",
       "AAPL   2016/02/03 -0.288753 -0.288753 -0.416899 -1.327336e-16 -0.865137   \n",
       "       2016/02/04  0.020221  0.020221 -0.108073 -1.327336e-16 -0.394148   \n",
       "       2016/02/05  0.559974  0.559974 -0.552250 -1.327336e-16  1.446707   \n",
       "       2016/02/08 -0.120916 -0.120916 -0.249143 -1.327336e-16 -0.522728   \n",
       "       2016/02/09  0.071718  0.071718 -0.064228 -1.327336e-16  0.053353   \n",
       "...                     ...       ...       ...           ...       ...   \n",
       "ZBRA   2020/12/23  0.110132  0.110132 -0.061921 -6.310006e-01  0.612775   \n",
       "       2020/12/24  0.709318  0.709318 -0.660073 -6.865912e-01 -0.143807   \n",
       "       2020/12/28 -1.238615 -1.238615 -1.308269  1.535110e-01 -1.106361   \n",
       "       2020/12/29  1.096631  1.096631 -1.046718 -6.678628e-01  1.103220   \n",
       "       2020/12/30 -1.240896 -1.240896  1.286776 -4.609587e-01 -0.571810   \n",
       "\n",
       "                        a25       a17       a38       a18       a34  ...  \\\n",
       "ticker Date                                                          ...   \n",
       "AAPL   2016/02/03 -1.285677  0.000000 -0.074604 -1.020275 -0.994222  ...   \n",
       "       2016/02/04 -0.857112  0.000000  0.064509  0.140747  0.115370  ...   \n",
       "       2016/02/05  0.692314  0.000000 -0.584489 -1.252479 -0.680186  ...   \n",
       "       2016/02/08 -1.351610 -2.008652 -0.115930 -1.020275 -1.810714  ...   \n",
       "       2016/02/09  0.197816  0.777291 -0.092648  2.172536  0.387534  ...   \n",
       "...                     ...       ...       ...       ...       ...  ...   \n",
       "ZBRA   2020/12/23  0.265192  0.440153 -0.120103  0.166178 -0.399777  ...   \n",
       "       2020/12/24  1.567567  0.702366  1.015162  1.748807  1.456013  ...   \n",
       "       2020/12/28 -1.403476 -0.980344 -0.075342 -0.959923 -1.539297  ...   \n",
       "       2020/12/29  1.526868  0.726980  0.515987  1.748807  0.479281  ...   \n",
       "       2020/12/30 -1.322078 -0.089502 -0.539190 -0.868618 -1.457903  ...   \n",
       "\n",
       "                         a5           a45       a23       a74       a13  \\\n",
       "ticker Date                                                               \n",
       "AAPL   2016/02/03 -0.069897 -2.852414e-17  0.264835  1.087041  0.451078   \n",
       "       2016/02/04 -0.082496 -2.852414e-17  0.264835  1.087041  0.516681   \n",
       "       2016/02/05  0.867487 -2.852414e-17  0.264835  1.087041 -0.139350   \n",
       "       2016/02/08  2.071135 -2.852414e-17  0.264835  1.087041 -0.139350   \n",
       "       2016/02/09  1.211026 -1.991817e-01  0.264835  1.087041 -1.123395   \n",
       "...                     ...           ...       ...       ...       ...   \n",
       "ZBRA   2020/12/23 -0.257603 -1.002152e+00 -1.511068  0.803086  1.570189   \n",
       "       2020/12/24 -0.788642 -1.028097e+00  1.425119  0.803086  1.418142   \n",
       "       2020/12/28  0.850890 -1.469155e+00  0.421295  0.803086  1.076036   \n",
       "       2020/12/29 -0.910822 -8.464846e-01 -0.429677  0.803086  1.000012   \n",
       "       2020/12/30  1.359062  1.462586e+00 -0.117124  0.803086 -0.482448   \n",
       "\n",
       "                            a84       a81       a11       a21       a14  \n",
       "ticker Date                                                              \n",
       "AAPL   2016/02/03  5.460353e-16  0.757490 -0.915863  0.629414 -0.213018  \n",
       "       2016/02/04  5.460353e-16  0.757490  0.727112  0.629414 -0.274093  \n",
       "       2016/02/05  5.460353e-16  0.757490  0.774188  0.629414 -0.210418  \n",
       "       2016/02/08  5.460353e-16  0.757490  0.678557  0.629414 -0.705986  \n",
       "       2016/02/09  5.460353e-16  0.757490 -0.862625  0.629414 -0.387017  \n",
       "...                         ...       ...       ...       ...       ...  \n",
       "ZBRA   2020/12/23 -1.417555e+00 -1.327087  0.483595  0.553381  0.269060  \n",
       "       2020/12/24 -7.869338e-01  0.753530  3.238359  0.553381 -0.034703  \n",
       "       2020/12/28  9.247524e-01  0.753530 -0.367688  0.553381  1.191359  \n",
       "       2020/12/29  9.247524e-01  0.753530  0.197822  0.553381 -0.016905  \n",
       "       2020/12/30  1.014841e+00  0.753530 -1.412842  0.553381  1.672465  \n",
       "\n",
       "[112567 rows x 30 columns]"
      ]
     },
     "execution_count": 18,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "from sklearn.preprocessing import scale\n",
    "alpha_nor=alpha.groupby('ticker').transform(lambda x: scale(x))\n",
    "alpha_nor"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 19,
   "id": "0f008c1b",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "a51    0\n",
       "a49    0\n",
       "a12    0\n",
       "a35    0\n",
       "a54    0\n",
       "a25    0\n",
       "a17    0\n",
       "a38    0\n",
       "a18    0\n",
       "a34    0\n",
       "a46    0\n",
       "a42    0\n",
       "a28    0\n",
       "a83    0\n",
       "a60    0\n",
       "a7     0\n",
       "a47    0\n",
       "a43    0\n",
       "a20    0\n",
       "a24    0\n",
       "a5     0\n",
       "a45    0\n",
       "a23    0\n",
       "a74    0\n",
       "a13    0\n",
       "a84    0\n",
       "a81    0\n",
       "a11    0\n",
       "a21    0\n",
       "a14    0\n",
       "dtype: int64"
      ]
     },
     "execution_count": 19,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "alpha_nor.isna().sum()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "id": "dda44b79",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th>a51</th>\n",
       "      <th>a49</th>\n",
       "      <th>a12</th>\n",
       "      <th>a35</th>\n",
       "      <th>a54</th>\n",
       "      <th>a25</th>\n",
       "      <th>a17</th>\n",
       "      <th>a38</th>\n",
       "      <th>a18</th>\n",
       "      <th>a34</th>\n",
       "      <th>...</th>\n",
       "      <th>a5</th>\n",
       "      <th>a45</th>\n",
       "      <th>a23</th>\n",
       "      <th>a74</th>\n",
       "      <th>a13</th>\n",
       "      <th>a84</th>\n",
       "      <th>a81</th>\n",
       "      <th>a11</th>\n",
       "      <th>a21</th>\n",
       "      <th>a14</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ticker</th>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th rowspan=\"11\" valign=\"top\">ZBRA</th>\n",
       "      <th>2016/02/03</th>\n",
       "      <td>-0.340970</td>\n",
       "      <td>-0.340970</td>\n",
       "      <td>0.388403</td>\n",
       "      <td>-0.585220</td>\n",
       "      <td>-1.328388</td>\n",
       "      <td>-0.355135</td>\n",
       "      <td>0.149898</td>\n",
       "      <td>-1.368530</td>\n",
       "      <td>-1.033169</td>\n",
       "      <td>-0.906747</td>\n",
       "      <td>...</td>\n",
       "      <td>1.073546</td>\n",
       "      <td>0.252434</td>\n",
       "      <td>0.448670</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>0.773194</td>\n",
       "      <td>-0.126283</td>\n",
       "      <td>0.753530</td>\n",
       "      <td>-0.101815</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>0.131069</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/02/04</th>\n",
       "      <td>-0.240726</td>\n",
       "      <td>-0.240726</td>\n",
       "      <td>-0.312101</td>\n",
       "      <td>-0.585220</td>\n",
       "      <td>-0.077067</td>\n",
       "      <td>-1.383797</td>\n",
       "      <td>0.149898</td>\n",
       "      <td>-2.001795</td>\n",
       "      <td>-1.033169</td>\n",
       "      <td>-0.101749</td>\n",
       "      <td>...</td>\n",
       "      <td>1.505046</td>\n",
       "      <td>0.252434</td>\n",
       "      <td>-0.363515</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>-0.897654</td>\n",
       "      <td>-0.126283</td>\n",
       "      <td>0.753530</td>\n",
       "      <td>-0.514552</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>0.259351</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/02/05</th>\n",
       "      <td>0.887030</td>\n",
       "      <td>0.887030</td>\n",
       "      <td>0.813709</td>\n",
       "      <td>-0.585220</td>\n",
       "      <td>1.442462</td>\n",
       "      <td>0.181558</td>\n",
       "      <td>0.149898</td>\n",
       "      <td>0.466350</td>\n",
       "      <td>1.241109</td>\n",
       "      <td>0.184473</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.199935</td>\n",
       "      <td>0.252434</td>\n",
       "      <td>0.022046</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>-0.020459</td>\n",
       "      <td>-0.126283</td>\n",
       "      <td>0.753530</td>\n",
       "      <td>-0.822789</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>0.050947</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/02/08</th>\n",
       "      <td>0.729829</td>\n",
       "      <td>0.729829</td>\n",
       "      <td>-0.680549</td>\n",
       "      <td>-0.585220</td>\n",
       "      <td>0.785915</td>\n",
       "      <td>0.405180</td>\n",
       "      <td>0.633324</td>\n",
       "      <td>0.347911</td>\n",
       "      <td>1.374890</td>\n",
       "      <td>1.257804</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.647096</td>\n",
       "      <td>0.252434</td>\n",
       "      <td>0.284408</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>0.397253</td>\n",
       "      <td>-0.126283</td>\n",
       "      <td>0.753530</td>\n",
       "      <td>-0.432734</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>-0.125712</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/02/09</th>\n",
       "      <td>0.005330</td>\n",
       "      <td>0.005330</td>\n",
       "      <td>0.042700</td>\n",
       "      <td>-0.585220</td>\n",
       "      <td>-1.063040</td>\n",
       "      <td>-0.578758</td>\n",
       "      <td>0.484643</td>\n",
       "      <td>0.001867</td>\n",
       "      <td>-0.163592</td>\n",
       "      <td>-0.495304</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.049920</td>\n",
       "      <td>0.925829</td>\n",
       "      <td>0.284408</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>-1.022968</td>\n",
       "      <td>-0.126283</td>\n",
       "      <td>0.753530</td>\n",
       "      <td>-0.653887</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>-0.463470</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/23</th>\n",
       "      <td>0.110132</td>\n",
       "      <td>0.110132</td>\n",
       "      <td>-0.061921</td>\n",
       "      <td>-0.631001</td>\n",
       "      <td>0.612775</td>\n",
       "      <td>0.265192</td>\n",
       "      <td>0.440153</td>\n",
       "      <td>-0.120103</td>\n",
       "      <td>0.166178</td>\n",
       "      <td>-0.399777</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.257603</td>\n",
       "      <td>-1.002152</td>\n",
       "      <td>-1.511068</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>1.570189</td>\n",
       "      <td>-1.417555</td>\n",
       "      <td>-1.327087</td>\n",
       "      <td>0.483595</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>0.269060</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/24</th>\n",
       "      <td>0.709318</td>\n",
       "      <td>0.709318</td>\n",
       "      <td>-0.660073</td>\n",
       "      <td>-0.686591</td>\n",
       "      <td>-0.143807</td>\n",
       "      <td>1.567567</td>\n",
       "      <td>0.702366</td>\n",
       "      <td>1.015162</td>\n",
       "      <td>1.748807</td>\n",
       "      <td>1.456013</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.788642</td>\n",
       "      <td>-1.028097</td>\n",
       "      <td>1.425119</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>1.418142</td>\n",
       "      <td>-0.786934</td>\n",
       "      <td>0.753530</td>\n",
       "      <td>3.238359</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>-0.034703</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/28</th>\n",
       "      <td>-1.238615</td>\n",
       "      <td>-1.238615</td>\n",
       "      <td>-1.308269</td>\n",
       "      <td>0.153511</td>\n",
       "      <td>-1.106361</td>\n",
       "      <td>-1.403476</td>\n",
       "      <td>-0.980344</td>\n",
       "      <td>-0.075342</td>\n",
       "      <td>-0.959923</td>\n",
       "      <td>-1.539297</td>\n",
       "      <td>...</td>\n",
       "      <td>0.850890</td>\n",
       "      <td>-1.469155</td>\n",
       "      <td>0.421295</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>1.076036</td>\n",
       "      <td>0.924752</td>\n",
       "      <td>0.753530</td>\n",
       "      <td>-0.367688</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>1.191359</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/29</th>\n",
       "      <td>1.096631</td>\n",
       "      <td>1.096631</td>\n",
       "      <td>-1.046718</td>\n",
       "      <td>-0.667863</td>\n",
       "      <td>1.103220</td>\n",
       "      <td>1.526868</td>\n",
       "      <td>0.726980</td>\n",
       "      <td>0.515987</td>\n",
       "      <td>1.748807</td>\n",
       "      <td>0.479281</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.910822</td>\n",
       "      <td>-0.846485</td>\n",
       "      <td>-0.429677</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>1.000012</td>\n",
       "      <td>0.924752</td>\n",
       "      <td>0.753530</td>\n",
       "      <td>0.197822</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>-0.016905</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/30</th>\n",
       "      <td>-1.240896</td>\n",
       "      <td>-1.240896</td>\n",
       "      <td>1.286776</td>\n",
       "      <td>-0.460959</td>\n",
       "      <td>-0.571810</td>\n",
       "      <td>-1.322078</td>\n",
       "      <td>-0.089502</td>\n",
       "      <td>-0.539190</td>\n",
       "      <td>-0.868618</td>\n",
       "      <td>-1.457903</td>\n",
       "      <td>...</td>\n",
       "      <td>1.359062</td>\n",
       "      <td>1.462586</td>\n",
       "      <td>-0.117124</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>-0.482448</td>\n",
       "      <td>1.014841</td>\n",
       "      <td>0.753530</td>\n",
       "      <td>-1.412842</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>1.672465</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>1237 rows × 30 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                        a51       a49       a12       a35       a54       a25  \\\n",
       "ticker Date                                                                     \n",
       "ZBRA   2016/02/03 -0.340970 -0.340970  0.388403 -0.585220 -1.328388 -0.355135   \n",
       "       2016/02/04 -0.240726 -0.240726 -0.312101 -0.585220 -0.077067 -1.383797   \n",
       "       2016/02/05  0.887030  0.887030  0.813709 -0.585220  1.442462  0.181558   \n",
       "       2016/02/08  0.729829  0.729829 -0.680549 -0.585220  0.785915  0.405180   \n",
       "       2016/02/09  0.005330  0.005330  0.042700 -0.585220 -1.063040 -0.578758   \n",
       "...                     ...       ...       ...       ...       ...       ...   \n",
       "       2020/12/23  0.110132  0.110132 -0.061921 -0.631001  0.612775  0.265192   \n",
       "       2020/12/24  0.709318  0.709318 -0.660073 -0.686591 -0.143807  1.567567   \n",
       "       2020/12/28 -1.238615 -1.238615 -1.308269  0.153511 -1.106361 -1.403476   \n",
       "       2020/12/29  1.096631  1.096631 -1.046718 -0.667863  1.103220  1.526868   \n",
       "       2020/12/30 -1.240896 -1.240896  1.286776 -0.460959 -0.571810 -1.322078   \n",
       "\n",
       "                        a17       a38       a18       a34  ...        a5  \\\n",
       "ticker Date                                                ...             \n",
       "ZBRA   2016/02/03  0.149898 -1.368530 -1.033169 -0.906747  ...  1.073546   \n",
       "       2016/02/04  0.149898 -2.001795 -1.033169 -0.101749  ...  1.505046   \n",
       "       2016/02/05  0.149898  0.466350  1.241109  0.184473  ... -0.199935   \n",
       "       2016/02/08  0.633324  0.347911  1.374890  1.257804  ... -0.647096   \n",
       "       2016/02/09  0.484643  0.001867 -0.163592 -0.495304  ... -0.049920   \n",
       "...                     ...       ...       ...       ...  ...       ...   \n",
       "       2020/12/23  0.440153 -0.120103  0.166178 -0.399777  ... -0.257603   \n",
       "       2020/12/24  0.702366  1.015162  1.748807  1.456013  ... -0.788642   \n",
       "       2020/12/28 -0.980344 -0.075342 -0.959923 -1.539297  ...  0.850890   \n",
       "       2020/12/29  0.726980  0.515987  1.748807  0.479281  ... -0.910822   \n",
       "       2020/12/30 -0.089502 -0.539190 -0.868618 -1.457903  ...  1.359062   \n",
       "\n",
       "                        a45       a23       a74       a13       a84       a81  \\\n",
       "ticker Date                                                                     \n",
       "ZBRA   2016/02/03  0.252434  0.448670  0.803086  0.773194 -0.126283  0.753530   \n",
       "       2016/02/04  0.252434 -0.363515  0.803086 -0.897654 -0.126283  0.753530   \n",
       "       2016/02/05  0.252434  0.022046  0.803086 -0.020459 -0.126283  0.753530   \n",
       "       2016/02/08  0.252434  0.284408  0.803086  0.397253 -0.126283  0.753530   \n",
       "       2016/02/09  0.925829  0.284408  0.803086 -1.022968 -0.126283  0.753530   \n",
       "...                     ...       ...       ...       ...       ...       ...   \n",
       "       2020/12/23 -1.002152 -1.511068  0.803086  1.570189 -1.417555 -1.327087   \n",
       "       2020/12/24 -1.028097  1.425119  0.803086  1.418142 -0.786934  0.753530   \n",
       "       2020/12/28 -1.469155  0.421295  0.803086  1.076036  0.924752  0.753530   \n",
       "       2020/12/29 -0.846485 -0.429677  0.803086  1.000012  0.924752  0.753530   \n",
       "       2020/12/30  1.462586 -0.117124  0.803086 -0.482448  1.014841  0.753530   \n",
       "\n",
       "                        a11       a21       a14  \n",
       "ticker Date                                      \n",
       "ZBRA   2016/02/03 -0.101815  0.553381  0.131069  \n",
       "       2016/02/04 -0.514552  0.553381  0.259351  \n",
       "       2016/02/05 -0.822789  0.553381  0.050947  \n",
       "       2016/02/08 -0.432734  0.553381 -0.125712  \n",
       "       2016/02/09 -0.653887  0.553381 -0.463470  \n",
       "...                     ...       ...       ...  \n",
       "       2020/12/23  0.483595  0.553381  0.269060  \n",
       "       2020/12/24  3.238359  0.553381 -0.034703  \n",
       "       2020/12/28 -0.367688  0.553381  1.191359  \n",
       "       2020/12/29  0.197822  0.553381 -0.016905  \n",
       "       2020/12/30 -1.412842  0.553381  1.672465  \n",
       "\n",
       "[1237 rows x 30 columns]"
      ]
     },
     "execution_count": 20,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "alpha_nor.loc[['ZBRA']]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "bc764e7f",
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "markdown",
   "id": "bfc44515",
   "metadata": {},
   "source": [
    "# Lasso"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 22,
   "id": "95fa366c",
   "metadata": {},
   "outputs": [],
   "source": [
    "alpha_test_2021=pd.read_csv('backtesting alpha 2021.csv', header=0)\n",
    "alpha_test_2021=alpha_test_2021.set_index(['ticker', 'Date'])\n",
    "\n",
    "alpha_test_2021_2022=pd.read_csv('backtesting alpha 2021&2022.csv', header=0)\n",
    "alpha_test_2021_2022=alpha_test_2021_2022.set_index(['ticker', 'Date'])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 23,
   "id": "bff70f56",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th></th>\n",
       "      <th></th>\n",
       "      <th>a51</th>\n",
       "      <th>a49</th>\n",
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       "      <th>a21</th>\n",
       "      <th>a14</th>\n",
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       "    <tr>\n",
       "      <th>ticker</th>\n",
       "      <th>Date</th>\n",
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       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">AAPL</th>\n",
       "      <th>2021/01/05</th>\n",
       "      <td>-1.000000</td>\n",
       "      <td>-1.000000</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>-0.718397</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
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       "    <tr>\n",
       "      <th>2021/01/06</th>\n",
       "      <td>-1.000000</td>\n",
       "      <td>-1.000000</td>\n",
       "      <td>4.409996</td>\n",
       "      <td>NaN</td>\n",
       "      <td>-0.049230</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/01/07</th>\n",
       "      <td>-1.000000</td>\n",
       "      <td>-1.000000</td>\n",
       "      <td>4.320000</td>\n",
       "      <td>NaN</td>\n",
       "      <td>-0.735356</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1</td>\n",
       "      <td>NaN</td>\n",
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       "    <tr>\n",
       "      <th>2021/01/08</th>\n",
       "      <td>-1.000000</td>\n",
       "      <td>-1.000000</td>\n",
       "      <td>1.130005</td>\n",
       "      <td>NaN</td>\n",
       "      <td>-0.769307</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0</td>\n",
       "      <td>1.188262</td>\n",
       "      <td>1</td>\n",
       "      <td>NaN</td>\n",
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       "    <tr>\n",
       "      <th>2021/01/11</th>\n",
       "      <td>-1.000000</td>\n",
       "      <td>-1.000000</td>\n",
       "      <td>-3.070007</td>\n",
       "      <td>NaN</td>\n",
       "      <td>-0.289770</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0.846154</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.631868</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0</td>\n",
       "      <td>0.009419</td>\n",
       "      <td>1</td>\n",
       "      <td>NaN</td>\n",
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       "    <tr>\n",
       "      <th>...</th>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">ZBRA</th>\n",
       "      <th>2021/12/23</th>\n",
       "      <td>-1.979980</td>\n",
       "      <td>-1.979980</td>\n",
       "      <td>-1.979980</td>\n",
       "      <td>1302.0</td>\n",
       "      <td>-0.459641</td>\n",
       "      <td>0.307692</td>\n",
       "      <td>-0.042040</td>\n",
       "      <td>-0.016906</td>\n",
       "      <td>-0.285714</td>\n",
       "      <td>0.675824</td>\n",
       "      <td>...</td>\n",
       "      <td>0.004830</td>\n",
       "      <td>-0.743872</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.054945</td>\n",
       "      <td>0.087912</td>\n",
       "      <td>0</td>\n",
       "      <td>1.470837</td>\n",
       "      <td>1</td>\n",
       "      <td>0.524067</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/27</th>\n",
       "      <td>-23.920044</td>\n",
       "      <td>-23.920044</td>\n",
       "      <td>-23.920044</td>\n",
       "      <td>14880.0</td>\n",
       "      <td>-0.809768</td>\n",
       "      <td>0.197802</td>\n",
       "      <td>-0.627943</td>\n",
       "      <td>-0.058447</td>\n",
       "      <td>-0.978022</td>\n",
       "      <td>0.043956</td>\n",
       "      <td>...</td>\n",
       "      <td>0.054945</td>\n",
       "      <td>-0.763193</td>\n",
       "      <td>-24.800049</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.434066</td>\n",
       "      <td>0.703297</td>\n",
       "      <td>-1</td>\n",
       "      <td>0.792296</td>\n",
       "      <td>1</td>\n",
       "      <td>0.456526</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/28</th>\n",
       "      <td>9.010010</td>\n",
       "      <td>9.010010</td>\n",
       "      <td>-9.010010</td>\n",
       "      <td>160.0</td>\n",
       "      <td>-0.229235</td>\n",
       "      <td>0.835165</td>\n",
       "      <td>-0.000920</td>\n",
       "      <td>-0.123657</td>\n",
       "      <td>-0.241758</td>\n",
       "      <td>0.516484</td>\n",
       "      <td>...</td>\n",
       "      <td>0.056515</td>\n",
       "      <td>-0.096607</td>\n",
       "      <td>-22.460022</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.626374</td>\n",
       "      <td>0.626374</td>\n",
       "      <td>0</td>\n",
       "      <td>0.567323</td>\n",
       "      <td>-1</td>\n",
       "      <td>0.115708</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/29</th>\n",
       "      <td>-3.799988</td>\n",
       "      <td>-3.799988</td>\n",
       "      <td>3.799988</td>\n",
       "      <td>294.0</td>\n",
       "      <td>-0.639683</td>\n",
       "      <td>0.186813</td>\n",
       "      <td>-0.076886</td>\n",
       "      <td>-0.266997</td>\n",
       "      <td>-0.967033</td>\n",
       "      <td>0.175824</td>\n",
       "      <td>...</td>\n",
       "      <td>0.639053</td>\n",
       "      <td>0.859585</td>\n",
       "      <td>3.750000</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.450549</td>\n",
       "      <td>0.835165</td>\n",
       "      <td>0</td>\n",
       "      <td>0.405024</td>\n",
       "      <td>1</td>\n",
       "      <td>0.584279</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/30</th>\n",
       "      <td>3.580017</td>\n",
       "      <td>3.580017</td>\n",
       "      <td>-3.580017</td>\n",
       "      <td>78.0</td>\n",
       "      <td>-0.154421</td>\n",
       "      <td>0.780220</td>\n",
       "      <td>-0.004802</td>\n",
       "      <td>-0.079882</td>\n",
       "      <td>-0.791209</td>\n",
       "      <td>0.956044</td>\n",
       "      <td>...</td>\n",
       "      <td>0.073421</td>\n",
       "      <td>-0.696413</td>\n",
       "      <td>3.830017</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.626374</td>\n",
       "      <td>0.846154</td>\n",
       "      <td>0</td>\n",
       "      <td>0.331361</td>\n",
       "      <td>1</td>\n",
       "      <td>0.015954</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>22750 rows × 30 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                         a51        a49        a12      a35       a54  \\\n",
       "ticker Date                                                             \n",
       "AAPL   2021/01/05  -1.000000  -1.000000        NaN      NaN -0.718397   \n",
       "       2021/01/06  -1.000000  -1.000000   4.409996      NaN -0.049230   \n",
       "       2021/01/07  -1.000000  -1.000000   4.320000      NaN -0.735356   \n",
       "       2021/01/08  -1.000000  -1.000000   1.130005      NaN -0.769307   \n",
       "       2021/01/11  -1.000000  -1.000000  -3.070007      NaN -0.289770   \n",
       "...                      ...        ...        ...      ...       ...   \n",
       "ZBRA   2021/12/23  -1.979980  -1.979980  -1.979980   1302.0 -0.459641   \n",
       "       2021/12/27 -23.920044 -23.920044 -23.920044  14880.0 -0.809768   \n",
       "       2021/12/28   9.010010   9.010010  -9.010010    160.0 -0.229235   \n",
       "       2021/12/29  -3.799988  -3.799988   3.799988    294.0 -0.639683   \n",
       "       2021/12/30   3.580017   3.580017  -3.580017     78.0 -0.154421   \n",
       "\n",
       "                        a25       a17       a38       a18       a34  ...  \\\n",
       "ticker Date                                                          ...   \n",
       "AAPL   2021/01/05       NaN       NaN       NaN       NaN       NaN  ...   \n",
       "       2021/01/06       NaN       NaN       NaN       NaN       NaN  ...   \n",
       "       2021/01/07       NaN       NaN       NaN       NaN       NaN  ...   \n",
       "       2021/01/08       NaN       NaN       NaN       NaN       NaN  ...   \n",
       "       2021/01/11       NaN       NaN       NaN       NaN  0.846154  ...   \n",
       "...                     ...       ...       ...       ...       ...  ...   \n",
       "ZBRA   2021/12/23  0.307692 -0.042040 -0.016906 -0.285714  0.675824  ...   \n",
       "       2021/12/27  0.197802 -0.627943 -0.058447 -0.978022  0.043956  ...   \n",
       "       2021/12/28  0.835165 -0.000920 -0.123657 -0.241758  0.516484  ...   \n",
       "       2021/12/29  0.186813 -0.076886 -0.266997 -0.967033  0.175824  ...   \n",
       "       2021/12/30  0.780220 -0.004802 -0.079882 -0.791209  0.956044  ...   \n",
       "\n",
       "                         a5       a45        a23  a74       a13       a84  \\\n",
       "ticker Date                                                                 \n",
       "AAPL   2021/01/05       NaN       NaN   0.000000    0       NaN       NaN   \n",
       "       2021/01/06       NaN       NaN   0.000000    0       NaN       NaN   \n",
       "       2021/01/07       NaN       NaN   0.000000    0       NaN       NaN   \n",
       "       2021/01/08       NaN       NaN   0.000000    0       NaN       NaN   \n",
       "       2021/01/11       NaN       NaN   0.000000    0 -0.631868       NaN   \n",
       "...                     ...       ...        ...  ...       ...       ...   \n",
       "ZBRA   2021/12/23  0.004830 -0.743872   0.000000    0 -0.054945  0.087912   \n",
       "       2021/12/27  0.054945 -0.763193 -24.800049    0 -0.434066  0.703297   \n",
       "       2021/12/28  0.056515 -0.096607 -22.460022    0 -0.626374  0.626374   \n",
       "       2021/12/29  0.639053  0.859585   3.750000    0 -0.450549  0.835165   \n",
       "       2021/12/30  0.073421 -0.696413   3.830017    0 -0.626374  0.846154   \n",
       "\n",
       "                   a81       a11  a21       a14  \n",
       "ticker Date                                      \n",
       "AAPL   2021/01/05    0       NaN    1       NaN  \n",
       "       2021/01/06    0       NaN    1       NaN  \n",
       "       2021/01/07    0       NaN    1       NaN  \n",
       "       2021/01/08    0  1.188262    1       NaN  \n",
       "       2021/01/11    0  0.009419    1       NaN  \n",
       "...                ...       ...  ...       ...  \n",
       "ZBRA   2021/12/23    0  1.470837    1  0.524067  \n",
       "       2021/12/27   -1  0.792296    1  0.456526  \n",
       "       2021/12/28    0  0.567323   -1  0.115708  \n",
       "       2021/12/29    0  0.405024    1  0.584279  \n",
       "       2021/12/30    0  0.331361    1  0.015954  \n",
       "\n",
       "[22750 rows x 30 columns]"
      ]
     },
     "execution_count": 23,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "alpha_test_2021"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 49,
   "id": "400aa8eb",
   "metadata": {},
   "outputs": [],
   "source": [
    "alpha_test_2021=alpha_test_2021[alpha_test_2021.index.get_level_values('Date') >='2021/02/03']\n",
    "alpha_test_2021_2022=alpha_test_2021_2022[alpha_test_2021_2022.index.get_level_values('Date') >='2021/02/03']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 50,
   "id": "773885d7",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th></th>\n",
       "      <th></th>\n",
       "      <th>a51</th>\n",
       "      <th>a49</th>\n",
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       "      <th>a21</th>\n",
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       "    </tr>\n",
       "    <tr>\n",
       "      <th>ticker</th>\n",
       "      <th>Date</th>\n",
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       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">AAPL</th>\n",
       "      <th>2021/02/03</th>\n",
       "      <td>1.050003</td>\n",
       "      <td>1.050003</td>\n",
       "      <td>1.050003</td>\n",
       "      <td>2490.237443</td>\n",
       "      <td>-0.163444</td>\n",
       "      <td>0.802198</td>\n",
       "      <td>-0.137292</td>\n",
       "      <td>-0.084169</td>\n",
       "      <td>-0.527473</td>\n",
       "      <td>0.901099</td>\n",
       "      <td>...</td>\n",
       "      <td>0.051926</td>\n",
       "      <td>-0.000218</td>\n",
       "      <td>-0.389999</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.813187</td>\n",
       "      <td>0.517015</td>\n",
       "      <td>0</td>\n",
       "      <td>0.013404</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.224561</td>\n",
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       "    <tr>\n",
       "      <th>2021/02/04</th>\n",
       "      <td>-3.449997</td>\n",
       "      <td>-3.449997</td>\n",
       "      <td>3.449997</td>\n",
       "      <td>2490.237443</td>\n",
       "      <td>-0.957539</td>\n",
       "      <td>0.373626</td>\n",
       "      <td>-0.137292</td>\n",
       "      <td>-0.197802</td>\n",
       "      <td>-0.538462</td>\n",
       "      <td>0.412088</td>\n",
       "      <td>...</td>\n",
       "      <td>0.147084</td>\n",
       "      <td>-0.000218</td>\n",
       "      <td>-1.089996</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.813187</td>\n",
       "      <td>0.517015</td>\n",
       "      <td>0</td>\n",
       "      <td>0.023910</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.264246</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/05</th>\n",
       "      <td>0.630005</td>\n",
       "      <td>0.630005</td>\n",
       "      <td>-0.630005</td>\n",
       "      <td>2490.237443</td>\n",
       "      <td>-0.589473</td>\n",
       "      <td>0.890110</td>\n",
       "      <td>-0.137292</td>\n",
       "      <td>-0.101497</td>\n",
       "      <td>-0.406593</td>\n",
       "      <td>0.219780</td>\n",
       "      <td>...</td>\n",
       "      <td>0.085135</td>\n",
       "      <td>-0.000218</td>\n",
       "      <td>-1.649994</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.780220</td>\n",
       "      <td>0.517015</td>\n",
       "      <td>0</td>\n",
       "      <td>0.070161</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.173221</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/08</th>\n",
       "      <td>-0.150009</td>\n",
       "      <td>-0.150009</td>\n",
       "      <td>0.150009</td>\n",
       "      <td>2490.237443</td>\n",
       "      <td>-0.944539</td>\n",
       "      <td>0.472527</td>\n",
       "      <td>-0.018434</td>\n",
       "      <td>-0.121724</td>\n",
       "      <td>-0.538462</td>\n",
       "      <td>0.747253</td>\n",
       "      <td>...</td>\n",
       "      <td>0.104818</td>\n",
       "      <td>-0.000218</td>\n",
       "      <td>0.439987</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.725275</td>\n",
       "      <td>0.517015</td>\n",
       "      <td>0</td>\n",
       "      <td>0.030914</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.094295</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/09</th>\n",
       "      <td>0.900009</td>\n",
       "      <td>0.900009</td>\n",
       "      <td>0.900009</td>\n",
       "      <td>2490.237443</td>\n",
       "      <td>-0.080595</td>\n",
       "      <td>0.956044</td>\n",
       "      <td>-0.051722</td>\n",
       "      <td>-0.099746</td>\n",
       "      <td>-0.175824</td>\n",
       "      <td>0.857143</td>\n",
       "      <td>...</td>\n",
       "      <td>0.040575</td>\n",
       "      <td>0.294590</td>\n",
       "      <td>-0.460007</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.725275</td>\n",
       "      <td>0.517015</td>\n",
       "      <td>0</td>\n",
       "      <td>0.082840</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.091278</td>\n",
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       "      <th>...</th>\n",
       "      <th>...</th>\n",
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       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">ZBRA</th>\n",
       "      <th>2021/12/23</th>\n",
       "      <td>-1.979980</td>\n",
       "      <td>-1.979980</td>\n",
       "      <td>-1.979980</td>\n",
       "      <td>1302.000000</td>\n",
       "      <td>-0.459641</td>\n",
       "      <td>0.307692</td>\n",
       "      <td>-0.042040</td>\n",
       "      <td>-0.016906</td>\n",
       "      <td>-0.285714</td>\n",
       "      <td>0.675824</td>\n",
       "      <td>...</td>\n",
       "      <td>0.004830</td>\n",
       "      <td>-0.743872</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.054945</td>\n",
       "      <td>0.087912</td>\n",
       "      <td>0</td>\n",
       "      <td>1.470837</td>\n",
       "      <td>1</td>\n",
       "      <td>0.524067</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/27</th>\n",
       "      <td>-23.920044</td>\n",
       "      <td>-23.920044</td>\n",
       "      <td>-23.920044</td>\n",
       "      <td>14880.000000</td>\n",
       "      <td>-0.809768</td>\n",
       "      <td>0.197802</td>\n",
       "      <td>-0.627943</td>\n",
       "      <td>-0.058447</td>\n",
       "      <td>-0.978022</td>\n",
       "      <td>0.043956</td>\n",
       "      <td>...</td>\n",
       "      <td>0.054945</td>\n",
       "      <td>-0.763193</td>\n",
       "      <td>-24.800049</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.434066</td>\n",
       "      <td>0.703297</td>\n",
       "      <td>-1</td>\n",
       "      <td>0.792296</td>\n",
       "      <td>1</td>\n",
       "      <td>0.456526</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/28</th>\n",
       "      <td>9.010010</td>\n",
       "      <td>9.010010</td>\n",
       "      <td>-9.010010</td>\n",
       "      <td>160.000000</td>\n",
       "      <td>-0.229235</td>\n",
       "      <td>0.835165</td>\n",
       "      <td>-0.000920</td>\n",
       "      <td>-0.123657</td>\n",
       "      <td>-0.241758</td>\n",
       "      <td>0.516484</td>\n",
       "      <td>...</td>\n",
       "      <td>0.056515</td>\n",
       "      <td>-0.096607</td>\n",
       "      <td>-22.460022</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.626374</td>\n",
       "      <td>0.626374</td>\n",
       "      <td>0</td>\n",
       "      <td>0.567323</td>\n",
       "      <td>-1</td>\n",
       "      <td>0.115708</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/29</th>\n",
       "      <td>-3.799988</td>\n",
       "      <td>-3.799988</td>\n",
       "      <td>3.799988</td>\n",
       "      <td>294.000000</td>\n",
       "      <td>-0.639683</td>\n",
       "      <td>0.186813</td>\n",
       "      <td>-0.076886</td>\n",
       "      <td>-0.266997</td>\n",
       "      <td>-0.967033</td>\n",
       "      <td>0.175824</td>\n",
       "      <td>...</td>\n",
       "      <td>0.639053</td>\n",
       "      <td>0.859585</td>\n",
       "      <td>3.750000</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.450549</td>\n",
       "      <td>0.835165</td>\n",
       "      <td>0</td>\n",
       "      <td>0.405024</td>\n",
       "      <td>1</td>\n",
       "      <td>0.584279</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/30</th>\n",
       "      <td>3.580017</td>\n",
       "      <td>3.580017</td>\n",
       "      <td>-3.580017</td>\n",
       "      <td>78.000000</td>\n",
       "      <td>-0.154421</td>\n",
       "      <td>0.780220</td>\n",
       "      <td>-0.004802</td>\n",
       "      <td>-0.079882</td>\n",
       "      <td>-0.791209</td>\n",
       "      <td>0.956044</td>\n",
       "      <td>...</td>\n",
       "      <td>0.073421</td>\n",
       "      <td>-0.696413</td>\n",
       "      <td>3.830017</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.626374</td>\n",
       "      <td>0.846154</td>\n",
       "      <td>0</td>\n",
       "      <td>0.331361</td>\n",
       "      <td>1</td>\n",
       "      <td>0.015954</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>20930 rows × 30 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                         a51        a49        a12           a35       a54  \\\n",
       "ticker Date                                                                  \n",
       "AAPL   2021/02/03   1.050003   1.050003   1.050003   2490.237443 -0.163444   \n",
       "       2021/02/04  -3.449997  -3.449997   3.449997   2490.237443 -0.957539   \n",
       "       2021/02/05   0.630005   0.630005  -0.630005   2490.237443 -0.589473   \n",
       "       2021/02/08  -0.150009  -0.150009   0.150009   2490.237443 -0.944539   \n",
       "       2021/02/09   0.900009   0.900009   0.900009   2490.237443 -0.080595   \n",
       "...                      ...        ...        ...           ...       ...   \n",
       "ZBRA   2021/12/23  -1.979980  -1.979980  -1.979980   1302.000000 -0.459641   \n",
       "       2021/12/27 -23.920044 -23.920044 -23.920044  14880.000000 -0.809768   \n",
       "       2021/12/28   9.010010   9.010010  -9.010010    160.000000 -0.229235   \n",
       "       2021/12/29  -3.799988  -3.799988   3.799988    294.000000 -0.639683   \n",
       "       2021/12/30   3.580017   3.580017  -3.580017     78.000000 -0.154421   \n",
       "\n",
       "                        a25       a17       a38       a18       a34  ...  \\\n",
       "ticker Date                                                          ...   \n",
       "AAPL   2021/02/03  0.802198 -0.137292 -0.084169 -0.527473  0.901099  ...   \n",
       "       2021/02/04  0.373626 -0.137292 -0.197802 -0.538462  0.412088  ...   \n",
       "       2021/02/05  0.890110 -0.137292 -0.101497 -0.406593  0.219780  ...   \n",
       "       2021/02/08  0.472527 -0.018434 -0.121724 -0.538462  0.747253  ...   \n",
       "       2021/02/09  0.956044 -0.051722 -0.099746 -0.175824  0.857143  ...   \n",
       "...                     ...       ...       ...       ...       ...  ...   \n",
       "ZBRA   2021/12/23  0.307692 -0.042040 -0.016906 -0.285714  0.675824  ...   \n",
       "       2021/12/27  0.197802 -0.627943 -0.058447 -0.978022  0.043956  ...   \n",
       "       2021/12/28  0.835165 -0.000920 -0.123657 -0.241758  0.516484  ...   \n",
       "       2021/12/29  0.186813 -0.076886 -0.266997 -0.967033  0.175824  ...   \n",
       "       2021/12/30  0.780220 -0.004802 -0.079882 -0.791209  0.956044  ...   \n",
       "\n",
       "                         a5       a45        a23  a74       a13       a84  \\\n",
       "ticker Date                                                                 \n",
       "AAPL   2021/02/03  0.051926 -0.000218  -0.389999    0 -0.813187  0.517015   \n",
       "       2021/02/04  0.147084 -0.000218  -1.089996    0 -0.813187  0.517015   \n",
       "       2021/02/05  0.085135 -0.000218  -1.649994    0 -0.780220  0.517015   \n",
       "       2021/02/08  0.104818 -0.000218   0.439987    0 -0.725275  0.517015   \n",
       "       2021/02/09  0.040575  0.294590  -0.460007    0 -0.725275  0.517015   \n",
       "...                     ...       ...        ...  ...       ...       ...   \n",
       "ZBRA   2021/12/23  0.004830 -0.743872   0.000000    0 -0.054945  0.087912   \n",
       "       2021/12/27  0.054945 -0.763193 -24.800049    0 -0.434066  0.703297   \n",
       "       2021/12/28  0.056515 -0.096607 -22.460022    0 -0.626374  0.626374   \n",
       "       2021/12/29  0.639053  0.859585   3.750000    0 -0.450549  0.835165   \n",
       "       2021/12/30  0.073421 -0.696413   3.830017    0 -0.626374  0.846154   \n",
       "\n",
       "                   a81       a11  a21       a14  \n",
       "ticker Date                                      \n",
       "AAPL   2021/02/03    0  0.013404    1 -0.224561  \n",
       "       2021/02/04    0  0.023910    1 -0.264246  \n",
       "       2021/02/05    0  0.070161    1 -0.173221  \n",
       "       2021/02/08    0  0.030914    1 -0.094295  \n",
       "       2021/02/09    0  0.082840    1 -0.091278  \n",
       "...                ...       ...  ...       ...  \n",
       "ZBRA   2021/12/23    0  1.470837    1  0.524067  \n",
       "       2021/12/27   -1  0.792296    1  0.456526  \n",
       "       2021/12/28    0  0.567323   -1  0.115708  \n",
       "       2021/12/29    0  0.405024    1  0.584279  \n",
       "       2021/12/30    0  0.331361    1  0.015954  \n",
       "\n",
       "[20930 rows x 30 columns]"
      ]
     },
     "execution_count": 50,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "alpha_test_2021"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 51,
   "id": "74d031ca",
   "metadata": {},
   "outputs": [],
   "source": [
    "alpha_test_2021=alpha_test_2021[alpha_nor.columns]\n",
    "alpha_test_2021_2022=alpha_test_2021_2022[alpha_nor.columns]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 52,
   "id": "eb0e688c",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th>ticker</th>\n",
       "      <th>Date</th>\n",
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       "      <th rowspan=\"5\" valign=\"top\">AAPL</th>\n",
       "      <th>2021/02/03</th>\n",
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       "      <td>-1.089996</td>\n",
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       "      <td>-0.813187</td>\n",
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       "      <th>2021/02/05</th>\n",
       "      <td>0.630005</td>\n",
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       "      <td>-0.630005</td>\n",
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       "      <td>-0.589473</td>\n",
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       "      <td>-0.101497</td>\n",
       "      <td>-0.406593</td>\n",
       "      <td>0.219780</td>\n",
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       "      <td>0.085135</td>\n",
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       "      <th>2021/02/08</th>\n",
       "      <td>-0.150009</td>\n",
       "      <td>-0.150009</td>\n",
       "      <td>0.150009</td>\n",
       "      <td>2490.237443</td>\n",
       "      <td>-0.944539</td>\n",
       "      <td>0.472527</td>\n",
       "      <td>-0.018434</td>\n",
       "      <td>-0.121724</td>\n",
       "      <td>-0.538462</td>\n",
       "      <td>0.747253</td>\n",
       "      <td>...</td>\n",
       "      <td>0.104818</td>\n",
       "      <td>-0.000218</td>\n",
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       "      <th>2021/02/09</th>\n",
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       "      <th rowspan=\"5\" valign=\"top\">ZBRA</th>\n",
       "      <th>2021/12/23</th>\n",
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       "      <td>-0.042040</td>\n",
       "      <td>-0.016906</td>\n",
       "      <td>-0.285714</td>\n",
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       "      <td>0.004830</td>\n",
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       "      <td>-0.054945</td>\n",
       "      <td>0.087912</td>\n",
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       "      <th>2021/12/27</th>\n",
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       "      <td>-0.058447</td>\n",
       "      <td>-0.978022</td>\n",
       "      <td>0.043956</td>\n",
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       "      <td>0.054945</td>\n",
       "      <td>-0.763193</td>\n",
       "      <td>-24.800049</td>\n",
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       "      <td>-0.434066</td>\n",
       "      <td>0.703297</td>\n",
       "      <td>-1</td>\n",
       "      <td>0.792296</td>\n",
       "      <td>1</td>\n",
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       "    <tr>\n",
       "      <th>2021/12/28</th>\n",
       "      <td>9.010010</td>\n",
       "      <td>9.010010</td>\n",
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       "      <td>160.000000</td>\n",
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       "      <td>-0.000920</td>\n",
       "      <td>-0.123657</td>\n",
       "      <td>-0.241758</td>\n",
       "      <td>0.516484</td>\n",
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       "      <td>0.056515</td>\n",
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       "      <td>-22.460022</td>\n",
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       "      <td>-0.626374</td>\n",
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       "      <td>-1</td>\n",
       "      <td>0.115708</td>\n",
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       "    <tr>\n",
       "      <th>2021/12/29</th>\n",
       "      <td>-3.799988</td>\n",
       "      <td>-3.799988</td>\n",
       "      <td>3.799988</td>\n",
       "      <td>294.000000</td>\n",
       "      <td>-0.639683</td>\n",
       "      <td>0.186813</td>\n",
       "      <td>-0.076886</td>\n",
       "      <td>-0.266997</td>\n",
       "      <td>-0.967033</td>\n",
       "      <td>0.175824</td>\n",
       "      <td>...</td>\n",
       "      <td>0.639053</td>\n",
       "      <td>0.859585</td>\n",
       "      <td>3.750000</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.450549</td>\n",
       "      <td>0.835165</td>\n",
       "      <td>0</td>\n",
       "      <td>0.405024</td>\n",
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       "      <td>0.584279</td>\n",
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       "    <tr>\n",
       "      <th>2021/12/30</th>\n",
       "      <td>3.580017</td>\n",
       "      <td>3.580017</td>\n",
       "      <td>-3.580017</td>\n",
       "      <td>78.000000</td>\n",
       "      <td>-0.154421</td>\n",
       "      <td>0.780220</td>\n",
       "      <td>-0.004802</td>\n",
       "      <td>-0.079882</td>\n",
       "      <td>-0.791209</td>\n",
       "      <td>0.956044</td>\n",
       "      <td>...</td>\n",
       "      <td>0.073421</td>\n",
       "      <td>-0.696413</td>\n",
       "      <td>3.830017</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.626374</td>\n",
       "      <td>0.846154</td>\n",
       "      <td>0</td>\n",
       "      <td>0.331361</td>\n",
       "      <td>1</td>\n",
       "      <td>0.015954</td>\n",
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      "text/plain": [
       "                         a51        a49        a12           a35       a54  \\\n",
       "ticker Date                                                                  \n",
       "AAPL   2021/02/03   1.050003   1.050003   1.050003   2490.237443 -0.163444   \n",
       "       2021/02/04  -3.449997  -3.449997   3.449997   2490.237443 -0.957539   \n",
       "       2021/02/05   0.630005   0.630005  -0.630005   2490.237443 -0.589473   \n",
       "       2021/02/08  -0.150009  -0.150009   0.150009   2490.237443 -0.944539   \n",
       "       2021/02/09   0.900009   0.900009   0.900009   2490.237443 -0.080595   \n",
       "...                      ...        ...        ...           ...       ...   \n",
       "ZBRA   2021/12/23  -1.979980  -1.979980  -1.979980   1302.000000 -0.459641   \n",
       "       2021/12/27 -23.920044 -23.920044 -23.920044  14880.000000 -0.809768   \n",
       "       2021/12/28   9.010010   9.010010  -9.010010    160.000000 -0.229235   \n",
       "       2021/12/29  -3.799988  -3.799988   3.799988    294.000000 -0.639683   \n",
       "       2021/12/30   3.580017   3.580017  -3.580017     78.000000 -0.154421   \n",
       "\n",
       "                        a25       a17       a38       a18       a34  ...  \\\n",
       "ticker Date                                                          ...   \n",
       "AAPL   2021/02/03  0.802198 -0.137292 -0.084169 -0.527473  0.901099  ...   \n",
       "       2021/02/04  0.373626 -0.137292 -0.197802 -0.538462  0.412088  ...   \n",
       "       2021/02/05  0.890110 -0.137292 -0.101497 -0.406593  0.219780  ...   \n",
       "       2021/02/08  0.472527 -0.018434 -0.121724 -0.538462  0.747253  ...   \n",
       "       2021/02/09  0.956044 -0.051722 -0.099746 -0.175824  0.857143  ...   \n",
       "...                     ...       ...       ...       ...       ...  ...   \n",
       "ZBRA   2021/12/23  0.307692 -0.042040 -0.016906 -0.285714  0.675824  ...   \n",
       "       2021/12/27  0.197802 -0.627943 -0.058447 -0.978022  0.043956  ...   \n",
       "       2021/12/28  0.835165 -0.000920 -0.123657 -0.241758  0.516484  ...   \n",
       "       2021/12/29  0.186813 -0.076886 -0.266997 -0.967033  0.175824  ...   \n",
       "       2021/12/30  0.780220 -0.004802 -0.079882 -0.791209  0.956044  ...   \n",
       "\n",
       "                         a5       a45        a23  a74       a13       a84  \\\n",
       "ticker Date                                                                 \n",
       "AAPL   2021/02/03  0.051926 -0.000218  -0.389999    0 -0.813187  0.517015   \n",
       "       2021/02/04  0.147084 -0.000218  -1.089996    0 -0.813187  0.517015   \n",
       "       2021/02/05  0.085135 -0.000218  -1.649994    0 -0.780220  0.517015   \n",
       "       2021/02/08  0.104818 -0.000218   0.439987    0 -0.725275  0.517015   \n",
       "       2021/02/09  0.040575  0.294590  -0.460007    0 -0.725275  0.517015   \n",
       "...                     ...       ...        ...  ...       ...       ...   \n",
       "ZBRA   2021/12/23  0.004830 -0.743872   0.000000    0 -0.054945  0.087912   \n",
       "       2021/12/27  0.054945 -0.763193 -24.800049    0 -0.434066  0.703297   \n",
       "       2021/12/28  0.056515 -0.096607 -22.460022    0 -0.626374  0.626374   \n",
       "       2021/12/29  0.639053  0.859585   3.750000    0 -0.450549  0.835165   \n",
       "       2021/12/30  0.073421 -0.696413   3.830017    0 -0.626374  0.846154   \n",
       "\n",
       "                   a81       a11  a21       a14  \n",
       "ticker Date                                      \n",
       "AAPL   2021/02/03    0  0.013404    1 -0.224561  \n",
       "       2021/02/04    0  0.023910    1 -0.264246  \n",
       "       2021/02/05    0  0.070161    1 -0.173221  \n",
       "       2021/02/08    0  0.030914    1 -0.094295  \n",
       "       2021/02/09    0  0.082840    1 -0.091278  \n",
       "...                ...       ...  ...       ...  \n",
       "ZBRA   2021/12/23    0  1.470837    1  0.524067  \n",
       "       2021/12/27   -1  0.792296    1  0.456526  \n",
       "       2021/12/28    0  0.567323   -1  0.115708  \n",
       "       2021/12/29    0  0.405024    1  0.584279  \n",
       "       2021/12/30    0  0.331361    1  0.015954  \n",
       "\n",
       "[20930 rows x 30 columns]"
      ]
     },
     "execution_count": 52,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "alpha_test_2021"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 53,
   "id": "62f82b18",
   "metadata": {},
   "outputs": [],
   "source": [
    "alpha_test_2021.replace([np.inf, -np.inf], np.nan, inplace=True)\n",
    "alpha_test_2021=alpha_test_2021.ffill()\n",
    "alpha_test_2021=alpha_test_2021.groupby('ticker').transform(lambda x: x.fillna(x.mean()))\n",
    "\n",
    "alpha_test_2021_2022.replace([np.inf, -np.inf], np.nan, inplace=True)\n",
    "alpha_test_2021_2022=alpha_test_2021_2022.ffill()\n",
    "alpha_test_2021_2022=alpha_test_2021_2022.groupby('ticker').transform(lambda x: x.fillna(x.mean()))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 54,
   "id": "460d56b7",
   "metadata": {},
   "outputs": [
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       "      <th>a5</th>\n",
       "      <th>a45</th>\n",
       "      <th>a23</th>\n",
       "      <th>a74</th>\n",
       "      <th>a13</th>\n",
       "      <th>a84</th>\n",
       "      <th>a81</th>\n",
       "      <th>a11</th>\n",
       "      <th>a21</th>\n",
       "      <th>a14</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ticker</th>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">AAPL</th>\n",
       "      <th>2021/02/03</th>\n",
       "      <td>0.581220</td>\n",
       "      <td>0.581220</td>\n",
       "      <td>0.377991</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>1.161355</td>\n",
       "      <td>0.826532</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.894630</td>\n",
       "      <td>-0.147203</td>\n",
       "      <td>1.480758</td>\n",
       "      <td>...</td>\n",
       "      <td>-1.285006</td>\n",
       "      <td>3.634981e-17</td>\n",
       "      <td>0.211120</td>\n",
       "      <td>0.744348</td>\n",
       "      <td>-1.415909</td>\n",
       "      <td>-1.045026e-15</td>\n",
       "      <td>0.838870</td>\n",
       "      <td>-0.861017</td>\n",
       "      <td>0.540495</td>\n",
       "      <td>-1.125624</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/04</th>\n",
       "      <td>-1.531671</td>\n",
       "      <td>-1.531671</td>\n",
       "      <td>1.508087</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>-1.513942</td>\n",
       "      <td>-0.304167</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.368820</td>\n",
       "      <td>-0.203537</td>\n",
       "      <td>-0.316628</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.704244</td>\n",
       "      <td>3.634981e-17</td>\n",
       "      <td>-0.119427</td>\n",
       "      <td>0.744348</td>\n",
       "      <td>-1.415909</td>\n",
       "      <td>-1.045026e-15</td>\n",
       "      <td>0.838870</td>\n",
       "      <td>-0.839307</td>\n",
       "      <td>0.540495</td>\n",
       "      <td>-1.290649</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/05</th>\n",
       "      <td>0.384018</td>\n",
       "      <td>0.384018</td>\n",
       "      <td>-0.413082</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>-0.273932</td>\n",
       "      <td>1.058471</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.814446</td>\n",
       "      <td>0.472471</td>\n",
       "      <td>-1.023465</td>\n",
       "      <td>...</td>\n",
       "      <td>-1.082329</td>\n",
       "      <td>3.634981e-17</td>\n",
       "      <td>-0.383865</td>\n",
       "      <td>0.744348</td>\n",
       "      <td>-1.240273</td>\n",
       "      <td>-1.045026e-15</td>\n",
       "      <td>0.838870</td>\n",
       "      <td>-0.743732</td>\n",
       "      <td>0.540495</td>\n",
       "      <td>-0.912139</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/08</th>\n",
       "      <td>0.017777</td>\n",
       "      <td>0.017777</td>\n",
       "      <td>-0.045793</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>-1.470146</td>\n",
       "      <td>-0.043236</td>\n",
       "      <td>0.805405</td>\n",
       "      <td>0.720850</td>\n",
       "      <td>-0.203537</td>\n",
       "      <td>0.915288</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.962197</td>\n",
       "      <td>3.634981e-17</td>\n",
       "      <td>0.603051</td>\n",
       "      <td>0.744348</td>\n",
       "      <td>-0.947546</td>\n",
       "      <td>-1.045026e-15</td>\n",
       "      <td>0.838870</td>\n",
       "      <td>-0.824833</td>\n",
       "      <td>0.540495</td>\n",
       "      <td>-0.583938</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/09</th>\n",
       "      <td>0.510793</td>\n",
       "      <td>0.510793</td>\n",
       "      <td>0.307363</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>1.440472</td>\n",
       "      <td>1.232424</td>\n",
       "      <td>0.579842</td>\n",
       "      <td>0.822548</td>\n",
       "      <td>1.655487</td>\n",
       "      <td>1.319195</td>\n",
       "      <td>...</td>\n",
       "      <td>-1.354285</td>\n",
       "      <td>9.834800e-01</td>\n",
       "      <td>0.178062</td>\n",
       "      <td>0.744348</td>\n",
       "      <td>-0.947546</td>\n",
       "      <td>-1.045026e-15</td>\n",
       "      <td>0.838870</td>\n",
       "      <td>-0.717530</td>\n",
       "      <td>0.540495</td>\n",
       "      <td>-0.571394</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">ZBRA</th>\n",
       "      <th>2021/12/23</th>\n",
       "      <td>-0.124594</td>\n",
       "      <td>-0.124594</td>\n",
       "      <td>-0.168311</td>\n",
       "      <td>-0.297554</td>\n",
       "      <td>0.199164</td>\n",
       "      <td>-0.693614</td>\n",
       "      <td>0.558769</td>\n",
       "      <td>1.170582</td>\n",
       "      <td>0.871201</td>\n",
       "      <td>0.505285</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.899652</td>\n",
       "      <td>-1.232189e+00</td>\n",
       "      <td>0.349405</td>\n",
       "      <td>0.675053</td>\n",
       "      <td>2.608270</td>\n",
       "      <td>-1.359833e+00</td>\n",
       "      <td>0.574003</td>\n",
       "      <td>2.800034</td>\n",
       "      <td>0.587392</td>\n",
       "      <td>1.540104</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/27</th>\n",
       "      <td>-2.514773</td>\n",
       "      <td>-2.514773</td>\n",
       "      <td>-2.551230</td>\n",
       "      <td>3.961733</td>\n",
       "      <td>-1.057598</td>\n",
       "      <td>-1.068982</td>\n",
       "      <td>-2.834756</td>\n",
       "      <td>0.975725</td>\n",
       "      <td>-1.026815</td>\n",
       "      <td>-1.413289</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.753283</td>\n",
       "      <td>-1.264718e+00</td>\n",
       "      <td>-2.240228</td>\n",
       "      <td>0.675053</td>\n",
       "      <td>0.503778</td>\n",
       "      <td>4.140719e-01</td>\n",
       "      <td>-1.742150</td>\n",
       "      <td>0.796750</td>\n",
       "      <td>0.587392</td>\n",
       "      <td>1.318605</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/28</th>\n",
       "      <td>1.072670</td>\n",
       "      <td>1.072670</td>\n",
       "      <td>-0.931845</td>\n",
       "      <td>-0.655789</td>\n",
       "      <td>1.026192</td>\n",
       "      <td>1.108150</td>\n",
       "      <td>0.796935</td>\n",
       "      <td>0.669845</td>\n",
       "      <td>0.991710</td>\n",
       "      <td>0.021471</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.748698</td>\n",
       "      <td>-1.424707e-01</td>\n",
       "      <td>-1.995882</td>\n",
       "      <td>0.675053</td>\n",
       "      <td>-0.563717</td>\n",
       "      <td>1.923337e-01</td>\n",
       "      <td>0.574003</td>\n",
       "      <td>0.132554</td>\n",
       "      <td>-1.702441</td>\n",
       "      <td>0.200903</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/29</th>\n",
       "      <td>-0.322868</td>\n",
       "      <td>-0.322868</td>\n",
       "      <td>0.459454</td>\n",
       "      <td>-0.613754</td>\n",
       "      <td>-0.447087</td>\n",
       "      <td>-1.106518</td>\n",
       "      <td>0.356942</td>\n",
       "      <td>-0.002524</td>\n",
       "      <td>-0.996688</td>\n",
       "      <td>-1.012891</td>\n",
       "      <td>...</td>\n",
       "      <td>0.952717</td>\n",
       "      <td>1.467349e+00</td>\n",
       "      <td>0.740981</td>\n",
       "      <td>0.675053</td>\n",
       "      <td>0.412279</td>\n",
       "      <td>7.941944e-01</td>\n",
       "      <td>0.574003</td>\n",
       "      <td>-0.346608</td>\n",
       "      <td>0.587392</td>\n",
       "      <td>1.737567</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/30</th>\n",
       "      <td>0.481120</td>\n",
       "      <td>0.481120</td>\n",
       "      <td>-0.342091</td>\n",
       "      <td>-0.681511</td>\n",
       "      <td>1.294734</td>\n",
       "      <td>0.920467</td>\n",
       "      <td>0.774446</td>\n",
       "      <td>0.875181</td>\n",
       "      <td>-0.514652</td>\n",
       "      <td>1.356130</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.699320</td>\n",
       "      <td>-1.152290e+00</td>\n",
       "      <td>0.749337</td>\n",
       "      <td>0.675053</td>\n",
       "      <td>-0.563717</td>\n",
       "      <td>8.258712e-01</td>\n",
       "      <td>0.574003</td>\n",
       "      <td>-0.564085</td>\n",
       "      <td>0.587392</td>\n",
       "      <td>-0.126239</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>20930 rows × 30 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                        a51       a49       a12       a35       a54       a25  \\\n",
       "ticker Date                                                                     \n",
       "AAPL   2021/02/03  0.581220  0.581220  0.377991  0.000000  1.161355  0.826532   \n",
       "       2021/02/04 -1.531671 -1.531671  1.508087  0.000000 -1.513942 -0.304167   \n",
       "       2021/02/05  0.384018  0.384018 -0.413082  0.000000 -0.273932  1.058471   \n",
       "       2021/02/08  0.017777  0.017777 -0.045793  0.000000 -1.470146 -0.043236   \n",
       "       2021/02/09  0.510793  0.510793  0.307363  0.000000  1.440472  1.232424   \n",
       "...                     ...       ...       ...       ...       ...       ...   \n",
       "ZBRA   2021/12/23 -0.124594 -0.124594 -0.168311 -0.297554  0.199164 -0.693614   \n",
       "       2021/12/27 -2.514773 -2.514773 -2.551230  3.961733 -1.057598 -1.068982   \n",
       "       2021/12/28  1.072670  1.072670 -0.931845 -0.655789  1.026192  1.108150   \n",
       "       2021/12/29 -0.322868 -0.322868  0.459454 -0.613754 -0.447087 -1.106518   \n",
       "       2021/12/30  0.481120  0.481120 -0.342091 -0.681511  1.294734  0.920467   \n",
       "\n",
       "                        a17       a38       a18       a34  ...        a5  \\\n",
       "ticker Date                                                ...             \n",
       "AAPL   2021/02/03  0.000000  0.894630 -0.147203  1.480758  ... -1.285006   \n",
       "       2021/02/04  0.000000  0.368820 -0.203537 -0.316628  ... -0.704244   \n",
       "       2021/02/05  0.000000  0.814446  0.472471 -1.023465  ... -1.082329   \n",
       "       2021/02/08  0.805405  0.720850 -0.203537  0.915288  ... -0.962197   \n",
       "       2021/02/09  0.579842  0.822548  1.655487  1.319195  ... -1.354285   \n",
       "...                     ...       ...       ...       ...  ...       ...   \n",
       "ZBRA   2021/12/23  0.558769  1.170582  0.871201  0.505285  ... -0.899652   \n",
       "       2021/12/27 -2.834756  0.975725 -1.026815 -1.413289  ... -0.753283   \n",
       "       2021/12/28  0.796935  0.669845  0.991710  0.021471  ... -0.748698   \n",
       "       2021/12/29  0.356942 -0.002524 -0.996688 -1.012891  ...  0.952717   \n",
       "       2021/12/30  0.774446  0.875181 -0.514652  1.356130  ... -0.699320   \n",
       "\n",
       "                            a45       a23       a74       a13           a84  \\\n",
       "ticker Date                                                                   \n",
       "AAPL   2021/02/03  3.634981e-17  0.211120  0.744348 -1.415909 -1.045026e-15   \n",
       "       2021/02/04  3.634981e-17 -0.119427  0.744348 -1.415909 -1.045026e-15   \n",
       "       2021/02/05  3.634981e-17 -0.383865  0.744348 -1.240273 -1.045026e-15   \n",
       "       2021/02/08  3.634981e-17  0.603051  0.744348 -0.947546 -1.045026e-15   \n",
       "       2021/02/09  9.834800e-01  0.178062  0.744348 -0.947546 -1.045026e-15   \n",
       "...                         ...       ...       ...       ...           ...   \n",
       "ZBRA   2021/12/23 -1.232189e+00  0.349405  0.675053  2.608270 -1.359833e+00   \n",
       "       2021/12/27 -1.264718e+00 -2.240228  0.675053  0.503778  4.140719e-01   \n",
       "       2021/12/28 -1.424707e-01 -1.995882  0.675053 -0.563717  1.923337e-01   \n",
       "       2021/12/29  1.467349e+00  0.740981  0.675053  0.412279  7.941944e-01   \n",
       "       2021/12/30 -1.152290e+00  0.749337  0.675053 -0.563717  8.258712e-01   \n",
       "\n",
       "                        a81       a11       a21       a14  \n",
       "ticker Date                                                \n",
       "AAPL   2021/02/03  0.838870 -0.861017  0.540495 -1.125624  \n",
       "       2021/02/04  0.838870 -0.839307  0.540495 -1.290649  \n",
       "       2021/02/05  0.838870 -0.743732  0.540495 -0.912139  \n",
       "       2021/02/08  0.838870 -0.824833  0.540495 -0.583938  \n",
       "       2021/02/09  0.838870 -0.717530  0.540495 -0.571394  \n",
       "...                     ...       ...       ...       ...  \n",
       "ZBRA   2021/12/23  0.574003  2.800034  0.587392  1.540104  \n",
       "       2021/12/27 -1.742150  0.796750  0.587392  1.318605  \n",
       "       2021/12/28  0.574003  0.132554 -1.702441  0.200903  \n",
       "       2021/12/29  0.574003 -0.346608  0.587392  1.737567  \n",
       "       2021/12/30  0.574003 -0.564085  0.587392 -0.126239  \n",
       "\n",
       "[20930 rows x 30 columns]"
      ]
     },
     "execution_count": 54,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "alpha_test_nor_2021=alpha_test_2021.groupby('ticker').transform(lambda x: scale(x))\n",
    "alpha_test_nor_2021_2022=alpha_test_2021_2022.groupby('ticker').transform(lambda x: scale(x))\n",
    "alpha_test_nor_2021"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 55,
   "id": "083d81ab",
   "metadata": {},
   "outputs": [],
   "source": [
    "tickers=[\"AAPL\", \"MSFT\", \"AMZN\", \"GOOGL\", \"GOOG\", \"TSLA\", \"META\", \"NVDA\", \"PYPL\", \"NFLX\",\n",
    "    \"ASML\", \"ADBE\", \"INTC\", \"CMCSA\", \"CSCO\", \"PEP\", \"AVGO\", \"TMUS\", \"COST\",\n",
    "    \"TXN\", \"QCOM\", \"AMAT\", \"MU\", \"AMGN\", \"INTU\", \"ISRG\", \"CSX\", \"VRTX\",\n",
    "    \"JD\", \"GILD\", \"BIDU\", \"MRVL\", \"REGN\", \"MDLZ\", \"ADSK\", \"ATVI\", \"BIIB\", \"ILMN\",\n",
    "    \"LRCX\", \"ADP\", \"BKNG\", \"MELI\", \"KLAC\", \"NXPI\", \"MNST\", \"WDAY\", \"ROST\",\n",
    "    \"KDP\", \"EA\", \"ALGN\", \"ADI\", \"IDXX\", \"DXCM\", \"XEL\", \"CTAS\", \"EXC\", \"MAR\",\n",
    "    \"SNPS\", \"CDNS\", \"CPRT\", \"SGEN\", \"SPLK\", \"ORLY\", \"DLTR\", \"MTCH\",\n",
    "    \"MCHP\", \"INCY\", \"PCAR\", \"CTSH\", \"FAST\", \"VRSK\", \"CHKP\", \"ANSS\",\n",
    "    \"SWKS\", \"CDW\", \"TEAM\", \"WBA\", \"LULU\", \"PAYX\",\n",
    "    \"VRSN\", \"AEP\", \"ZBRA\", \"TCOM\", \"NTES\", \"BMRN\", \"ULTA\", \"EXPE\",\n",
    "    \"CSGP\", \"SIRI\", \"EBAY\", \"WDC\"\n",
    "    ]\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 56,
   "id": "370bad7d",
   "metadata": {},
   "outputs": [],
   "source": [
    "training_log_ret=training_log_ret[training_log_ret.index.get_level_values('Date') >='2016/02/03']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 57,
   "id": "1a1df8d1",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th></th>\n",
       "      <th></th>\n",
       "      <th>a51</th>\n",
       "      <th>a49</th>\n",
       "      <th>a12</th>\n",
       "      <th>a35</th>\n",
       "      <th>a54</th>\n",
       "      <th>a25</th>\n",
       "      <th>a17</th>\n",
       "      <th>a38</th>\n",
       "      <th>a18</th>\n",
       "      <th>a34</th>\n",
       "      <th>...</th>\n",
       "      <th>a5</th>\n",
       "      <th>a45</th>\n",
       "      <th>a23</th>\n",
       "      <th>a74</th>\n",
       "      <th>a13</th>\n",
       "      <th>a84</th>\n",
       "      <th>a81</th>\n",
       "      <th>a11</th>\n",
       "      <th>a21</th>\n",
       "      <th>a14</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ticker</th>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">AAPL</th>\n",
       "      <th>2016/02/03</th>\n",
       "      <td>-0.288753</td>\n",
       "      <td>-0.288753</td>\n",
       "      <td>-0.416899</td>\n",
       "      <td>-1.327336e-16</td>\n",
       "      <td>-0.865137</td>\n",
       "      <td>-1.285677</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>-0.074604</td>\n",
       "      <td>-1.020275</td>\n",
       "      <td>-0.994222</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.069897</td>\n",
       "      <td>-2.852414e-17</td>\n",
       "      <td>0.264835</td>\n",
       "      <td>1.087041</td>\n",
       "      <td>0.451078</td>\n",
       "      <td>5.460353e-16</td>\n",
       "      <td>0.757490</td>\n",
       "      <td>-0.915863</td>\n",
       "      <td>0.629414</td>\n",
       "      <td>-0.213018</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/02/04</th>\n",
       "      <td>0.020221</td>\n",
       "      <td>0.020221</td>\n",
       "      <td>-0.108073</td>\n",
       "      <td>-1.327336e-16</td>\n",
       "      <td>-0.394148</td>\n",
       "      <td>-0.857112</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.064509</td>\n",
       "      <td>0.140747</td>\n",
       "      <td>0.115370</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.082496</td>\n",
       "      <td>-2.852414e-17</td>\n",
       "      <td>0.264835</td>\n",
       "      <td>1.087041</td>\n",
       "      <td>0.516681</td>\n",
       "      <td>5.460353e-16</td>\n",
       "      <td>0.757490</td>\n",
       "      <td>0.727112</td>\n",
       "      <td>0.629414</td>\n",
       "      <td>-0.274093</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/02/05</th>\n",
       "      <td>0.559974</td>\n",
       "      <td>0.559974</td>\n",
       "      <td>-0.552250</td>\n",
       "      <td>-1.327336e-16</td>\n",
       "      <td>1.446707</td>\n",
       "      <td>0.692314</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>-0.584489</td>\n",
       "      <td>-1.252479</td>\n",
       "      <td>-0.680186</td>\n",
       "      <td>...</td>\n",
       "      <td>0.867487</td>\n",
       "      <td>-2.852414e-17</td>\n",
       "      <td>0.264835</td>\n",
       "      <td>1.087041</td>\n",
       "      <td>-0.139350</td>\n",
       "      <td>5.460353e-16</td>\n",
       "      <td>0.757490</td>\n",
       "      <td>0.774188</td>\n",
       "      <td>0.629414</td>\n",
       "      <td>-0.210418</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/02/08</th>\n",
       "      <td>-0.120916</td>\n",
       "      <td>-0.120916</td>\n",
       "      <td>-0.249143</td>\n",
       "      <td>-1.327336e-16</td>\n",
       "      <td>-0.522728</td>\n",
       "      <td>-1.351610</td>\n",
       "      <td>-2.008652</td>\n",
       "      <td>-0.115930</td>\n",
       "      <td>-1.020275</td>\n",
       "      <td>-1.810714</td>\n",
       "      <td>...</td>\n",
       "      <td>2.071135</td>\n",
       "      <td>-2.852414e-17</td>\n",
       "      <td>0.264835</td>\n",
       "      <td>1.087041</td>\n",
       "      <td>-0.139350</td>\n",
       "      <td>5.460353e-16</td>\n",
       "      <td>0.757490</td>\n",
       "      <td>0.678557</td>\n",
       "      <td>0.629414</td>\n",
       "      <td>-0.705986</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016/02/09</th>\n",
       "      <td>0.071718</td>\n",
       "      <td>0.071718</td>\n",
       "      <td>-0.064228</td>\n",
       "      <td>-1.327336e-16</td>\n",
       "      <td>0.053353</td>\n",
       "      <td>0.197816</td>\n",
       "      <td>0.777291</td>\n",
       "      <td>-0.092648</td>\n",
       "      <td>2.172536</td>\n",
       "      <td>0.387534</td>\n",
       "      <td>...</td>\n",
       "      <td>1.211026</td>\n",
       "      <td>-1.991817e-01</td>\n",
       "      <td>0.264835</td>\n",
       "      <td>1.087041</td>\n",
       "      <td>-1.123395</td>\n",
       "      <td>5.460353e-16</td>\n",
       "      <td>0.757490</td>\n",
       "      <td>-0.862625</td>\n",
       "      <td>0.629414</td>\n",
       "      <td>-0.387017</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">ZBRA</th>\n",
       "      <th>2020/12/23</th>\n",
       "      <td>0.110132</td>\n",
       "      <td>0.110132</td>\n",
       "      <td>-0.061921</td>\n",
       "      <td>-6.310006e-01</td>\n",
       "      <td>0.612775</td>\n",
       "      <td>0.265192</td>\n",
       "      <td>0.440153</td>\n",
       "      <td>-0.120103</td>\n",
       "      <td>0.166178</td>\n",
       "      <td>-0.399777</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.257603</td>\n",
       "      <td>-1.002152e+00</td>\n",
       "      <td>-1.511068</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>1.570189</td>\n",
       "      <td>-1.417555e+00</td>\n",
       "      <td>-1.327087</td>\n",
       "      <td>0.483595</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>0.269060</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/24</th>\n",
       "      <td>0.709318</td>\n",
       "      <td>0.709318</td>\n",
       "      <td>-0.660073</td>\n",
       "      <td>-6.865912e-01</td>\n",
       "      <td>-0.143807</td>\n",
       "      <td>1.567567</td>\n",
       "      <td>0.702366</td>\n",
       "      <td>1.015162</td>\n",
       "      <td>1.748807</td>\n",
       "      <td>1.456013</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.788642</td>\n",
       "      <td>-1.028097e+00</td>\n",
       "      <td>1.425119</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>1.418142</td>\n",
       "      <td>-7.869338e-01</td>\n",
       "      <td>0.753530</td>\n",
       "      <td>3.238359</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>-0.034703</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/28</th>\n",
       "      <td>-1.238615</td>\n",
       "      <td>-1.238615</td>\n",
       "      <td>-1.308269</td>\n",
       "      <td>1.535110e-01</td>\n",
       "      <td>-1.106361</td>\n",
       "      <td>-1.403476</td>\n",
       "      <td>-0.980344</td>\n",
       "      <td>-0.075342</td>\n",
       "      <td>-0.959923</td>\n",
       "      <td>-1.539297</td>\n",
       "      <td>...</td>\n",
       "      <td>0.850890</td>\n",
       "      <td>-1.469155e+00</td>\n",
       "      <td>0.421295</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>1.076036</td>\n",
       "      <td>9.247524e-01</td>\n",
       "      <td>0.753530</td>\n",
       "      <td>-0.367688</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>1.191359</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/29</th>\n",
       "      <td>1.096631</td>\n",
       "      <td>1.096631</td>\n",
       "      <td>-1.046718</td>\n",
       "      <td>-6.678628e-01</td>\n",
       "      <td>1.103220</td>\n",
       "      <td>1.526868</td>\n",
       "      <td>0.726980</td>\n",
       "      <td>0.515987</td>\n",
       "      <td>1.748807</td>\n",
       "      <td>0.479281</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.910822</td>\n",
       "      <td>-8.464846e-01</td>\n",
       "      <td>-0.429677</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>1.000012</td>\n",
       "      <td>9.247524e-01</td>\n",
       "      <td>0.753530</td>\n",
       "      <td>0.197822</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>-0.016905</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2020/12/30</th>\n",
       "      <td>-1.240896</td>\n",
       "      <td>-1.240896</td>\n",
       "      <td>1.286776</td>\n",
       "      <td>-4.609587e-01</td>\n",
       "      <td>-0.571810</td>\n",
       "      <td>-1.322078</td>\n",
       "      <td>-0.089502</td>\n",
       "      <td>-0.539190</td>\n",
       "      <td>-0.868618</td>\n",
       "      <td>-1.457903</td>\n",
       "      <td>...</td>\n",
       "      <td>1.359062</td>\n",
       "      <td>1.462586e+00</td>\n",
       "      <td>-0.117124</td>\n",
       "      <td>0.803086</td>\n",
       "      <td>-0.482448</td>\n",
       "      <td>1.014841e+00</td>\n",
       "      <td>0.753530</td>\n",
       "      <td>-1.412842</td>\n",
       "      <td>0.553381</td>\n",
       "      <td>1.672465</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>112567 rows × 30 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                        a51       a49       a12           a35       a54  \\\n",
       "ticker Date                                                               \n",
       "AAPL   2016/02/03 -0.288753 -0.288753 -0.416899 -1.327336e-16 -0.865137   \n",
       "       2016/02/04  0.020221  0.020221 -0.108073 -1.327336e-16 -0.394148   \n",
       "       2016/02/05  0.559974  0.559974 -0.552250 -1.327336e-16  1.446707   \n",
       "       2016/02/08 -0.120916 -0.120916 -0.249143 -1.327336e-16 -0.522728   \n",
       "       2016/02/09  0.071718  0.071718 -0.064228 -1.327336e-16  0.053353   \n",
       "...                     ...       ...       ...           ...       ...   \n",
       "ZBRA   2020/12/23  0.110132  0.110132 -0.061921 -6.310006e-01  0.612775   \n",
       "       2020/12/24  0.709318  0.709318 -0.660073 -6.865912e-01 -0.143807   \n",
       "       2020/12/28 -1.238615 -1.238615 -1.308269  1.535110e-01 -1.106361   \n",
       "       2020/12/29  1.096631  1.096631 -1.046718 -6.678628e-01  1.103220   \n",
       "       2020/12/30 -1.240896 -1.240896  1.286776 -4.609587e-01 -0.571810   \n",
       "\n",
       "                        a25       a17       a38       a18       a34  ...  \\\n",
       "ticker Date                                                          ...   \n",
       "AAPL   2016/02/03 -1.285677  0.000000 -0.074604 -1.020275 -0.994222  ...   \n",
       "       2016/02/04 -0.857112  0.000000  0.064509  0.140747  0.115370  ...   \n",
       "       2016/02/05  0.692314  0.000000 -0.584489 -1.252479 -0.680186  ...   \n",
       "       2016/02/08 -1.351610 -2.008652 -0.115930 -1.020275 -1.810714  ...   \n",
       "       2016/02/09  0.197816  0.777291 -0.092648  2.172536  0.387534  ...   \n",
       "...                     ...       ...       ...       ...       ...  ...   \n",
       "ZBRA   2020/12/23  0.265192  0.440153 -0.120103  0.166178 -0.399777  ...   \n",
       "       2020/12/24  1.567567  0.702366  1.015162  1.748807  1.456013  ...   \n",
       "       2020/12/28 -1.403476 -0.980344 -0.075342 -0.959923 -1.539297  ...   \n",
       "       2020/12/29  1.526868  0.726980  0.515987  1.748807  0.479281  ...   \n",
       "       2020/12/30 -1.322078 -0.089502 -0.539190 -0.868618 -1.457903  ...   \n",
       "\n",
       "                         a5           a45       a23       a74       a13  \\\n",
       "ticker Date                                                               \n",
       "AAPL   2016/02/03 -0.069897 -2.852414e-17  0.264835  1.087041  0.451078   \n",
       "       2016/02/04 -0.082496 -2.852414e-17  0.264835  1.087041  0.516681   \n",
       "       2016/02/05  0.867487 -2.852414e-17  0.264835  1.087041 -0.139350   \n",
       "       2016/02/08  2.071135 -2.852414e-17  0.264835  1.087041 -0.139350   \n",
       "       2016/02/09  1.211026 -1.991817e-01  0.264835  1.087041 -1.123395   \n",
       "...                     ...           ...       ...       ...       ...   \n",
       "ZBRA   2020/12/23 -0.257603 -1.002152e+00 -1.511068  0.803086  1.570189   \n",
       "       2020/12/24 -0.788642 -1.028097e+00  1.425119  0.803086  1.418142   \n",
       "       2020/12/28  0.850890 -1.469155e+00  0.421295  0.803086  1.076036   \n",
       "       2020/12/29 -0.910822 -8.464846e-01 -0.429677  0.803086  1.000012   \n",
       "       2020/12/30  1.359062  1.462586e+00 -0.117124  0.803086 -0.482448   \n",
       "\n",
       "                            a84       a81       a11       a21       a14  \n",
       "ticker Date                                                              \n",
       "AAPL   2016/02/03  5.460353e-16  0.757490 -0.915863  0.629414 -0.213018  \n",
       "       2016/02/04  5.460353e-16  0.757490  0.727112  0.629414 -0.274093  \n",
       "       2016/02/05  5.460353e-16  0.757490  0.774188  0.629414 -0.210418  \n",
       "       2016/02/08  5.460353e-16  0.757490  0.678557  0.629414 -0.705986  \n",
       "       2016/02/09  5.460353e-16  0.757490 -0.862625  0.629414 -0.387017  \n",
       "...                         ...       ...       ...       ...       ...  \n",
       "ZBRA   2020/12/23 -1.417555e+00 -1.327087  0.483595  0.553381  0.269060  \n",
       "       2020/12/24 -7.869338e-01  0.753530  3.238359  0.553381 -0.034703  \n",
       "       2020/12/28  9.247524e-01  0.753530 -0.367688  0.553381  1.191359  \n",
       "       2020/12/29  9.247524e-01  0.753530  0.197822  0.553381 -0.016905  \n",
       "       2020/12/30  1.014841e+00  0.753530 -1.412842  0.553381  1.672465  \n",
       "\n",
       "[112567 rows x 30 columns]"
      ]
     },
     "execution_count": 57,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "alpha_nor"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 58,
   "id": "1d0c0814",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2021/02/03</th>\n",
       "      <td>1.500000</td>\n",
       "      <td>1.500000</td>\n",
       "      <td>-1.500000</td>\n",
       "      <td>704.0</td>\n",
       "      <td>-0.201671</td>\n",
       "      <td>0.538462</td>\n",
       "      <td>-0.364237</td>\n",
       "      <td>-0.306968</td>\n",
       "      <td>-0.153846</td>\n",
       "      <td>0.461538</td>\n",
       "      <td>...</td>\n",
       "      <td>0.185847</td>\n",
       "      <td>-0.114962</td>\n",
       "      <td>-11.810028</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.510989</td>\n",
       "      <td>0.219780</td>\n",
       "      <td>0</td>\n",
       "      <td>0.780099</td>\n",
       "      <td>-1</td>\n",
       "      <td>0.468840</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/04</th>\n",
       "      <td>-3.649994</td>\n",
       "      <td>-3.649994</td>\n",
       "      <td>3.649994</td>\n",
       "      <td>704.0</td>\n",
       "      <td>-0.642979</td>\n",
       "      <td>0.329670</td>\n",
       "      <td>-0.364237</td>\n",
       "      <td>-0.229139</td>\n",
       "      <td>-0.714286</td>\n",
       "      <td>0.587912</td>\n",
       "      <td>...</td>\n",
       "      <td>0.546552</td>\n",
       "      <td>-0.114962</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.450549</td>\n",
       "      <td>0.219780</td>\n",
       "      <td>0</td>\n",
       "      <td>0.578916</td>\n",
       "      <td>-1</td>\n",
       "      <td>0.076665</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/05</th>\n",
       "      <td>0.230011</td>\n",
       "      <td>0.230011</td>\n",
       "      <td>0.230011</td>\n",
       "      <td>704.0</td>\n",
       "      <td>-0.246496</td>\n",
       "      <td>0.648352</td>\n",
       "      <td>-0.364237</td>\n",
       "      <td>-0.254317</td>\n",
       "      <td>-0.527473</td>\n",
       "      <td>0.769231</td>\n",
       "      <td>...</td>\n",
       "      <td>0.126796</td>\n",
       "      <td>-0.114962</td>\n",
       "      <td>0.250000</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.406593</td>\n",
       "      <td>0.219780</td>\n",
       "      <td>0</td>\n",
       "      <td>0.810289</td>\n",
       "      <td>-1</td>\n",
       "      <td>0.114349</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/08</th>\n",
       "      <td>-13.200012</td>\n",
       "      <td>-13.200012</td>\n",
       "      <td>13.200012</td>\n",
       "      <td>704.0</td>\n",
       "      <td>-0.904538</td>\n",
       "      <td>0.670330</td>\n",
       "      <td>-0.460259</td>\n",
       "      <td>-0.720263</td>\n",
       "      <td>-0.956044</td>\n",
       "      <td>0.027473</td>\n",
       "      <td>...</td>\n",
       "      <td>0.787948</td>\n",
       "      <td>-0.114962</td>\n",
       "      <td>-10.950012</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.472527</td>\n",
       "      <td>0.219780</td>\n",
       "      <td>0</td>\n",
       "      <td>0.560319</td>\n",
       "      <td>-1</td>\n",
       "      <td>0.567022</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/09</th>\n",
       "      <td>-4.959991</td>\n",
       "      <td>-4.959991</td>\n",
       "      <td>-4.959991</td>\n",
       "      <td>704.0</td>\n",
       "      <td>-0.917630</td>\n",
       "      <td>0.373626</td>\n",
       "      <td>-0.089587</td>\n",
       "      <td>-0.706436</td>\n",
       "      <td>-0.901099</td>\n",
       "      <td>0.087912</td>\n",
       "      <td>...</td>\n",
       "      <td>0.841686</td>\n",
       "      <td>-0.483033</td>\n",
       "      <td>-13.509979</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.461538</td>\n",
       "      <td>0.219780</td>\n",
       "      <td>0</td>\n",
       "      <td>0.641589</td>\n",
       "      <td>-1</td>\n",
       "      <td>0.184809</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/23</th>\n",
       "      <td>-1.979980</td>\n",
       "      <td>-1.979980</td>\n",
       "      <td>-1.979980</td>\n",
       "      <td>1302.0</td>\n",
       "      <td>-0.459641</td>\n",
       "      <td>0.307692</td>\n",
       "      <td>-0.042040</td>\n",
       "      <td>-0.016906</td>\n",
       "      <td>-0.285714</td>\n",
       "      <td>0.675824</td>\n",
       "      <td>...</td>\n",
       "      <td>0.004830</td>\n",
       "      <td>-0.743872</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.054945</td>\n",
       "      <td>0.087912</td>\n",
       "      <td>0</td>\n",
       "      <td>1.470837</td>\n",
       "      <td>1</td>\n",
       "      <td>0.524067</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/27</th>\n",
       "      <td>-23.920044</td>\n",
       "      <td>-23.920044</td>\n",
       "      <td>-23.920044</td>\n",
       "      <td>14880.0</td>\n",
       "      <td>-0.809768</td>\n",
       "      <td>0.197802</td>\n",
       "      <td>-0.627943</td>\n",
       "      <td>-0.058447</td>\n",
       "      <td>-0.978022</td>\n",
       "      <td>0.043956</td>\n",
       "      <td>...</td>\n",
       "      <td>0.054945</td>\n",
       "      <td>-0.763193</td>\n",
       "      <td>-24.800049</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.434066</td>\n",
       "      <td>0.703297</td>\n",
       "      <td>-1</td>\n",
       "      <td>0.792296</td>\n",
       "      <td>1</td>\n",
       "      <td>0.456526</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/28</th>\n",
       "      <td>9.010010</td>\n",
       "      <td>9.010010</td>\n",
       "      <td>-9.010010</td>\n",
       "      <td>160.0</td>\n",
       "      <td>-0.229235</td>\n",
       "      <td>0.835165</td>\n",
       "      <td>-0.000920</td>\n",
       "      <td>-0.123657</td>\n",
       "      <td>-0.241758</td>\n",
       "      <td>0.516484</td>\n",
       "      <td>...</td>\n",
       "      <td>0.056515</td>\n",
       "      <td>-0.096607</td>\n",
       "      <td>-22.460022</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.626374</td>\n",
       "      <td>0.626374</td>\n",
       "      <td>0</td>\n",
       "      <td>0.567323</td>\n",
       "      <td>-1</td>\n",
       "      <td>0.115708</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/29</th>\n",
       "      <td>-3.799988</td>\n",
       "      <td>-3.799988</td>\n",
       "      <td>3.799988</td>\n",
       "      <td>294.0</td>\n",
       "      <td>-0.639683</td>\n",
       "      <td>0.186813</td>\n",
       "      <td>-0.076886</td>\n",
       "      <td>-0.266997</td>\n",
       "      <td>-0.967033</td>\n",
       "      <td>0.175824</td>\n",
       "      <td>...</td>\n",
       "      <td>0.639053</td>\n",
       "      <td>0.859585</td>\n",
       "      <td>3.750000</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.450549</td>\n",
       "      <td>0.835165</td>\n",
       "      <td>0</td>\n",
       "      <td>0.405024</td>\n",
       "      <td>1</td>\n",
       "      <td>0.584279</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/30</th>\n",
       "      <td>3.580017</td>\n",
       "      <td>3.580017</td>\n",
       "      <td>-3.580017</td>\n",
       "      <td>78.0</td>\n",
       "      <td>-0.154421</td>\n",
       "      <td>0.780220</td>\n",
       "      <td>-0.004802</td>\n",
       "      <td>-0.079882</td>\n",
       "      <td>-0.791209</td>\n",
       "      <td>0.956044</td>\n",
       "      <td>...</td>\n",
       "      <td>0.073421</td>\n",
       "      <td>-0.696413</td>\n",
       "      <td>3.830017</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.626374</td>\n",
       "      <td>0.846154</td>\n",
       "      <td>0</td>\n",
       "      <td>0.331361</td>\n",
       "      <td>1</td>\n",
       "      <td>0.015954</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>230 rows × 30 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                  a51        a49        a12      a35       a54       a25  \\\n",
       "Date                                                                       \n",
       "2021/02/03   1.500000   1.500000  -1.500000    704.0 -0.201671  0.538462   \n",
       "2021/02/04  -3.649994  -3.649994   3.649994    704.0 -0.642979  0.329670   \n",
       "2021/02/05   0.230011   0.230011   0.230011    704.0 -0.246496  0.648352   \n",
       "2021/02/08 -13.200012 -13.200012  13.200012    704.0 -0.904538  0.670330   \n",
       "2021/02/09  -4.959991  -4.959991  -4.959991    704.0 -0.917630  0.373626   \n",
       "...               ...        ...        ...      ...       ...       ...   \n",
       "2021/12/23  -1.979980  -1.979980  -1.979980   1302.0 -0.459641  0.307692   \n",
       "2021/12/27 -23.920044 -23.920044 -23.920044  14880.0 -0.809768  0.197802   \n",
       "2021/12/28   9.010010   9.010010  -9.010010    160.0 -0.229235  0.835165   \n",
       "2021/12/29  -3.799988  -3.799988   3.799988    294.0 -0.639683  0.186813   \n",
       "2021/12/30   3.580017   3.580017  -3.580017     78.0 -0.154421  0.780220   \n",
       "\n",
       "                 a17       a38       a18       a34  ...        a5       a45  \\\n",
       "Date                                                ...                       \n",
       "2021/02/03 -0.364237 -0.306968 -0.153846  0.461538  ...  0.185847 -0.114962   \n",
       "2021/02/04 -0.364237 -0.229139 -0.714286  0.587912  ...  0.546552 -0.114962   \n",
       "2021/02/05 -0.364237 -0.254317 -0.527473  0.769231  ...  0.126796 -0.114962   \n",
       "2021/02/08 -0.460259 -0.720263 -0.956044  0.027473  ...  0.787948 -0.114962   \n",
       "2021/02/09 -0.089587 -0.706436 -0.901099  0.087912  ...  0.841686 -0.483033   \n",
       "...              ...       ...       ...       ...  ...       ...       ...   \n",
       "2021/12/23 -0.042040 -0.016906 -0.285714  0.675824  ...  0.004830 -0.743872   \n",
       "2021/12/27 -0.627943 -0.058447 -0.978022  0.043956  ...  0.054945 -0.763193   \n",
       "2021/12/28 -0.000920 -0.123657 -0.241758  0.516484  ...  0.056515 -0.096607   \n",
       "2021/12/29 -0.076886 -0.266997 -0.967033  0.175824  ...  0.639053  0.859585   \n",
       "2021/12/30 -0.004802 -0.079882 -0.791209  0.956044  ...  0.073421 -0.696413   \n",
       "\n",
       "                  a23  a74       a13       a84  a81       a11  a21       a14  \n",
       "Date                                                                          \n",
       "2021/02/03 -11.810028    0 -0.510989  0.219780    0  0.780099   -1  0.468840  \n",
       "2021/02/04   0.000000    0 -0.450549  0.219780    0  0.578916   -1  0.076665  \n",
       "2021/02/05   0.250000    0 -0.406593  0.219780    0  0.810289   -1  0.114349  \n",
       "2021/02/08 -10.950012    0 -0.472527  0.219780    0  0.560319   -1  0.567022  \n",
       "2021/02/09 -13.509979    0 -0.461538  0.219780    0  0.641589   -1  0.184809  \n",
       "...               ...  ...       ...       ...  ...       ...  ...       ...  \n",
       "2021/12/23   0.000000    0 -0.054945  0.087912    0  1.470837    1  0.524067  \n",
       "2021/12/27 -24.800049    0 -0.434066  0.703297   -1  0.792296    1  0.456526  \n",
       "2021/12/28 -22.460022    0 -0.626374  0.626374    0  0.567323   -1  0.115708  \n",
       "2021/12/29   3.750000    0 -0.450549  0.835165    0  0.405024    1  0.584279  \n",
       "2021/12/30   3.830017    0 -0.626374  0.846154    0  0.331361    1  0.015954  \n",
       "\n",
       "[230 rows x 30 columns]"
      ]
     },
     "execution_count": 58,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "alpha_test_2021.loc['ZBRA']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 59,
   "id": "f24d4500",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([-1.94062331e-02, -1.79502510e-19, -0.00000000e+00,  2.09551437e-04,\n",
       "       -0.00000000e+00, -0.00000000e+00, -5.23824274e-04, -0.00000000e+00,\n",
       "       -3.73726491e-04, -0.00000000e+00, -0.00000000e+00, -1.63509693e-03,\n",
       "       -0.00000000e+00,  4.94803001e-04,  0.00000000e+00,  0.00000000e+00,\n",
       "       -3.40395591e-03, -0.00000000e+00, -0.00000000e+00,  0.00000000e+00,\n",
       "       -0.00000000e+00, -0.00000000e+00,  0.00000000e+00, -0.00000000e+00,\n",
       "       -0.00000000e+00, -0.00000000e+00, -0.00000000e+00,  0.00000000e+00,\n",
       "       -0.00000000e+00, -0.00000000e+00])"
      ]
     },
     "execution_count": 59,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "x=alpha_nor.loc['ZBRA']\n",
    "x_test_2021 = alpha_test_2021.loc[[ticker]]\n",
    "\n",
    "y=training_log_ret['ZBRA']\n",
    "clf=linear_model.Lasso(alpha=0.001)\n",
    "clf.fit(x, y)\n",
    "clf.coef_"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 60,
   "id": "8d2928ef",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th>a51</th>\n",
       "      <th>a49</th>\n",
       "      <th>a12</th>\n",
       "      <th>a35</th>\n",
       "      <th>a54</th>\n",
       "      <th>a25</th>\n",
       "      <th>a17</th>\n",
       "      <th>a38</th>\n",
       "      <th>a18</th>\n",
       "      <th>a34</th>\n",
       "      <th>...</th>\n",
       "      <th>a5</th>\n",
       "      <th>a45</th>\n",
       "      <th>a23</th>\n",
       "      <th>a74</th>\n",
       "      <th>a13</th>\n",
       "      <th>a84</th>\n",
       "      <th>a81</th>\n",
       "      <th>a11</th>\n",
       "      <th>a21</th>\n",
       "      <th>a14</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ticker</th>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
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       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">AAPL</th>\n",
       "      <th>2021/02/03</th>\n",
       "      <td>1.050003</td>\n",
       "      <td>1.050003</td>\n",
       "      <td>1.050003</td>\n",
       "      <td>2490.237443</td>\n",
       "      <td>-0.163444</td>\n",
       "      <td>0.802198</td>\n",
       "      <td>-0.137292</td>\n",
       "      <td>-0.084169</td>\n",
       "      <td>-0.527473</td>\n",
       "      <td>0.901099</td>\n",
       "      <td>...</td>\n",
       "      <td>0.051926</td>\n",
       "      <td>-0.000218</td>\n",
       "      <td>-0.389999</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.813187</td>\n",
       "      <td>0.517015</td>\n",
       "      <td>0</td>\n",
       "      <td>0.013404</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.224561</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/04</th>\n",
       "      <td>-3.449997</td>\n",
       "      <td>-3.449997</td>\n",
       "      <td>3.449997</td>\n",
       "      <td>2490.237443</td>\n",
       "      <td>-0.957539</td>\n",
       "      <td>0.373626</td>\n",
       "      <td>-0.137292</td>\n",
       "      <td>-0.197802</td>\n",
       "      <td>-0.538462</td>\n",
       "      <td>0.412088</td>\n",
       "      <td>...</td>\n",
       "      <td>0.147084</td>\n",
       "      <td>-0.000218</td>\n",
       "      <td>-1.089996</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.813187</td>\n",
       "      <td>0.517015</td>\n",
       "      <td>0</td>\n",
       "      <td>0.023910</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.264246</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/05</th>\n",
       "      <td>0.630005</td>\n",
       "      <td>0.630005</td>\n",
       "      <td>-0.630005</td>\n",
       "      <td>2490.237443</td>\n",
       "      <td>-0.589473</td>\n",
       "      <td>0.890110</td>\n",
       "      <td>-0.137292</td>\n",
       "      <td>-0.101497</td>\n",
       "      <td>-0.406593</td>\n",
       "      <td>0.219780</td>\n",
       "      <td>...</td>\n",
       "      <td>0.085135</td>\n",
       "      <td>-0.000218</td>\n",
       "      <td>-1.649994</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.780220</td>\n",
       "      <td>0.517015</td>\n",
       "      <td>0</td>\n",
       "      <td>0.070161</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.173221</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/08</th>\n",
       "      <td>-0.150009</td>\n",
       "      <td>-0.150009</td>\n",
       "      <td>0.150009</td>\n",
       "      <td>2490.237443</td>\n",
       "      <td>-0.944539</td>\n",
       "      <td>0.472527</td>\n",
       "      <td>-0.018434</td>\n",
       "      <td>-0.121724</td>\n",
       "      <td>-0.538462</td>\n",
       "      <td>0.747253</td>\n",
       "      <td>...</td>\n",
       "      <td>0.104818</td>\n",
       "      <td>-0.000218</td>\n",
       "      <td>0.439987</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.725275</td>\n",
       "      <td>0.517015</td>\n",
       "      <td>0</td>\n",
       "      <td>0.030914</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.094295</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/09</th>\n",
       "      <td>0.900009</td>\n",
       "      <td>0.900009</td>\n",
       "      <td>0.900009</td>\n",
       "      <td>2490.237443</td>\n",
       "      <td>-0.080595</td>\n",
       "      <td>0.956044</td>\n",
       "      <td>-0.051722</td>\n",
       "      <td>-0.099746</td>\n",
       "      <td>-0.175824</td>\n",
       "      <td>0.857143</td>\n",
       "      <td>...</td>\n",
       "      <td>0.040575</td>\n",
       "      <td>0.294590</td>\n",
       "      <td>-0.460007</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.725275</td>\n",
       "      <td>0.517015</td>\n",
       "      <td>0</td>\n",
       "      <td>0.082840</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.091278</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">ZBRA</th>\n",
       "      <th>2021/12/23</th>\n",
       "      <td>-1.979980</td>\n",
       "      <td>-1.979980</td>\n",
       "      <td>-1.979980</td>\n",
       "      <td>1302.000000</td>\n",
       "      <td>-0.459641</td>\n",
       "      <td>0.307692</td>\n",
       "      <td>-0.042040</td>\n",
       "      <td>-0.016906</td>\n",
       "      <td>-0.285714</td>\n",
       "      <td>0.675824</td>\n",
       "      <td>...</td>\n",
       "      <td>0.004830</td>\n",
       "      <td>-0.743872</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.054945</td>\n",
       "      <td>0.087912</td>\n",
       "      <td>0</td>\n",
       "      <td>1.470837</td>\n",
       "      <td>1</td>\n",
       "      <td>0.524067</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/27</th>\n",
       "      <td>-23.920044</td>\n",
       "      <td>-23.920044</td>\n",
       "      <td>-23.920044</td>\n",
       "      <td>14880.000000</td>\n",
       "      <td>-0.809768</td>\n",
       "      <td>0.197802</td>\n",
       "      <td>-0.627943</td>\n",
       "      <td>-0.058447</td>\n",
       "      <td>-0.978022</td>\n",
       "      <td>0.043956</td>\n",
       "      <td>...</td>\n",
       "      <td>0.054945</td>\n",
       "      <td>-0.763193</td>\n",
       "      <td>-24.800049</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.434066</td>\n",
       "      <td>0.703297</td>\n",
       "      <td>-1</td>\n",
       "      <td>0.792296</td>\n",
       "      <td>1</td>\n",
       "      <td>0.456526</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/28</th>\n",
       "      <td>9.010010</td>\n",
       "      <td>9.010010</td>\n",
       "      <td>-9.010010</td>\n",
       "      <td>160.000000</td>\n",
       "      <td>-0.229235</td>\n",
       "      <td>0.835165</td>\n",
       "      <td>-0.000920</td>\n",
       "      <td>-0.123657</td>\n",
       "      <td>-0.241758</td>\n",
       "      <td>0.516484</td>\n",
       "      <td>...</td>\n",
       "      <td>0.056515</td>\n",
       "      <td>-0.096607</td>\n",
       "      <td>-22.460022</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.626374</td>\n",
       "      <td>0.626374</td>\n",
       "      <td>0</td>\n",
       "      <td>0.567323</td>\n",
       "      <td>-1</td>\n",
       "      <td>0.115708</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/29</th>\n",
       "      <td>-3.799988</td>\n",
       "      <td>-3.799988</td>\n",
       "      <td>3.799988</td>\n",
       "      <td>294.000000</td>\n",
       "      <td>-0.639683</td>\n",
       "      <td>0.186813</td>\n",
       "      <td>-0.076886</td>\n",
       "      <td>-0.266997</td>\n",
       "      <td>-0.967033</td>\n",
       "      <td>0.175824</td>\n",
       "      <td>...</td>\n",
       "      <td>0.639053</td>\n",
       "      <td>0.859585</td>\n",
       "      <td>3.750000</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.450549</td>\n",
       "      <td>0.835165</td>\n",
       "      <td>0</td>\n",
       "      <td>0.405024</td>\n",
       "      <td>1</td>\n",
       "      <td>0.584279</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/30</th>\n",
       "      <td>3.580017</td>\n",
       "      <td>3.580017</td>\n",
       "      <td>-3.580017</td>\n",
       "      <td>78.000000</td>\n",
       "      <td>-0.154421</td>\n",
       "      <td>0.780220</td>\n",
       "      <td>-0.004802</td>\n",
       "      <td>-0.079882</td>\n",
       "      <td>-0.791209</td>\n",
       "      <td>0.956044</td>\n",
       "      <td>...</td>\n",
       "      <td>0.073421</td>\n",
       "      <td>-0.696413</td>\n",
       "      <td>3.830017</td>\n",
       "      <td>0</td>\n",
       "      <td>-0.626374</td>\n",
       "      <td>0.846154</td>\n",
       "      <td>0</td>\n",
       "      <td>0.331361</td>\n",
       "      <td>1</td>\n",
       "      <td>0.015954</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>20930 rows × 30 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                         a51        a49        a12           a35       a54  \\\n",
       "ticker Date                                                                  \n",
       "AAPL   2021/02/03   1.050003   1.050003   1.050003   2490.237443 -0.163444   \n",
       "       2021/02/04  -3.449997  -3.449997   3.449997   2490.237443 -0.957539   \n",
       "       2021/02/05   0.630005   0.630005  -0.630005   2490.237443 -0.589473   \n",
       "       2021/02/08  -0.150009  -0.150009   0.150009   2490.237443 -0.944539   \n",
       "       2021/02/09   0.900009   0.900009   0.900009   2490.237443 -0.080595   \n",
       "...                      ...        ...        ...           ...       ...   \n",
       "ZBRA   2021/12/23  -1.979980  -1.979980  -1.979980   1302.000000 -0.459641   \n",
       "       2021/12/27 -23.920044 -23.920044 -23.920044  14880.000000 -0.809768   \n",
       "       2021/12/28   9.010010   9.010010  -9.010010    160.000000 -0.229235   \n",
       "       2021/12/29  -3.799988  -3.799988   3.799988    294.000000 -0.639683   \n",
       "       2021/12/30   3.580017   3.580017  -3.580017     78.000000 -0.154421   \n",
       "\n",
       "                        a25       a17       a38       a18       a34  ...  \\\n",
       "ticker Date                                                          ...   \n",
       "AAPL   2021/02/03  0.802198 -0.137292 -0.084169 -0.527473  0.901099  ...   \n",
       "       2021/02/04  0.373626 -0.137292 -0.197802 -0.538462  0.412088  ...   \n",
       "       2021/02/05  0.890110 -0.137292 -0.101497 -0.406593  0.219780  ...   \n",
       "       2021/02/08  0.472527 -0.018434 -0.121724 -0.538462  0.747253  ...   \n",
       "       2021/02/09  0.956044 -0.051722 -0.099746 -0.175824  0.857143  ...   \n",
       "...                     ...       ...       ...       ...       ...  ...   \n",
       "ZBRA   2021/12/23  0.307692 -0.042040 -0.016906 -0.285714  0.675824  ...   \n",
       "       2021/12/27  0.197802 -0.627943 -0.058447 -0.978022  0.043956  ...   \n",
       "       2021/12/28  0.835165 -0.000920 -0.123657 -0.241758  0.516484  ...   \n",
       "       2021/12/29  0.186813 -0.076886 -0.266997 -0.967033  0.175824  ...   \n",
       "       2021/12/30  0.780220 -0.004802 -0.079882 -0.791209  0.956044  ...   \n",
       "\n",
       "                         a5       a45        a23  a74       a13       a84  \\\n",
       "ticker Date                                                                 \n",
       "AAPL   2021/02/03  0.051926 -0.000218  -0.389999    0 -0.813187  0.517015   \n",
       "       2021/02/04  0.147084 -0.000218  -1.089996    0 -0.813187  0.517015   \n",
       "       2021/02/05  0.085135 -0.000218  -1.649994    0 -0.780220  0.517015   \n",
       "       2021/02/08  0.104818 -0.000218   0.439987    0 -0.725275  0.517015   \n",
       "       2021/02/09  0.040575  0.294590  -0.460007    0 -0.725275  0.517015   \n",
       "...                     ...       ...        ...  ...       ...       ...   \n",
       "ZBRA   2021/12/23  0.004830 -0.743872   0.000000    0 -0.054945  0.087912   \n",
       "       2021/12/27  0.054945 -0.763193 -24.800049    0 -0.434066  0.703297   \n",
       "       2021/12/28  0.056515 -0.096607 -22.460022    0 -0.626374  0.626374   \n",
       "       2021/12/29  0.639053  0.859585   3.750000    0 -0.450549  0.835165   \n",
       "       2021/12/30  0.073421 -0.696413   3.830017    0 -0.626374  0.846154   \n",
       "\n",
       "                   a81       a11  a21       a14  \n",
       "ticker Date                                      \n",
       "AAPL   2021/02/03    0  0.013404    1 -0.224561  \n",
       "       2021/02/04    0  0.023910    1 -0.264246  \n",
       "       2021/02/05    0  0.070161    1 -0.173221  \n",
       "       2021/02/08    0  0.030914    1 -0.094295  \n",
       "       2021/02/09    0  0.082840    1 -0.091278  \n",
       "...                ...       ...  ...       ...  \n",
       "ZBRA   2021/12/23    0  1.470837    1  0.524067  \n",
       "       2021/12/27   -1  0.792296    1  0.456526  \n",
       "       2021/12/28    0  0.567323   -1  0.115708  \n",
       "       2021/12/29    0  0.405024    1  0.584279  \n",
       "       2021/12/30    0  0.331361    1  0.015954  \n",
       "\n",
       "[20930 rows x 30 columns]"
      ]
     },
     "execution_count": 60,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "alpha_test_2021"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 61,
   "id": "1725ee82",
   "metadata": {},
   "outputs": [
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.916e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.920e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.927e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.931e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.935e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.940e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.944e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.948e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.953e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.957e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.955e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.957e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.958e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.962e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.964e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.966e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.966e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.964e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.953e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.955e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.956e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.957e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.958e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.960e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.959e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.953e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.953e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.954e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.955e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.955e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.956e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.957e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.957e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n"
     ]
    },
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.958e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.959e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.960e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.961e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.959e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.960e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.960e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.960e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.960e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.960e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.959e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.960e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.960e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.961e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.962e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.963e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.964e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.965e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.967e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.969e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.971e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.974e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.976e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.979e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.981e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n"
     ]
    },
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.984e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.987e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.989e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.992e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.988e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.988e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n",
      "/Users/zhangxinyi/opt/anaconda3/lib/python3.9/site-packages/sklearn/linear_model/_coordinate_descent.py:628: ConvergenceWarning: Objective did not converge. You might want to increase the number of iterations, check the scale of the features or consider increasing regularisation. Duality gap: 5.988e-05, tolerance: 4.892e-05\n",
      "  model = cd_fast.enet_coordinate_descent(\n"
     ]
    }
   ],
   "source": [
    "alpha5_result=pd.DataFrame(columns=alpha.columns)\n",
    "alpha5_penalty_result=pd.DataFrame(columns=['penalty'])\n",
    "\n",
    "backtest_y_2021=pd.DataFrame(columns=tickers, index=alpha_test_2021.loc['AAPL'].index)\n",
    "backtest_y_2021_2022=pd.DataFrame(columns=tickers, index=alpha_test_2021_2022.loc['AAPL'].index)\n",
    "\n",
    "penalty=np.logspace(np.log10(0.0001), np.log10(0.05), 300)\n",
    "\n",
    "for ticker in tickers:\n",
    "    for i in penalty:\n",
    "        x=alpha_nor.loc[[ticker]]\n",
    "        x_test_2021 = alpha_test_nor_2021.loc[[ticker]]\n",
    "        x_test_2021_2022 = alpha_test_nor_2021_2022.loc[[ticker]]\n",
    "        y=training_log_ret[ticker]\n",
    "        clf=linear_model.Lasso(alpha=i)\n",
    "        clf.fit(x, y)\n",
    "        n=np.count_nonzero(clf.coef_)\n",
    "        if n<=7 and n>=3:\n",
    "            alpha5_result.loc[ticker]=clf.coef_\n",
    "            alpha5_penalty_result.loc[ticker] = i\n",
    "            y_predict_2021 = clf.predict(x_test_2021)\n",
    "            backtest_y_2021[ticker]=y_predict_2021\n",
    "            \n",
    "            y_predict_2021_2022 = clf.predict(x_test_2021_2022)\n",
    "            backtest_y_2021_2022[ticker]=y_predict_2021_2022\n",
    "            break"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 62,
   "id": "02d574b4",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>AAPL</th>\n",
       "      <th>MSFT</th>\n",
       "      <th>AMZN</th>\n",
       "      <th>GOOGL</th>\n",
       "      <th>GOOG</th>\n",
       "      <th>TSLA</th>\n",
       "      <th>META</th>\n",
       "      <th>NVDA</th>\n",
       "      <th>PYPL</th>\n",
       "      <th>NFLX</th>\n",
       "      <th>...</th>\n",
       "      <th>ZBRA</th>\n",
       "      <th>TCOM</th>\n",
       "      <th>NTES</th>\n",
       "      <th>BMRN</th>\n",
       "      <th>ULTA</th>\n",
       "      <th>EXPE</th>\n",
       "      <th>CSGP</th>\n",
       "      <th>SIRI</th>\n",
       "      <th>EBAY</th>\n",
       "      <th>WDC</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2021/02/03</th>\n",
       "      <td>-0.009665</td>\n",
       "      <td>0.014629</td>\n",
       "      <td>-0.021671</td>\n",
       "      <td>0.059380</td>\n",
       "      <td>0.061611</td>\n",
       "      <td>-0.031499</td>\n",
       "      <td>-0.002020</td>\n",
       "      <td>0.003426</td>\n",
       "      <td>0.012181</td>\n",
       "      <td>-0.018364</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.003483</td>\n",
       "      <td>-0.003732</td>\n",
       "      <td>-0.000602</td>\n",
       "      <td>-0.006929</td>\n",
       "      <td>0.005141</td>\n",
       "      <td>0.014208</td>\n",
       "      <td>-0.001734</td>\n",
       "      <td>-0.002653</td>\n",
       "      <td>0.007945</td>\n",
       "      <td>-0.006413</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/04</th>\n",
       "      <td>0.024293</td>\n",
       "      <td>-0.006774</td>\n",
       "      <td>0.009035</td>\n",
       "      <td>-0.004345</td>\n",
       "      <td>-0.005103</td>\n",
       "      <td>-0.010466</td>\n",
       "      <td>-0.002056</td>\n",
       "      <td>0.015345</td>\n",
       "      <td>0.055731</td>\n",
       "      <td>0.027559</td>\n",
       "      <td>...</td>\n",
       "      <td>0.011046</td>\n",
       "      <td>0.030158</td>\n",
       "      <td>-0.002971</td>\n",
       "      <td>0.035108</td>\n",
       "      <td>0.022677</td>\n",
       "      <td>0.022115</td>\n",
       "      <td>0.000429</td>\n",
       "      <td>-0.009658</td>\n",
       "      <td>0.035882</td>\n",
       "      <td>0.028240</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/05</th>\n",
       "      <td>-0.005578</td>\n",
       "      <td>0.001259</td>\n",
       "      <td>0.009958</td>\n",
       "      <td>0.014958</td>\n",
       "      <td>0.015483</td>\n",
       "      <td>0.001113</td>\n",
       "      <td>0.005920</td>\n",
       "      <td>0.000525</td>\n",
       "      <td>0.000919</td>\n",
       "      <td>-0.004211</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.000672</td>\n",
       "      <td>0.060741</td>\n",
       "      <td>0.014216</td>\n",
       "      <td>0.007326</td>\n",
       "      <td>0.022298</td>\n",
       "      <td>-0.003821</td>\n",
       "      <td>-0.010487</td>\n",
       "      <td>-0.000741</td>\n",
       "      <td>0.013576</td>\n",
       "      <td>0.008427</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/08</th>\n",
       "      <td>0.003036</td>\n",
       "      <td>0.001604</td>\n",
       "      <td>-0.010762</td>\n",
       "      <td>-0.004084</td>\n",
       "      <td>-0.004120</td>\n",
       "      <td>0.001468</td>\n",
       "      <td>-0.006375</td>\n",
       "      <td>0.038422</td>\n",
       "      <td>0.040210</td>\n",
       "      <td>-0.007815</td>\n",
       "      <td>...</td>\n",
       "      <td>0.037305</td>\n",
       "      <td>0.016065</td>\n",
       "      <td>0.001869</td>\n",
       "      <td>0.018315</td>\n",
       "      <td>0.048914</td>\n",
       "      <td>0.022330</td>\n",
       "      <td>-0.006958</td>\n",
       "      <td>-0.007894</td>\n",
       "      <td>0.019481</td>\n",
       "      <td>0.040844</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/09</th>\n",
       "      <td>-0.007894</td>\n",
       "      <td>0.006146</td>\n",
       "      <td>-0.007735</td>\n",
       "      <td>-0.006555</td>\n",
       "      <td>-0.006510</td>\n",
       "      <td>-0.023174</td>\n",
       "      <td>0.009821</td>\n",
       "      <td>-0.004039</td>\n",
       "      <td>0.009008</td>\n",
       "      <td>0.024894</td>\n",
       "      <td>...</td>\n",
       "      <td>0.021310</td>\n",
       "      <td>0.003478</td>\n",
       "      <td>0.060033</td>\n",
       "      <td>-0.012178</td>\n",
       "      <td>0.009827</td>\n",
       "      <td>-0.006333</td>\n",
       "      <td>0.005600</td>\n",
       "      <td>0.001409</td>\n",
       "      <td>-0.021761</td>\n",
       "      <td>-0.008439</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/23</th>\n",
       "      <td>0.007904</td>\n",
       "      <td>0.006481</td>\n",
       "      <td>0.000854</td>\n",
       "      <td>0.003354</td>\n",
       "      <td>-0.000136</td>\n",
       "      <td>0.066261</td>\n",
       "      <td>0.015854</td>\n",
       "      <td>0.003243</td>\n",
       "      <td>0.003301</td>\n",
       "      <td>-0.002067</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.005581</td>\n",
       "      <td>0.028028</td>\n",
       "      <td>0.003235</td>\n",
       "      <td>0.021132</td>\n",
       "      <td>0.015130</td>\n",
       "      <td>0.007871</td>\n",
       "      <td>0.014468</td>\n",
       "      <td>0.009408</td>\n",
       "      <td>0.012348</td>\n",
       "      <td>0.025363</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/27</th>\n",
       "      <td>0.030401</td>\n",
       "      <td>0.031711</td>\n",
       "      <td>-0.011878</td>\n",
       "      <td>0.008021</td>\n",
       "      <td>0.007560</td>\n",
       "      <td>0.027975</td>\n",
       "      <td>0.035163</td>\n",
       "      <td>0.042767</td>\n",
       "      <td>-0.000086</td>\n",
       "      <td>-0.003972</td>\n",
       "      <td>...</td>\n",
       "      <td>0.056044</td>\n",
       "      <td>-0.003358</td>\n",
       "      <td>-0.002245</td>\n",
       "      <td>-0.008433</td>\n",
       "      <td>0.040279</td>\n",
       "      <td>-0.011206</td>\n",
       "      <td>0.001625</td>\n",
       "      <td>0.004107</td>\n",
       "      <td>0.010246</td>\n",
       "      <td>0.014411</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/28</th>\n",
       "      <td>-0.009676</td>\n",
       "      <td>-0.007780</td>\n",
       "      <td>0.009037</td>\n",
       "      <td>-0.012575</td>\n",
       "      <td>-0.016588</td>\n",
       "      <td>-0.011320</td>\n",
       "      <td>0.000812</td>\n",
       "      <td>-0.024198</td>\n",
       "      <td>-0.005848</td>\n",
       "      <td>-0.006276</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.021311</td>\n",
       "      <td>-0.007999</td>\n",
       "      <td>0.000095</td>\n",
       "      <td>-0.022707</td>\n",
       "      <td>-0.019378</td>\n",
       "      <td>-0.011070</td>\n",
       "      <td>-0.003043</td>\n",
       "      <td>-0.007083</td>\n",
       "      <td>0.005369</td>\n",
       "      <td>0.012203</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/29</th>\n",
       "      <td>0.002378</td>\n",
       "      <td>0.003538</td>\n",
       "      <td>-0.010836</td>\n",
       "      <td>-0.002001</td>\n",
       "      <td>-0.000444</td>\n",
       "      <td>-0.001881</td>\n",
       "      <td>-0.012070</td>\n",
       "      <td>-0.011517</td>\n",
       "      <td>0.000972</td>\n",
       "      <td>-0.001863</td>\n",
       "      <td>...</td>\n",
       "      <td>0.011775</td>\n",
       "      <td>-0.009974</td>\n",
       "      <td>-0.012798</td>\n",
       "      <td>0.003980</td>\n",
       "      <td>0.021970</td>\n",
       "      <td>-0.000327</td>\n",
       "      <td>0.002908</td>\n",
       "      <td>-0.006973</td>\n",
       "      <td>0.004821</td>\n",
       "      <td>0.054842</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/30</th>\n",
       "      <td>-0.011468</td>\n",
       "      <td>-0.013996</td>\n",
       "      <td>-0.005772</td>\n",
       "      <td>-0.006128</td>\n",
       "      <td>-0.006491</td>\n",
       "      <td>-0.016464</td>\n",
       "      <td>0.005324</td>\n",
       "      <td>-0.018015</td>\n",
       "      <td>0.008589</td>\n",
       "      <td>0.006100</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.008821</td>\n",
       "      <td>0.050998</td>\n",
       "      <td>0.062252</td>\n",
       "      <td>-0.010720</td>\n",
       "      <td>-0.003213</td>\n",
       "      <td>0.001106</td>\n",
       "      <td>0.004255</td>\n",
       "      <td>0.009460</td>\n",
       "      <td>0.003660</td>\n",
       "      <td>-0.014356</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>230 rows × 91 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                AAPL      MSFT      AMZN     GOOGL      GOOG      TSLA  \\\n",
       "Date                                                                     \n",
       "2021/02/03 -0.009665  0.014629 -0.021671  0.059380  0.061611 -0.031499   \n",
       "2021/02/04  0.024293 -0.006774  0.009035 -0.004345 -0.005103 -0.010466   \n",
       "2021/02/05 -0.005578  0.001259  0.009958  0.014958  0.015483  0.001113   \n",
       "2021/02/08  0.003036  0.001604 -0.010762 -0.004084 -0.004120  0.001468   \n",
       "2021/02/09 -0.007894  0.006146 -0.007735 -0.006555 -0.006510 -0.023174   \n",
       "...              ...       ...       ...       ...       ...       ...   \n",
       "2021/12/23  0.007904  0.006481  0.000854  0.003354 -0.000136  0.066261   \n",
       "2021/12/27  0.030401  0.031711 -0.011878  0.008021  0.007560  0.027975   \n",
       "2021/12/28 -0.009676 -0.007780  0.009037 -0.012575 -0.016588 -0.011320   \n",
       "2021/12/29  0.002378  0.003538 -0.010836 -0.002001 -0.000444 -0.001881   \n",
       "2021/12/30 -0.011468 -0.013996 -0.005772 -0.006128 -0.006491 -0.016464   \n",
       "\n",
       "                META      NVDA      PYPL      NFLX  ...      ZBRA      TCOM  \\\n",
       "Date                                                ...                       \n",
       "2021/02/03 -0.002020  0.003426  0.012181 -0.018364  ... -0.003483 -0.003732   \n",
       "2021/02/04 -0.002056  0.015345  0.055731  0.027559  ...  0.011046  0.030158   \n",
       "2021/02/05  0.005920  0.000525  0.000919 -0.004211  ... -0.000672  0.060741   \n",
       "2021/02/08 -0.006375  0.038422  0.040210 -0.007815  ...  0.037305  0.016065   \n",
       "2021/02/09  0.009821 -0.004039  0.009008  0.024894  ...  0.021310  0.003478   \n",
       "...              ...       ...       ...       ...  ...       ...       ...   \n",
       "2021/12/23  0.015854  0.003243  0.003301 -0.002067  ... -0.005581  0.028028   \n",
       "2021/12/27  0.035163  0.042767 -0.000086 -0.003972  ...  0.056044 -0.003358   \n",
       "2021/12/28  0.000812 -0.024198 -0.005848 -0.006276  ... -0.021311 -0.007999   \n",
       "2021/12/29 -0.012070 -0.011517  0.000972 -0.001863  ...  0.011775 -0.009974   \n",
       "2021/12/30  0.005324 -0.018015  0.008589  0.006100  ... -0.008821  0.050998   \n",
       "\n",
       "                NTES      BMRN      ULTA      EXPE      CSGP      SIRI  \\\n",
       "Date                                                                     \n",
       "2021/02/03 -0.000602 -0.006929  0.005141  0.014208 -0.001734 -0.002653   \n",
       "2021/02/04 -0.002971  0.035108  0.022677  0.022115  0.000429 -0.009658   \n",
       "2021/02/05  0.014216  0.007326  0.022298 -0.003821 -0.010487 -0.000741   \n",
       "2021/02/08  0.001869  0.018315  0.048914  0.022330 -0.006958 -0.007894   \n",
       "2021/02/09  0.060033 -0.012178  0.009827 -0.006333  0.005600  0.001409   \n",
       "...              ...       ...       ...       ...       ...       ...   \n",
       "2021/12/23  0.003235  0.021132  0.015130  0.007871  0.014468  0.009408   \n",
       "2021/12/27 -0.002245 -0.008433  0.040279 -0.011206  0.001625  0.004107   \n",
       "2021/12/28  0.000095 -0.022707 -0.019378 -0.011070 -0.003043 -0.007083   \n",
       "2021/12/29 -0.012798  0.003980  0.021970 -0.000327  0.002908 -0.006973   \n",
       "2021/12/30  0.062252 -0.010720 -0.003213  0.001106  0.004255  0.009460   \n",
       "\n",
       "                EBAY       WDC  \n",
       "Date                            \n",
       "2021/02/03  0.007945 -0.006413  \n",
       "2021/02/04  0.035882  0.028240  \n",
       "2021/02/05  0.013576  0.008427  \n",
       "2021/02/08  0.019481  0.040844  \n",
       "2021/02/09 -0.021761 -0.008439  \n",
       "...              ...       ...  \n",
       "2021/12/23  0.012348  0.025363  \n",
       "2021/12/27  0.010246  0.014411  \n",
       "2021/12/28  0.005369  0.012203  \n",
       "2021/12/29  0.004821  0.054842  \n",
       "2021/12/30  0.003660 -0.014356  \n",
       "\n",
       "[230 rows x 91 columns]"
      ]
     },
     "execution_count": 62,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "backtest_y_2021"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 63,
   "id": "1d948516",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>AAPL</th>\n",
       "      <th>MSFT</th>\n",
       "      <th>AMZN</th>\n",
       "      <th>GOOGL</th>\n",
       "      <th>GOOG</th>\n",
       "      <th>TSLA</th>\n",
       "      <th>META</th>\n",
       "      <th>NVDA</th>\n",
       "      <th>PYPL</th>\n",
       "      <th>NFLX</th>\n",
       "      <th>...</th>\n",
       "      <th>ZBRA</th>\n",
       "      <th>TCOM</th>\n",
       "      <th>NTES</th>\n",
       "      <th>BMRN</th>\n",
       "      <th>ULTA</th>\n",
       "      <th>EXPE</th>\n",
       "      <th>CSGP</th>\n",
       "      <th>SIRI</th>\n",
       "      <th>EBAY</th>\n",
       "      <th>WDC</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2021/02/03</th>\n",
       "      <td>-0.006484</td>\n",
       "      <td>0.013042</td>\n",
       "      <td>-0.015982</td>\n",
       "      <td>0.047148</td>\n",
       "      <td>0.048116</td>\n",
       "      <td>-0.021262</td>\n",
       "      <td>0.000092</td>\n",
       "      <td>-0.000172</td>\n",
       "      <td>0.013764</td>\n",
       "      <td>-0.013620</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.000548</td>\n",
       "      <td>-0.005011</td>\n",
       "      <td>-0.000331</td>\n",
       "      <td>-0.006544</td>\n",
       "      <td>0.004842</td>\n",
       "      <td>0.015331</td>\n",
       "      <td>-0.000982</td>\n",
       "      <td>-0.003723</td>\n",
       "      <td>0.009592</td>\n",
       "      <td>-0.005704</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/04</th>\n",
       "      <td>0.020038</td>\n",
       "      <td>-0.003443</td>\n",
       "      <td>0.008920</td>\n",
       "      <td>-0.001653</td>\n",
       "      <td>-0.002109</td>\n",
       "      <td>-0.001090</td>\n",
       "      <td>-0.000108</td>\n",
       "      <td>0.011272</td>\n",
       "      <td>0.064221</td>\n",
       "      <td>0.023482</td>\n",
       "      <td>...</td>\n",
       "      <td>0.013316</td>\n",
       "      <td>0.025053</td>\n",
       "      <td>-0.002774</td>\n",
       "      <td>0.030080</td>\n",
       "      <td>0.020205</td>\n",
       "      <td>0.022941</td>\n",
       "      <td>0.000817</td>\n",
       "      <td>-0.010771</td>\n",
       "      <td>0.039873</td>\n",
       "      <td>0.032068</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/05</th>\n",
       "      <td>-0.003083</td>\n",
       "      <td>0.003203</td>\n",
       "      <td>0.009641</td>\n",
       "      <td>0.013434</td>\n",
       "      <td>0.013680</td>\n",
       "      <td>0.010102</td>\n",
       "      <td>0.006791</td>\n",
       "      <td>-0.002875</td>\n",
       "      <td>0.000764</td>\n",
       "      <td>-0.002690</td>\n",
       "      <td>...</td>\n",
       "      <td>0.002162</td>\n",
       "      <td>0.052175</td>\n",
       "      <td>0.015239</td>\n",
       "      <td>0.005923</td>\n",
       "      <td>0.019917</td>\n",
       "      <td>-0.001693</td>\n",
       "      <td>-0.009149</td>\n",
       "      <td>-0.001819</td>\n",
       "      <td>0.015634</td>\n",
       "      <td>0.010201</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/08</th>\n",
       "      <td>0.004154</td>\n",
       "      <td>0.003456</td>\n",
       "      <td>-0.007656</td>\n",
       "      <td>-0.001490</td>\n",
       "      <td>-0.001402</td>\n",
       "      <td>0.010011</td>\n",
       "      <td>-0.003660</td>\n",
       "      <td>0.032236</td>\n",
       "      <td>0.045815</td>\n",
       "      <td>-0.005568</td>\n",
       "      <td>...</td>\n",
       "      <td>0.038079</td>\n",
       "      <td>0.012551</td>\n",
       "      <td>0.002275</td>\n",
       "      <td>0.015690</td>\n",
       "      <td>0.043298</td>\n",
       "      <td>0.023109</td>\n",
       "      <td>-0.005885</td>\n",
       "      <td>-0.008995</td>\n",
       "      <td>0.022035</td>\n",
       "      <td>0.046525</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/09</th>\n",
       "      <td>-0.005046</td>\n",
       "      <td>0.006894</td>\n",
       "      <td>-0.005407</td>\n",
       "      <td>-0.003457</td>\n",
       "      <td>-0.003297</td>\n",
       "      <td>-0.013229</td>\n",
       "      <td>0.010000</td>\n",
       "      <td>-0.007174</td>\n",
       "      <td>0.010470</td>\n",
       "      <td>0.021375</td>\n",
       "      <td>...</td>\n",
       "      <td>0.022262</td>\n",
       "      <td>0.002760</td>\n",
       "      <td>0.063456</td>\n",
       "      <td>-0.010815</td>\n",
       "      <td>0.009067</td>\n",
       "      <td>-0.004105</td>\n",
       "      <td>0.005757</td>\n",
       "      <td>0.000348</td>\n",
       "      <td>-0.022415</td>\n",
       "      <td>-0.006683</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022/12/23</th>\n",
       "      <td>-0.002754</td>\n",
       "      <td>0.004691</td>\n",
       "      <td>0.010537</td>\n",
       "      <td>0.011732</td>\n",
       "      <td>0.012203</td>\n",
       "      <td>-0.019832</td>\n",
       "      <td>0.005040</td>\n",
       "      <td>-0.006433</td>\n",
       "      <td>0.005769</td>\n",
       "      <td>-0.005096</td>\n",
       "      <td>...</td>\n",
       "      <td>0.006630</td>\n",
       "      <td>-0.018594</td>\n",
       "      <td>-0.007362</td>\n",
       "      <td>-0.020719</td>\n",
       "      <td>-0.002380</td>\n",
       "      <td>0.012746</td>\n",
       "      <td>-0.002525</td>\n",
       "      <td>0.005852</td>\n",
       "      <td>0.000818</td>\n",
       "      <td>-0.003175</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022/12/27</th>\n",
       "      <td>-0.008802</td>\n",
       "      <td>-0.006029</td>\n",
       "      <td>-0.011523</td>\n",
       "      <td>-0.012195</td>\n",
       "      <td>-0.012377</td>\n",
       "      <td>-0.046083</td>\n",
       "      <td>-0.002243</td>\n",
       "      <td>-0.039923</td>\n",
       "      <td>-0.000420</td>\n",
       "      <td>-0.017406</td>\n",
       "      <td>...</td>\n",
       "      <td>0.013089</td>\n",
       "      <td>0.033694</td>\n",
       "      <td>0.018135</td>\n",
       "      <td>-0.033638</td>\n",
       "      <td>0.023428</td>\n",
       "      <td>0.000371</td>\n",
       "      <td>-0.000712</td>\n",
       "      <td>-0.010178</td>\n",
       "      <td>-0.000684</td>\n",
       "      <td>0.010271</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022/12/28</th>\n",
       "      <td>-0.020516</td>\n",
       "      <td>-0.008752</td>\n",
       "      <td>-0.006332</td>\n",
       "      <td>-0.009365</td>\n",
       "      <td>-0.009914</td>\n",
       "      <td>0.006879</td>\n",
       "      <td>-0.002633</td>\n",
       "      <td>-0.005731</td>\n",
       "      <td>-0.002304</td>\n",
       "      <td>-0.012894</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.007783</td>\n",
       "      <td>-0.023748</td>\n",
       "      <td>-0.008655</td>\n",
       "      <td>-0.006903</td>\n",
       "      <td>-0.002264</td>\n",
       "      <td>-0.015411</td>\n",
       "      <td>-0.007840</td>\n",
       "      <td>-0.008668</td>\n",
       "      <td>-0.001775</td>\n",
       "      <td>-0.022386</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022/12/29</th>\n",
       "      <td>0.021185</td>\n",
       "      <td>0.021624</td>\n",
       "      <td>0.014073</td>\n",
       "      <td>0.017496</td>\n",
       "      <td>0.018061</td>\n",
       "      <td>0.027808</td>\n",
       "      <td>0.014474</td>\n",
       "      <td>0.017636</td>\n",
       "      <td>0.016960</td>\n",
       "      <td>0.024973</td>\n",
       "      <td>...</td>\n",
       "      <td>0.034248</td>\n",
       "      <td>0.007521</td>\n",
       "      <td>0.013305</td>\n",
       "      <td>0.009964</td>\n",
       "      <td>0.003692</td>\n",
       "      <td>0.024353</td>\n",
       "      <td>0.016485</td>\n",
       "      <td>0.016783</td>\n",
       "      <td>0.028683</td>\n",
       "      <td>0.028818</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022/12/30</th>\n",
       "      <td>0.006703</td>\n",
       "      <td>-0.003359</td>\n",
       "      <td>0.001703</td>\n",
       "      <td>-0.000444</td>\n",
       "      <td>-0.000092</td>\n",
       "      <td>0.018619</td>\n",
       "      <td>0.003013</td>\n",
       "      <td>0.002834</td>\n",
       "      <td>0.009094</td>\n",
       "      <td>0.011086</td>\n",
       "      <td>...</td>\n",
       "      <td>0.006845</td>\n",
       "      <td>-0.007497</td>\n",
       "      <td>-0.003622</td>\n",
       "      <td>0.015760</td>\n",
       "      <td>0.012445</td>\n",
       "      <td>0.002818</td>\n",
       "      <td>-0.000056</td>\n",
       "      <td>0.004358</td>\n",
       "      <td>-0.003077</td>\n",
       "      <td>-0.003239</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>482 rows × 91 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                AAPL      MSFT      AMZN     GOOGL      GOOG      TSLA  \\\n",
       "Date                                                                     \n",
       "2021/02/03 -0.006484  0.013042 -0.015982  0.047148  0.048116 -0.021262   \n",
       "2021/02/04  0.020038 -0.003443  0.008920 -0.001653 -0.002109 -0.001090   \n",
       "2021/02/05 -0.003083  0.003203  0.009641  0.013434  0.013680  0.010102   \n",
       "2021/02/08  0.004154  0.003456 -0.007656 -0.001490 -0.001402  0.010011   \n",
       "2021/02/09 -0.005046  0.006894 -0.005407 -0.003457 -0.003297 -0.013229   \n",
       "...              ...       ...       ...       ...       ...       ...   \n",
       "2022/12/23 -0.002754  0.004691  0.010537  0.011732  0.012203 -0.019832   \n",
       "2022/12/27 -0.008802 -0.006029 -0.011523 -0.012195 -0.012377 -0.046083   \n",
       "2022/12/28 -0.020516 -0.008752 -0.006332 -0.009365 -0.009914  0.006879   \n",
       "2022/12/29  0.021185  0.021624  0.014073  0.017496  0.018061  0.027808   \n",
       "2022/12/30  0.006703 -0.003359  0.001703 -0.000444 -0.000092  0.018619   \n",
       "\n",
       "                META      NVDA      PYPL      NFLX  ...      ZBRA      TCOM  \\\n",
       "Date                                                ...                       \n",
       "2021/02/03  0.000092 -0.000172  0.013764 -0.013620  ... -0.000548 -0.005011   \n",
       "2021/02/04 -0.000108  0.011272  0.064221  0.023482  ...  0.013316  0.025053   \n",
       "2021/02/05  0.006791 -0.002875  0.000764 -0.002690  ...  0.002162  0.052175   \n",
       "2021/02/08 -0.003660  0.032236  0.045815 -0.005568  ...  0.038079  0.012551   \n",
       "2021/02/09  0.010000 -0.007174  0.010470  0.021375  ...  0.022262  0.002760   \n",
       "...              ...       ...       ...       ...  ...       ...       ...   \n",
       "2022/12/23  0.005040 -0.006433  0.005769 -0.005096  ...  0.006630 -0.018594   \n",
       "2022/12/27 -0.002243 -0.039923 -0.000420 -0.017406  ...  0.013089  0.033694   \n",
       "2022/12/28 -0.002633 -0.005731 -0.002304 -0.012894  ... -0.007783 -0.023748   \n",
       "2022/12/29  0.014474  0.017636  0.016960  0.024973  ...  0.034248  0.007521   \n",
       "2022/12/30  0.003013  0.002834  0.009094  0.011086  ...  0.006845 -0.007497   \n",
       "\n",
       "                NTES      BMRN      ULTA      EXPE      CSGP      SIRI  \\\n",
       "Date                                                                     \n",
       "2021/02/03 -0.000331 -0.006544  0.004842  0.015331 -0.000982 -0.003723   \n",
       "2021/02/04 -0.002774  0.030080  0.020205  0.022941  0.000817 -0.010771   \n",
       "2021/02/05  0.015239  0.005923  0.019917 -0.001693 -0.009149 -0.001819   \n",
       "2021/02/08  0.002275  0.015690  0.043298  0.023109 -0.005885 -0.008995   \n",
       "2021/02/09  0.063456 -0.010815  0.009067 -0.004105  0.005757  0.000348   \n",
       "...              ...       ...       ...       ...       ...       ...   \n",
       "2022/12/23 -0.007362 -0.020719 -0.002380  0.012746 -0.002525  0.005852   \n",
       "2022/12/27  0.018135 -0.033638  0.023428  0.000371 -0.000712 -0.010178   \n",
       "2022/12/28 -0.008655 -0.006903 -0.002264 -0.015411 -0.007840 -0.008668   \n",
       "2022/12/29  0.013305  0.009964  0.003692  0.024353  0.016485  0.016783   \n",
       "2022/12/30 -0.003622  0.015760  0.012445  0.002818 -0.000056  0.004358   \n",
       "\n",
       "                EBAY       WDC  \n",
       "Date                            \n",
       "2021/02/03  0.009592 -0.005704  \n",
       "2021/02/04  0.039873  0.032068  \n",
       "2021/02/05  0.015634  0.010201  \n",
       "2021/02/08  0.022035  0.046525  \n",
       "2021/02/09 -0.022415 -0.006683  \n",
       "...              ...       ...  \n",
       "2022/12/23  0.000818 -0.003175  \n",
       "2022/12/27 -0.000684  0.010271  \n",
       "2022/12/28 -0.001775 -0.022386  \n",
       "2022/12/29  0.028683  0.028818  \n",
       "2022/12/30 -0.003077 -0.003239  \n",
       "\n",
       "[482 rows x 91 columns]"
      ]
     },
     "execution_count": 63,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "backtest_y_2021_2022"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "e0d0726e",
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "d345e79d",
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": 64,
   "id": "30d432e6",
   "metadata": {},
   "outputs": [
    {
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       "    <tr>\n",
       "      <th>AAPL</th>\n",
       "      <td>-0.013493</td>\n",
       "      <td>-0.000000e+00</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.001734</td>\n",
       "      <td>-0.001006</td>\n",
       "      <td>-0.002494</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.000870</td>\n",
       "      <td>0.0</td>\n",
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       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>-0.0</td>\n",
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       "      <td>-0.0</td>\n",
       "      <td>-0.000000</td>\n",
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       "    <tr>\n",
       "      <th>MSFT</th>\n",
       "      <td>-0.013764</td>\n",
       "      <td>-0.000000e+00</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.001145</td>\n",
       "      <td>-0.000656</td>\n",
       "      <td>-0.001677</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
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       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.000000</td>\n",
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       "    <tr>\n",
       "      <th>AMZN</th>\n",
       "      <td>-0.013395</td>\n",
       "      <td>-0.000000e+00</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.001202</td>\n",
       "      <td>-0.000636</td>\n",
       "      <td>-0.002225</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.000000</td>\n",
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       "    <tr>\n",
       "      <th>GOOGL</th>\n",
       "      <td>-0.015305</td>\n",
       "      <td>-0.000000e+00</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000162</td>\n",
       "      <td>-0.000374</td>\n",
       "      <td>-0.000670</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000043</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>-0.000000</td>\n",
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       "    <tr>\n",
       "      <th>GOOG</th>\n",
       "      <td>-0.015312</td>\n",
       "      <td>-0.000000e+00</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000107</td>\n",
       "      <td>-0.000577</td>\n",
       "      <td>-0.000442</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>0.0</td>\n",
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       "      <td>...</td>\n",
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       "      <td>...</td>\n",
       "      <td>...</td>\n",
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       "    <tr>\n",
       "      <th>EXPE</th>\n",
       "      <td>-0.000000</td>\n",
       "      <td>-2.711270e-02</td>\n",
       "      <td>0.001907</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.000283</td>\n",
       "      <td>0.000822</td>\n",
       "      <td>0.0</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.0</td>\n",
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       "      <td>-0.000000</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.000113</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>CSGP</th>\n",
       "      <td>-0.014414</td>\n",
       "      <td>-0.000000e+00</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.001754</td>\n",
       "      <td>-0.001672</td>\n",
       "      <td>0.000478</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.000149</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SIRI</th>\n",
       "      <td>-0.017110</td>\n",
       "      <td>-4.936319e-19</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.000052</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.0</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>-0.000128</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>-0.000018</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>EBAY</th>\n",
       "      <td>-0.016370</td>\n",
       "      <td>-2.198906e-18</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.000727</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.0</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.000048</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>-0.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>WDC</th>\n",
       "      <td>-0.000000</td>\n",
       "      <td>-2.998520e-02</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.002284</td>\n",
       "      <td>0.0</td>\n",
       "      <td>-0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.0</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.000153</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>-0.0</td>\n",
       "      <td>0.000000</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>91 rows × 30 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "            a51           a49       a12       a35       a54       a25  a17  \\\n",
       "AAPL  -0.013493 -0.000000e+00  0.000000  0.001734 -0.001006 -0.002494 -0.0   \n",
       "MSFT  -0.013764 -0.000000e+00 -0.000000  0.001145 -0.000656 -0.001677 -0.0   \n",
       "AMZN  -0.013395 -0.000000e+00 -0.000000  0.001202 -0.000636 -0.002225 -0.0   \n",
       "GOOGL -0.015305 -0.000000e+00  0.000000  0.000162 -0.000374 -0.000670 -0.0   \n",
       "GOOG  -0.015312 -0.000000e+00  0.000000  0.000107 -0.000577 -0.000442 -0.0   \n",
       "...         ...           ...       ...       ...       ...       ...  ...   \n",
       "EXPE  -0.000000 -2.711270e-02  0.001907 -0.000000  0.000283  0.000822  0.0   \n",
       "CSGP  -0.014414 -0.000000e+00 -0.000000  0.001754 -0.001672  0.000478 -0.0   \n",
       "SIRI  -0.017110 -4.936319e-19  0.000000  0.000000 -0.000000  0.000052 -0.0   \n",
       "EBAY  -0.016370 -2.198906e-18 -0.000000  0.000727 -0.000000  0.000000 -0.0   \n",
       "WDC   -0.000000 -2.998520e-02  0.000000  0.000000  0.000000  0.002284  0.0   \n",
       "\n",
       "            a38       a18  a34  ...        a5       a45  a23  a74  a13  a84  \\\n",
       "AAPL  -0.000000  0.000870  0.0  ... -0.000000 -0.000000  0.0  0.0  0.0 -0.0   \n",
       "MSFT   0.000000  0.000000 -0.0  ... -0.000000 -0.000000  0.0  0.0 -0.0 -0.0   \n",
       "AMZN  -0.000000  0.000000 -0.0  ... -0.000000 -0.000000  0.0  0.0 -0.0 -0.0   \n",
       "GOOGL  0.000000  0.000043 -0.0  ... -0.000000 -0.000000  0.0 -0.0  0.0 -0.0   \n",
       "GOOG  -0.000000  0.000000 -0.0  ... -0.000000 -0.000000  0.0 -0.0 -0.0 -0.0   \n",
       "...         ...       ...  ...  ...       ...       ...  ...  ...  ...  ...   \n",
       "EXPE  -0.000000  0.000000  0.0  ... -0.000000 -0.000000 -0.0 -0.0  0.0  0.0   \n",
       "CSGP  -0.000149 -0.000000 -0.0  ... -0.000000  0.000000  0.0 -0.0 -0.0 -0.0   \n",
       "SIRI  -0.000000 -0.000000  0.0  ... -0.000000 -0.000128  0.0  0.0 -0.0 -0.0   \n",
       "EBAY  -0.000000  0.000000  0.0  ... -0.000048 -0.000000  0.0  0.0 -0.0 -0.0   \n",
       "WDC   -0.000000  0.000000  0.0  ... -0.000153  0.000000 -0.0  0.0  0.0 -0.0   \n",
       "\n",
       "       a81  a11  a21       a14  \n",
       "AAPL   0.0 -0.0 -0.0 -0.000000  \n",
       "MSFT  -0.0 -0.0  0.0  0.000000  \n",
       "AMZN  -0.0 -0.0  0.0  0.000000  \n",
       "GOOGL -0.0 -0.0  0.0 -0.000000  \n",
       "GOOG  -0.0 -0.0  0.0 -0.000000  \n",
       "...    ...  ...  ...       ...  \n",
       "EXPE   0.0  0.0 -0.0 -0.000113  \n",
       "CSGP  -0.0 -0.0 -0.0 -0.000000  \n",
       "SIRI  -0.0  0.0  0.0 -0.000018  \n",
       "EBAY  -0.0 -0.0  0.0 -0.000000  \n",
       "WDC   -0.0  0.0 -0.0  0.000000  \n",
       "\n",
       "[91 rows x 30 columns]"
      ]
     },
     "execution_count": 64,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "alpha5_result"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 65,
   "id": "d5a3a060",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "AAPL     0\n",
       "MSFT     0\n",
       "AMZN     0\n",
       "GOOGL    0\n",
       "GOOG     0\n",
       "        ..\n",
       "EXPE     0\n",
       "CSGP     0\n",
       "SIRI     0\n",
       "EBAY     0\n",
       "WDC      0\n",
       "Length: 91, dtype: int64"
      ]
     },
     "execution_count": 65,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "backtest_y_2021_2022.isna().sum()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "9847b0da",
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "2e226ef6",
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": 66,
   "id": "8d08a799",
   "metadata": {},
   "outputs": [],
   "source": [
    "alpha5_result.to_csv('lasso_alpha.csv')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 67,
   "id": "884b9a3d",
   "metadata": {},
   "outputs": [],
   "source": [
    "backtest_y_2021.to_csv('backtest y 2021.csv')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 68,
   "id": "960a3c6e",
   "metadata": {},
   "outputs": [],
   "source": [
    "backtest_y_2021_2022.to_csv('backtest y 2021&2022.csv')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 69,
   "id": "1d3dc6a0",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "AAPL     0.406796\n",
       "MSFT     0.344806\n",
       "AMZN     0.400094\n",
       "GOOGL    0.195908\n",
       "GOOG     0.200347\n",
       "           ...   \n",
       "EXPE     0.149520\n",
       "CSGP     0.381517\n",
       "SIRI     0.163695\n",
       "EBAY     0.201214\n",
       "WDC      0.153495\n",
       "Length: 91, dtype: float64"
      ]
     },
     "execution_count": 69,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(np.exp(backtest_y_2021)-1).mean()*252"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 70,
   "id": "2fcfd4a8",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "AAPL     0.406587\n",
       "MSFT     0.344804\n",
       "AMZN     0.399508\n",
       "GOOGL    0.196050\n",
       "GOOG     0.200494\n",
       "           ...   \n",
       "EXPE     0.150561\n",
       "CSGP     0.382872\n",
       "SIRI     0.163662\n",
       "EBAY     0.201289\n",
       "WDC      0.158018\n",
       "Length: 91, dtype: float64"
      ]
     },
     "execution_count": 70,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(np.exp(backtest_y_2021_2022)-1).mean()*252"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 71,
   "id": "2c76207a",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>AAPL</th>\n",
       "      <th>MSFT</th>\n",
       "      <th>AMZN</th>\n",
       "      <th>GOOGL</th>\n",
       "      <th>GOOG</th>\n",
       "      <th>TSLA</th>\n",
       "      <th>META</th>\n",
       "      <th>NVDA</th>\n",
       "      <th>PYPL</th>\n",
       "      <th>NFLX</th>\n",
       "      <th>...</th>\n",
       "      <th>ZBRA</th>\n",
       "      <th>TCOM</th>\n",
       "      <th>NTES</th>\n",
       "      <th>BMRN</th>\n",
       "      <th>ULTA</th>\n",
       "      <th>EXPE</th>\n",
       "      <th>CSGP</th>\n",
       "      <th>SIRI</th>\n",
       "      <th>EBAY</th>\n",
       "      <th>WDC</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2021/02/03</th>\n",
       "      <td>-0.009665</td>\n",
       "      <td>0.014629</td>\n",
       "      <td>-0.021671</td>\n",
       "      <td>0.059380</td>\n",
       "      <td>0.061611</td>\n",
       "      <td>-0.031499</td>\n",
       "      <td>-0.002020</td>\n",
       "      <td>0.003426</td>\n",
       "      <td>0.012181</td>\n",
       "      <td>-0.018364</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.003483</td>\n",
       "      <td>-0.003732</td>\n",
       "      <td>-0.000602</td>\n",
       "      <td>-0.006929</td>\n",
       "      <td>0.005141</td>\n",
       "      <td>0.014208</td>\n",
       "      <td>-0.001734</td>\n",
       "      <td>-0.002653</td>\n",
       "      <td>0.007945</td>\n",
       "      <td>-0.006413</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/04</th>\n",
       "      <td>0.024293</td>\n",
       "      <td>-0.006774</td>\n",
       "      <td>0.009035</td>\n",
       "      <td>-0.004345</td>\n",
       "      <td>-0.005103</td>\n",
       "      <td>-0.010466</td>\n",
       "      <td>-0.002056</td>\n",
       "      <td>0.015345</td>\n",
       "      <td>0.055731</td>\n",
       "      <td>0.027559</td>\n",
       "      <td>...</td>\n",
       "      <td>0.011046</td>\n",
       "      <td>0.030158</td>\n",
       "      <td>-0.002971</td>\n",
       "      <td>0.035108</td>\n",
       "      <td>0.022677</td>\n",
       "      <td>0.022115</td>\n",
       "      <td>0.000429</td>\n",
       "      <td>-0.009658</td>\n",
       "      <td>0.035882</td>\n",
       "      <td>0.028240</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/05</th>\n",
       "      <td>-0.005578</td>\n",
       "      <td>0.001259</td>\n",
       "      <td>0.009958</td>\n",
       "      <td>0.014958</td>\n",
       "      <td>0.015483</td>\n",
       "      <td>0.001113</td>\n",
       "      <td>0.005920</td>\n",
       "      <td>0.000525</td>\n",
       "      <td>0.000919</td>\n",
       "      <td>-0.004211</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.000672</td>\n",
       "      <td>0.060741</td>\n",
       "      <td>0.014216</td>\n",
       "      <td>0.007326</td>\n",
       "      <td>0.022298</td>\n",
       "      <td>-0.003821</td>\n",
       "      <td>-0.010487</td>\n",
       "      <td>-0.000741</td>\n",
       "      <td>0.013576</td>\n",
       "      <td>0.008427</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/08</th>\n",
       "      <td>0.003036</td>\n",
       "      <td>0.001604</td>\n",
       "      <td>-0.010762</td>\n",
       "      <td>-0.004084</td>\n",
       "      <td>-0.004120</td>\n",
       "      <td>0.001468</td>\n",
       "      <td>-0.006375</td>\n",
       "      <td>0.038422</td>\n",
       "      <td>0.040210</td>\n",
       "      <td>-0.007815</td>\n",
       "      <td>...</td>\n",
       "      <td>0.037305</td>\n",
       "      <td>0.016065</td>\n",
       "      <td>0.001869</td>\n",
       "      <td>0.018315</td>\n",
       "      <td>0.048914</td>\n",
       "      <td>0.022330</td>\n",
       "      <td>-0.006958</td>\n",
       "      <td>-0.007894</td>\n",
       "      <td>0.019481</td>\n",
       "      <td>0.040844</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/02/09</th>\n",
       "      <td>-0.007894</td>\n",
       "      <td>0.006146</td>\n",
       "      <td>-0.007735</td>\n",
       "      <td>-0.006555</td>\n",
       "      <td>-0.006510</td>\n",
       "      <td>-0.023174</td>\n",
       "      <td>0.009821</td>\n",
       "      <td>-0.004039</td>\n",
       "      <td>0.009008</td>\n",
       "      <td>0.024894</td>\n",
       "      <td>...</td>\n",
       "      <td>0.021310</td>\n",
       "      <td>0.003478</td>\n",
       "      <td>0.060033</td>\n",
       "      <td>-0.012178</td>\n",
       "      <td>0.009827</td>\n",
       "      <td>-0.006333</td>\n",
       "      <td>0.005600</td>\n",
       "      <td>0.001409</td>\n",
       "      <td>-0.021761</td>\n",
       "      <td>-0.008439</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/23</th>\n",
       "      <td>0.007904</td>\n",
       "      <td>0.006481</td>\n",
       "      <td>0.000854</td>\n",
       "      <td>0.003354</td>\n",
       "      <td>-0.000136</td>\n",
       "      <td>0.066261</td>\n",
       "      <td>0.015854</td>\n",
       "      <td>0.003243</td>\n",
       "      <td>0.003301</td>\n",
       "      <td>-0.002067</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.005581</td>\n",
       "      <td>0.028028</td>\n",
       "      <td>0.003235</td>\n",
       "      <td>0.021132</td>\n",
       "      <td>0.015130</td>\n",
       "      <td>0.007871</td>\n",
       "      <td>0.014468</td>\n",
       "      <td>0.009408</td>\n",
       "      <td>0.012348</td>\n",
       "      <td>0.025363</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/27</th>\n",
       "      <td>0.030401</td>\n",
       "      <td>0.031711</td>\n",
       "      <td>-0.011878</td>\n",
       "      <td>0.008021</td>\n",
       "      <td>0.007560</td>\n",
       "      <td>0.027975</td>\n",
       "      <td>0.035163</td>\n",
       "      <td>0.042767</td>\n",
       "      <td>-0.000086</td>\n",
       "      <td>-0.003972</td>\n",
       "      <td>...</td>\n",
       "      <td>0.056044</td>\n",
       "      <td>-0.003358</td>\n",
       "      <td>-0.002245</td>\n",
       "      <td>-0.008433</td>\n",
       "      <td>0.040279</td>\n",
       "      <td>-0.011206</td>\n",
       "      <td>0.001625</td>\n",
       "      <td>0.004107</td>\n",
       "      <td>0.010246</td>\n",
       "      <td>0.014411</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/28</th>\n",
       "      <td>-0.009676</td>\n",
       "      <td>-0.007780</td>\n",
       "      <td>0.009037</td>\n",
       "      <td>-0.012575</td>\n",
       "      <td>-0.016588</td>\n",
       "      <td>-0.011320</td>\n",
       "      <td>0.000812</td>\n",
       "      <td>-0.024198</td>\n",
       "      <td>-0.005848</td>\n",
       "      <td>-0.006276</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.021311</td>\n",
       "      <td>-0.007999</td>\n",
       "      <td>0.000095</td>\n",
       "      <td>-0.022707</td>\n",
       "      <td>-0.019378</td>\n",
       "      <td>-0.011070</td>\n",
       "      <td>-0.003043</td>\n",
       "      <td>-0.007083</td>\n",
       "      <td>0.005369</td>\n",
       "      <td>0.012203</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/29</th>\n",
       "      <td>0.002378</td>\n",
       "      <td>0.003538</td>\n",
       "      <td>-0.010836</td>\n",
       "      <td>-0.002001</td>\n",
       "      <td>-0.000444</td>\n",
       "      <td>-0.001881</td>\n",
       "      <td>-0.012070</td>\n",
       "      <td>-0.011517</td>\n",
       "      <td>0.000972</td>\n",
       "      <td>-0.001863</td>\n",
       "      <td>...</td>\n",
       "      <td>0.011775</td>\n",
       "      <td>-0.009974</td>\n",
       "      <td>-0.012798</td>\n",
       "      <td>0.003980</td>\n",
       "      <td>0.021970</td>\n",
       "      <td>-0.000327</td>\n",
       "      <td>0.002908</td>\n",
       "      <td>-0.006973</td>\n",
       "      <td>0.004821</td>\n",
       "      <td>0.054842</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/30</th>\n",
       "      <td>-0.011468</td>\n",
       "      <td>-0.013996</td>\n",
       "      <td>-0.005772</td>\n",
       "      <td>-0.006128</td>\n",
       "      <td>-0.006491</td>\n",
       "      <td>-0.016464</td>\n",
       "      <td>0.005324</td>\n",
       "      <td>-0.018015</td>\n",
       "      <td>0.008589</td>\n",
       "      <td>0.006100</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.008821</td>\n",
       "      <td>0.050998</td>\n",
       "      <td>0.062252</td>\n",
       "      <td>-0.010720</td>\n",
       "      <td>-0.003213</td>\n",
       "      <td>0.001106</td>\n",
       "      <td>0.004255</td>\n",
       "      <td>0.009460</td>\n",
       "      <td>0.003660</td>\n",
       "      <td>-0.014356</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>230 rows × 91 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                AAPL      MSFT      AMZN     GOOGL      GOOG      TSLA  \\\n",
       "Date                                                                     \n",
       "2021/02/03 -0.009665  0.014629 -0.021671  0.059380  0.061611 -0.031499   \n",
       "2021/02/04  0.024293 -0.006774  0.009035 -0.004345 -0.005103 -0.010466   \n",
       "2021/02/05 -0.005578  0.001259  0.009958  0.014958  0.015483  0.001113   \n",
       "2021/02/08  0.003036  0.001604 -0.010762 -0.004084 -0.004120  0.001468   \n",
       "2021/02/09 -0.007894  0.006146 -0.007735 -0.006555 -0.006510 -0.023174   \n",
       "...              ...       ...       ...       ...       ...       ...   \n",
       "2021/12/23  0.007904  0.006481  0.000854  0.003354 -0.000136  0.066261   \n",
       "2021/12/27  0.030401  0.031711 -0.011878  0.008021  0.007560  0.027975   \n",
       "2021/12/28 -0.009676 -0.007780  0.009037 -0.012575 -0.016588 -0.011320   \n",
       "2021/12/29  0.002378  0.003538 -0.010836 -0.002001 -0.000444 -0.001881   \n",
       "2021/12/30 -0.011468 -0.013996 -0.005772 -0.006128 -0.006491 -0.016464   \n",
       "\n",
       "                META      NVDA      PYPL      NFLX  ...      ZBRA      TCOM  \\\n",
       "Date                                                ...                       \n",
       "2021/02/03 -0.002020  0.003426  0.012181 -0.018364  ... -0.003483 -0.003732   \n",
       "2021/02/04 -0.002056  0.015345  0.055731  0.027559  ...  0.011046  0.030158   \n",
       "2021/02/05  0.005920  0.000525  0.000919 -0.004211  ... -0.000672  0.060741   \n",
       "2021/02/08 -0.006375  0.038422  0.040210 -0.007815  ...  0.037305  0.016065   \n",
       "2021/02/09  0.009821 -0.004039  0.009008  0.024894  ...  0.021310  0.003478   \n",
       "...              ...       ...       ...       ...  ...       ...       ...   \n",
       "2021/12/23  0.015854  0.003243  0.003301 -0.002067  ... -0.005581  0.028028   \n",
       "2021/12/27  0.035163  0.042767 -0.000086 -0.003972  ...  0.056044 -0.003358   \n",
       "2021/12/28  0.000812 -0.024198 -0.005848 -0.006276  ... -0.021311 -0.007999   \n",
       "2021/12/29 -0.012070 -0.011517  0.000972 -0.001863  ...  0.011775 -0.009974   \n",
       "2021/12/30  0.005324 -0.018015  0.008589  0.006100  ... -0.008821  0.050998   \n",
       "\n",
       "                NTES      BMRN      ULTA      EXPE      CSGP      SIRI  \\\n",
       "Date                                                                     \n",
       "2021/02/03 -0.000602 -0.006929  0.005141  0.014208 -0.001734 -0.002653   \n",
       "2021/02/04 -0.002971  0.035108  0.022677  0.022115  0.000429 -0.009658   \n",
       "2021/02/05  0.014216  0.007326  0.022298 -0.003821 -0.010487 -0.000741   \n",
       "2021/02/08  0.001869  0.018315  0.048914  0.022330 -0.006958 -0.007894   \n",
       "2021/02/09  0.060033 -0.012178  0.009827 -0.006333  0.005600  0.001409   \n",
       "...              ...       ...       ...       ...       ...       ...   \n",
       "2021/12/23  0.003235  0.021132  0.015130  0.007871  0.014468  0.009408   \n",
       "2021/12/27 -0.002245 -0.008433  0.040279 -0.011206  0.001625  0.004107   \n",
       "2021/12/28  0.000095 -0.022707 -0.019378 -0.011070 -0.003043 -0.007083   \n",
       "2021/12/29 -0.012798  0.003980  0.021970 -0.000327  0.002908 -0.006973   \n",
       "2021/12/30  0.062252 -0.010720 -0.003213  0.001106  0.004255  0.009460   \n",
       "\n",
       "                EBAY       WDC  \n",
       "Date                            \n",
       "2021/02/03  0.007945 -0.006413  \n",
       "2021/02/04  0.035882  0.028240  \n",
       "2021/02/05  0.013576  0.008427  \n",
       "2021/02/08  0.019481  0.040844  \n",
       "2021/02/09 -0.021761 -0.008439  \n",
       "...              ...       ...  \n",
       "2021/12/23  0.012348  0.025363  \n",
       "2021/12/27  0.010246  0.014411  \n",
       "2021/12/28  0.005369  0.012203  \n",
       "2021/12/29  0.004821  0.054842  \n",
       "2021/12/30  0.003660 -0.014356  \n",
       "\n",
       "[230 rows x 91 columns]"
      ]
     },
     "execution_count": 71,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "backtest_y_2021"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 74,
   "id": "54d3d0d4",
   "metadata": {},
   "outputs": [],
   "source": [
    "na=pd.DataFrame(index=[i for i in range(19)], columns=backtest_y_2021.columns)\n",
    "backtest_y_2021=pd.concat([na, backtest_y_2021])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 78,
   "id": "8a9df6df",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>AAPL</th>\n",
       "      <th>MSFT</th>\n",
       "      <th>AMZN</th>\n",
       "      <th>GOOGL</th>\n",
       "      <th>GOOG</th>\n",
       "      <th>TSLA</th>\n",
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       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "      <th>1</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
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       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "      <th>4</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "    <tr>\n",
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       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>15</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>16</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>17</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>18</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>19 rows × 91 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "   AAPL MSFT AMZN GOOGL GOOG TSLA META NVDA PYPL NFLX  ... ZBRA TCOM NTES  \\\n",
       "0   NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "1   NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "2   NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "3   NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "4   NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "5   NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "6   NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "7   NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "8   NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "9   NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "10  NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "11  NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "12  NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "13  NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "14  NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "15  NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "16  NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "17  NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "18  NaN  NaN  NaN   NaN  NaN  NaN  NaN  NaN  NaN  NaN  ...  NaN  NaN  NaN   \n",
       "\n",
       "   BMRN ULTA EXPE CSGP SIRI EBAY  WDC  \n",
       "0   NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "1   NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "2   NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "3   NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "4   NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "5   NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "6   NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "7   NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "8   NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "9   NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "10  NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "11  NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "12  NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "13  NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "14  NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "15  NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "16  NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "17  NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "18  NaN  NaN  NaN  NaN  NaN  NaN  NaN  \n",
       "\n",
       "[19 rows x 91 columns]"
      ]
     },
     "execution_count": 78,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "na"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 79,
   "id": "63323375",
   "metadata": {},
   "outputs": [
    {
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>AAPL</th>\n",
       "      <th>MSFT</th>\n",
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       "      <th>GOOGL</th>\n",
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       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "      <th>3</th>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>...</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "    <tr>\n",
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       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
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       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
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       "    <tr>\n",
       "      <th>2021/12/23</th>\n",
       "      <td>0.007904</td>\n",
       "      <td>0.006481</td>\n",
       "      <td>0.000854</td>\n",
       "      <td>0.003354</td>\n",
       "      <td>-0.000136</td>\n",
       "      <td>0.066261</td>\n",
       "      <td>0.015854</td>\n",
       "      <td>0.003243</td>\n",
       "      <td>0.003301</td>\n",
       "      <td>-0.002067</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.005581</td>\n",
       "      <td>0.028028</td>\n",
       "      <td>0.003235</td>\n",
       "      <td>0.021132</td>\n",
       "      <td>0.015130</td>\n",
       "      <td>0.007871</td>\n",
       "      <td>0.014468</td>\n",
       "      <td>0.009408</td>\n",
       "      <td>0.012348</td>\n",
       "      <td>0.025363</td>\n",
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       "    <tr>\n",
       "      <th>2021/12/27</th>\n",
       "      <td>0.030401</td>\n",
       "      <td>0.031711</td>\n",
       "      <td>-0.011878</td>\n",
       "      <td>0.008021</td>\n",
       "      <td>0.007560</td>\n",
       "      <td>0.027975</td>\n",
       "      <td>0.035163</td>\n",
       "      <td>0.042767</td>\n",
       "      <td>-0.000086</td>\n",
       "      <td>-0.003972</td>\n",
       "      <td>...</td>\n",
       "      <td>0.056044</td>\n",
       "      <td>-0.003358</td>\n",
       "      <td>-0.002245</td>\n",
       "      <td>-0.008433</td>\n",
       "      <td>0.040279</td>\n",
       "      <td>-0.011206</td>\n",
       "      <td>0.001625</td>\n",
       "      <td>0.004107</td>\n",
       "      <td>0.010246</td>\n",
       "      <td>0.014411</td>\n",
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       "    <tr>\n",
       "      <th>2021/12/28</th>\n",
       "      <td>-0.009676</td>\n",
       "      <td>-0.007780</td>\n",
       "      <td>0.009037</td>\n",
       "      <td>-0.012575</td>\n",
       "      <td>-0.016588</td>\n",
       "      <td>-0.011320</td>\n",
       "      <td>0.000812</td>\n",
       "      <td>-0.024198</td>\n",
       "      <td>-0.005848</td>\n",
       "      <td>-0.006276</td>\n",
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       "      <td>-0.021311</td>\n",
       "      <td>-0.007999</td>\n",
       "      <td>0.000095</td>\n",
       "      <td>-0.022707</td>\n",
       "      <td>-0.019378</td>\n",
       "      <td>-0.011070</td>\n",
       "      <td>-0.003043</td>\n",
       "      <td>-0.007083</td>\n",
       "      <td>0.005369</td>\n",
       "      <td>0.012203</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/29</th>\n",
       "      <td>0.002378</td>\n",
       "      <td>0.003538</td>\n",
       "      <td>-0.010836</td>\n",
       "      <td>-0.002001</td>\n",
       "      <td>-0.000444</td>\n",
       "      <td>-0.001881</td>\n",
       "      <td>-0.012070</td>\n",
       "      <td>-0.011517</td>\n",
       "      <td>0.000972</td>\n",
       "      <td>-0.001863</td>\n",
       "      <td>...</td>\n",
       "      <td>0.011775</td>\n",
       "      <td>-0.009974</td>\n",
       "      <td>-0.012798</td>\n",
       "      <td>0.003980</td>\n",
       "      <td>0.021970</td>\n",
       "      <td>-0.000327</td>\n",
       "      <td>0.002908</td>\n",
       "      <td>-0.006973</td>\n",
       "      <td>0.004821</td>\n",
       "      <td>0.054842</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2021/12/30</th>\n",
       "      <td>-0.011468</td>\n",
       "      <td>-0.013996</td>\n",
       "      <td>-0.005772</td>\n",
       "      <td>-0.006128</td>\n",
       "      <td>-0.006491</td>\n",
       "      <td>-0.016464</td>\n",
       "      <td>0.005324</td>\n",
       "      <td>-0.018015</td>\n",
       "      <td>0.008589</td>\n",
       "      <td>0.006100</td>\n",
       "      <td>...</td>\n",
       "      <td>-0.008821</td>\n",
       "      <td>0.050998</td>\n",
       "      <td>0.062252</td>\n",
       "      <td>-0.010720</td>\n",
       "      <td>-0.003213</td>\n",
       "      <td>0.001106</td>\n",
       "      <td>0.004255</td>\n",
       "      <td>0.009460</td>\n",
       "      <td>0.003660</td>\n",
       "      <td>-0.014356</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>249 rows × 91 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                AAPL      MSFT      AMZN     GOOGL      GOOG      TSLA  \\\n",
       "0                NaN       NaN       NaN       NaN       NaN       NaN   \n",
       "1                NaN       NaN       NaN       NaN       NaN       NaN   \n",
       "2                NaN       NaN       NaN       NaN       NaN       NaN   \n",
       "3                NaN       NaN       NaN       NaN       NaN       NaN   \n",
       "4                NaN       NaN       NaN       NaN       NaN       NaN   \n",
       "...              ...       ...       ...       ...       ...       ...   \n",
       "2021/12/23  0.007904  0.006481  0.000854  0.003354 -0.000136  0.066261   \n",
       "2021/12/27  0.030401  0.031711 -0.011878  0.008021  0.007560  0.027975   \n",
       "2021/12/28 -0.009676 -0.007780  0.009037 -0.012575 -0.016588 -0.011320   \n",
       "2021/12/29  0.002378  0.003538 -0.010836 -0.002001 -0.000444 -0.001881   \n",
       "2021/12/30 -0.011468 -0.013996 -0.005772 -0.006128 -0.006491 -0.016464   \n",
       "\n",
       "                META      NVDA      PYPL      NFLX  ...      ZBRA      TCOM  \\\n",
       "0                NaN       NaN       NaN       NaN  ...       NaN       NaN   \n",
       "1                NaN       NaN       NaN       NaN  ...       NaN       NaN   \n",
       "2                NaN       NaN       NaN       NaN  ...       NaN       NaN   \n",
       "3                NaN       NaN       NaN       NaN  ...       NaN       NaN   \n",
       "4                NaN       NaN       NaN       NaN  ...       NaN       NaN   \n",
       "...              ...       ...       ...       ...  ...       ...       ...   \n",
       "2021/12/23  0.015854  0.003243  0.003301 -0.002067  ... -0.005581  0.028028   \n",
       "2021/12/27  0.035163  0.042767 -0.000086 -0.003972  ...  0.056044 -0.003358   \n",
       "2021/12/28  0.000812 -0.024198 -0.005848 -0.006276  ... -0.021311 -0.007999   \n",
       "2021/12/29 -0.012070 -0.011517  0.000972 -0.001863  ...  0.011775 -0.009974   \n",
       "2021/12/30  0.005324 -0.018015  0.008589  0.006100  ... -0.008821  0.050998   \n",
       "\n",
       "                NTES      BMRN      ULTA      EXPE      CSGP      SIRI  \\\n",
       "0                NaN       NaN       NaN       NaN       NaN       NaN   \n",
       "1                NaN       NaN       NaN       NaN       NaN       NaN   \n",
       "2                NaN       NaN       NaN       NaN       NaN       NaN   \n",
       "3                NaN       NaN       NaN       NaN       NaN       NaN   \n",
       "4                NaN       NaN       NaN       NaN       NaN       NaN   \n",
       "...              ...       ...       ...       ...       ...       ...   \n",
       "2021/12/23  0.003235  0.021132  0.015130  0.007871  0.014468  0.009408   \n",
       "2021/12/27 -0.002245 -0.008433  0.040279 -0.011206  0.001625  0.004107   \n",
       "2021/12/28  0.000095 -0.022707 -0.019378 -0.011070 -0.003043 -0.007083   \n",
       "2021/12/29 -0.012798  0.003980  0.021970 -0.000327  0.002908 -0.006973   \n",
       "2021/12/30  0.062252 -0.010720 -0.003213  0.001106  0.004255  0.009460   \n",
       "\n",
       "                EBAY       WDC  \n",
       "0                NaN       NaN  \n",
       "1                NaN       NaN  \n",
       "2                NaN       NaN  \n",
       "3                NaN       NaN  \n",
       "4                NaN       NaN  \n",
       "...              ...       ...  \n",
       "2021/12/23  0.012348  0.025363  \n",
       "2021/12/27  0.010246  0.014411  \n",
       "2021/12/28  0.005369  0.012203  \n",
       "2021/12/29  0.004821  0.054842  \n",
       "2021/12/30  0.003660 -0.014356  \n",
       "\n",
       "[249 rows x 91 columns]"
      ]
     },
     "execution_count": 79,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "pd.concat([na, backtest_y_2021])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "38a32995",
   "metadata": {},
   "outputs": [],
   "source": []
  }
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