Dataset Card for "timeseries-daily-sp500"

Dataset Summary

The timeseries-daily-sp500 dataset provides daily historical data for companies in the S&P 500 index.

Supported Tasks and Leaderboards

The dataset can be used to train a model for systematic trading. The model performance is evaluated based on the return / risk profile of the positions taken by the model.

Languages

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Dataset Structure

Data Instances

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Data Fields

• symbol (string): A string representing the ticker symbol or abbreviation used to identify the company.
• date (timestamp[ns, tz=America/New_York]): A timestamp indicating the date of the recorded data. The timestamps are in the America/New_York time zone.
• open (float64): A floating-point number representing the opening price of the stock on the given date.
• high (float64): A floating-point number representing the highest price of the stock on the given date.
• low (float64): A floating-point number representing the lowest price of the stock on the given date.
• close (float64): A floating-point number representing the closing price of the stock on the given date.
• volume (int64): An integer indicating the trading volume (number of shares) of the stock on the given date.
• dividends (float64): A floating-point number representing the dividends paid by the stock on the given date.
• stock_splits (float64): A floating-point number representing any stock splits that occurred on the given date.

Data Splits

A single split, called train.

Dataset Creation

Curation Rationale

The timeseries-daily-sp500 dataset was developed to support the development of low-frequency trading algorithms.

Source Data

This data was sourced from the web, and aggregated.

Annotations

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Personal and Sensitive Information

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Considerations for Using the Data

Social Impact of Dataset

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Discussion of Biases

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Other Known Limitations

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Additional Information

Dataset Curators

The timeseries-daily-sp500 dataset was collected by https://edarchimbaud.substack.com .

Licensing Information

The timeseries-daily-sp500 dataset is licensed under the MIT License.

Citation Information

https://edarchimbaud.substack.com , timeseries-daily-sp500 dataset, GitHub repository, https://github.com/edarchimbaud

Contributions

Thanks to @edarchimbaud for adding this dataset.