[auto] Update dataset metadata
Browse files- data/metadata.json +505 -5
data/metadata.json
CHANGED
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@@ -1,7 +1,507 @@
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{
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"last_updated": "2026-04-
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| 7 |
}
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| 1 |
{
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"last_updated": "2026-04-17T03:34:56.307406",
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"repo": "P2SAMAPA/p2-etf-deepm-data",
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"fi_etfs": [
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"TLT",
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| 6 |
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"LQD",
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| 7 |
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"HYG",
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| 8 |
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"VNQ",
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| 9 |
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"GLD",
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| 10 |
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"SLV",
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| 11 |
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"PFF",
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"MBB"
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],
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"eq_etfs": [
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"SPY",
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"QQQ",
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"XLK",
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| 18 |
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"XLF",
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| 19 |
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"XLE",
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| 20 |
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"XLV",
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| 21 |
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"XLI",
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| 22 |
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"XLY",
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| 23 |
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"XLP",
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| 24 |
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"XLU",
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| 25 |
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"GDX",
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| 26 |
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"XLB",
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| 27 |
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"XLRE",
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| 28 |
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"IWM",
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| 29 |
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"XME"
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],
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"benchmarks": [
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"AGG",
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| 33 |
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"SPY"
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],
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| 35 |
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"data_start": "2008-01-01",
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| 36 |
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"fred_series": {
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| 37 |
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"VIX": "VIXCLS",
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| 38 |
+
"T10Y2Y": "T10Y2Y",
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| 39 |
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"DGS10": "DGS10",
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| 40 |
+
"DTB3": "DTB3",
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| 41 |
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"HY_SPREAD": "BAMLH0A0HYM2",
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| 42 |
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"IG_SPREAD": "BAMLC0A0CM",
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| 43 |
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"USD_INDEX": "DTWEXBGS",
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| 44 |
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"WTI_OIL": "DCOILWTICO"
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| 45 |
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},
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| 46 |
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"files": {
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| 47 |
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"etf_ohlcv": {
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| 48 |
+
"rows": 4601,
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| 49 |
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"cols": 121,
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| 50 |
+
"date_from": "2008-01-02",
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| 51 |
+
"date_to": "2026-04-16",
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| 52 |
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"columns": [
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+
"Date",
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| 54 |
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"AGG_Open",
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| 55 |
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"AGG_High",
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| 56 |
+
"AGG_Low",
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| 57 |
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"AGG_Close",
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| 58 |
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"AGG_Volume",
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| 59 |
+
"GDX_Open",
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| 60 |
+
"GDX_High",
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| 61 |
+
"GDX_Low",
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| 62 |
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"GDX_Close",
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| 63 |
+
"GDX_Volume",
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| 64 |
+
"GLD_Open",
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| 65 |
+
"GLD_High",
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| 66 |
+
"GLD_Low",
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| 67 |
+
"GLD_Close",
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| 68 |
+
"GLD_Volume",
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| 69 |
+
"HYG_Open",
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| 70 |
+
"HYG_High",
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| 71 |
+
"HYG_Low",
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| 72 |
+
"HYG_Close",
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| 73 |
+
"HYG_Volume",
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| 74 |
+
"IWM_Open",
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| 75 |
+
"IWM_High",
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| 76 |
+
"IWM_Low",
|
| 77 |
+
"IWM_Close",
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| 78 |
+
"IWM_Volume",
|
| 79 |
+
"LQD_Open",
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| 80 |
+
"LQD_High",
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| 81 |
+
"LQD_Low",
|
| 82 |
+
"LQD_Close",
|
| 83 |
+
"LQD_Volume",
|
| 84 |
+
"MBB_Open",
|
| 85 |
+
"MBB_High",
|
| 86 |
+
"MBB_Low",
|
| 87 |
+
"MBB_Close",
|
| 88 |
+
"MBB_Volume",
|
| 89 |
+
"PFF_Open",
|
| 90 |
+
"PFF_High",
|
| 91 |
+
"PFF_Low",
|
| 92 |
+
"PFF_Close",
|
| 93 |
+
"PFF_Volume",
|
| 94 |
+
"QQQ_Open",
|
| 95 |
+
"QQQ_High",
|
| 96 |
+
"QQQ_Low",
|
| 97 |
+
"QQQ_Close",
|
| 98 |
+
"QQQ_Volume",
|
| 99 |
+
"SLV_Open",
|
| 100 |
+
"SLV_High",
|
| 101 |
+
"SLV_Low",
|
| 102 |
+
"SLV_Close",
|
| 103 |
+
"SLV_Volume",
|
| 104 |
+
"SPY_Open",
|
| 105 |
+
"SPY_High",
|
| 106 |
+
"SPY_Low",
|
| 107 |
+
"SPY_Close",
|
| 108 |
+
"SPY_Volume",
|
| 109 |
+
"TLT_Open",
|
| 110 |
+
"TLT_High",
|
| 111 |
+
"TLT_Low",
|
| 112 |
+
"TLT_Close",
|
| 113 |
+
"TLT_Volume",
|
| 114 |
+
"VNQ_Open",
|
| 115 |
+
"VNQ_High",
|
| 116 |
+
"VNQ_Low",
|
| 117 |
+
"VNQ_Close",
|
| 118 |
+
"VNQ_Volume",
|
| 119 |
+
"XLB_Open",
|
| 120 |
+
"XLB_High",
|
| 121 |
+
"XLB_Low",
|
| 122 |
+
"XLB_Close",
|
| 123 |
+
"XLB_Volume",
|
| 124 |
+
"XLE_Open",
|
| 125 |
+
"XLE_High",
|
| 126 |
+
"XLE_Low",
|
| 127 |
+
"XLE_Close",
|
| 128 |
+
"XLE_Volume",
|
| 129 |
+
"XLF_Open",
|
| 130 |
+
"XLF_High",
|
| 131 |
+
"XLF_Low",
|
| 132 |
+
"XLF_Close",
|
| 133 |
+
"XLF_Volume",
|
| 134 |
+
"XLI_Open",
|
| 135 |
+
"XLI_High",
|
| 136 |
+
"XLI_Low",
|
| 137 |
+
"XLI_Close",
|
| 138 |
+
"XLI_Volume",
|
| 139 |
+
"XLK_Open",
|
| 140 |
+
"XLK_High",
|
| 141 |
+
"XLK_Low",
|
| 142 |
+
"XLK_Close",
|
| 143 |
+
"XLK_Volume",
|
| 144 |
+
"XLP_Open",
|
| 145 |
+
"XLP_High",
|
| 146 |
+
"XLP_Low",
|
| 147 |
+
"XLP_Close",
|
| 148 |
+
"XLP_Volume",
|
| 149 |
+
"XLRE_Open",
|
| 150 |
+
"XLRE_High",
|
| 151 |
+
"XLRE_Low",
|
| 152 |
+
"XLRE_Close",
|
| 153 |
+
"XLRE_Volume",
|
| 154 |
+
"XLU_Open",
|
| 155 |
+
"XLU_High",
|
| 156 |
+
"XLU_Low",
|
| 157 |
+
"XLU_Close",
|
| 158 |
+
"XLU_Volume",
|
| 159 |
+
"XLV_Open",
|
| 160 |
+
"XLV_High",
|
| 161 |
+
"XLV_Low",
|
| 162 |
+
"XLV_Close",
|
| 163 |
+
"XLV_Volume",
|
| 164 |
+
"XLY_Open",
|
| 165 |
+
"XLY_High",
|
| 166 |
+
"XLY_Low",
|
| 167 |
+
"XLY_Close",
|
| 168 |
+
"XLY_Volume",
|
| 169 |
+
"XME_Open",
|
| 170 |
+
"XME_High",
|
| 171 |
+
"XME_Low",
|
| 172 |
+
"XME_Close",
|
| 173 |
+
"XME_Volume"
|
| 174 |
+
]
|
| 175 |
+
},
|
| 176 |
+
"etf_returns": {
|
| 177 |
+
"rows": 4600,
|
| 178 |
+
"cols": 49,
|
| 179 |
+
"date_from": "2008-01-03",
|
| 180 |
+
"date_to": "2026-04-16",
|
| 181 |
+
"columns": [
|
| 182 |
+
"Date",
|
| 183 |
+
"AGG_logret",
|
| 184 |
+
"AGG_ret",
|
| 185 |
+
"GDX_logret",
|
| 186 |
+
"GDX_ret",
|
| 187 |
+
"GLD_logret",
|
| 188 |
+
"GLD_ret",
|
| 189 |
+
"HYG_logret",
|
| 190 |
+
"HYG_ret",
|
| 191 |
+
"IWM_logret",
|
| 192 |
+
"IWM_ret",
|
| 193 |
+
"LQD_logret",
|
| 194 |
+
"LQD_ret",
|
| 195 |
+
"MBB_logret",
|
| 196 |
+
"MBB_ret",
|
| 197 |
+
"PFF_logret",
|
| 198 |
+
"PFF_ret",
|
| 199 |
+
"QQQ_logret",
|
| 200 |
+
"QQQ_ret",
|
| 201 |
+
"SLV_logret",
|
| 202 |
+
"SLV_ret",
|
| 203 |
+
"SPY_logret",
|
| 204 |
+
"SPY_ret",
|
| 205 |
+
"TLT_logret",
|
| 206 |
+
"TLT_ret",
|
| 207 |
+
"VNQ_logret",
|
| 208 |
+
"VNQ_ret",
|
| 209 |
+
"XLB_logret",
|
| 210 |
+
"XLB_ret",
|
| 211 |
+
"XLE_logret",
|
| 212 |
+
"XLE_ret",
|
| 213 |
+
"XLF_logret",
|
| 214 |
+
"XLF_ret",
|
| 215 |
+
"XLI_logret",
|
| 216 |
+
"XLI_ret",
|
| 217 |
+
"XLK_logret",
|
| 218 |
+
"XLK_ret",
|
| 219 |
+
"XLP_logret",
|
| 220 |
+
"XLP_ret",
|
| 221 |
+
"XLRE_logret",
|
| 222 |
+
"XLRE_ret",
|
| 223 |
+
"XLU_logret",
|
| 224 |
+
"XLU_ret",
|
| 225 |
+
"XLV_logret",
|
| 226 |
+
"XLV_ret",
|
| 227 |
+
"XLY_logret",
|
| 228 |
+
"XLY_ret",
|
| 229 |
+
"XME_logret",
|
| 230 |
+
"XME_ret"
|
| 231 |
+
]
|
| 232 |
+
},
|
| 233 |
+
"etf_vol": {
|
| 234 |
+
"rows": 4580,
|
| 235 |
+
"cols": 25,
|
| 236 |
+
"date_from": "2008-02-01",
|
| 237 |
+
"date_to": "2026-04-16",
|
| 238 |
+
"columns": [
|
| 239 |
+
"Date",
|
| 240 |
+
"AGG_vol",
|
| 241 |
+
"GDX_vol",
|
| 242 |
+
"GLD_vol",
|
| 243 |
+
"HYG_vol",
|
| 244 |
+
"IWM_vol",
|
| 245 |
+
"LQD_vol",
|
| 246 |
+
"MBB_vol",
|
| 247 |
+
"PFF_vol",
|
| 248 |
+
"QQQ_vol",
|
| 249 |
+
"SLV_vol",
|
| 250 |
+
"SPY_vol",
|
| 251 |
+
"TLT_vol",
|
| 252 |
+
"VNQ_vol",
|
| 253 |
+
"XLB_vol",
|
| 254 |
+
"XLE_vol",
|
| 255 |
+
"XLF_vol",
|
| 256 |
+
"XLI_vol",
|
| 257 |
+
"XLK_vol",
|
| 258 |
+
"XLP_vol",
|
| 259 |
+
"XLRE_vol",
|
| 260 |
+
"XLU_vol",
|
| 261 |
+
"XLV_vol",
|
| 262 |
+
"XLY_vol",
|
| 263 |
+
"XME_vol"
|
| 264 |
+
]
|
| 265 |
+
},
|
| 266 |
+
"macro_fred": {
|
| 267 |
+
"rows": 4603,
|
| 268 |
+
"cols": 9
|
| 269 |
+
},
|
| 270 |
+
"macro_derived": {
|
| 271 |
+
"rows": 4603,
|
| 272 |
+
"cols": 22,
|
| 273 |
+
"date_from": "2008-01-02",
|
| 274 |
+
"date_to": "2026-04-17",
|
| 275 |
+
"columns": [
|
| 276 |
+
"Date",
|
| 277 |
+
"VIX_zscore",
|
| 278 |
+
"VIX_log",
|
| 279 |
+
"VIX_chg1d",
|
| 280 |
+
"YC_slope",
|
| 281 |
+
"YC_slope_zscore",
|
| 282 |
+
"YC_slope_chg",
|
| 283 |
+
"DGS10_zscore",
|
| 284 |
+
"DGS10_chg",
|
| 285 |
+
"HY_spread_zscore",
|
| 286 |
+
"HY_spread_chg",
|
| 287 |
+
"IG_spread_zscore",
|
| 288 |
+
"HY_IG_ratio",
|
| 289 |
+
"HY_IG_ratio_zscore",
|
| 290 |
+
"credit_stress",
|
| 291 |
+
"USD_zscore",
|
| 292 |
+
"USD_chg",
|
| 293 |
+
"OIL_zscore",
|
| 294 |
+
"OIL_chg",
|
| 295 |
+
"OIL_log",
|
| 296 |
+
"TBILL_daily",
|
| 297 |
+
"macro_stress_composite"
|
| 298 |
+
]
|
| 299 |
+
},
|
| 300 |
+
"master": {
|
| 301 |
+
"rows": 4601,
|
| 302 |
+
"cols": 198,
|
| 303 |
+
"date_from": "2008-01-02",
|
| 304 |
+
"date_to": "2026-04-16",
|
| 305 |
+
"columns": [
|
| 306 |
+
"Date",
|
| 307 |
+
"AGG_Open",
|
| 308 |
+
"AGG_High",
|
| 309 |
+
"AGG_Low",
|
| 310 |
+
"AGG_Close",
|
| 311 |
+
"AGG_Volume",
|
| 312 |
+
"GDX_Open",
|
| 313 |
+
"GDX_High",
|
| 314 |
+
"GDX_Low",
|
| 315 |
+
"GDX_Close",
|
| 316 |
+
"GDX_Volume",
|
| 317 |
+
"GLD_Open",
|
| 318 |
+
"GLD_High",
|
| 319 |
+
"GLD_Low",
|
| 320 |
+
"GLD_Close",
|
| 321 |
+
"GLD_Volume",
|
| 322 |
+
"HYG_Open",
|
| 323 |
+
"HYG_High",
|
| 324 |
+
"HYG_Low",
|
| 325 |
+
"HYG_Close",
|
| 326 |
+
"HYG_Volume",
|
| 327 |
+
"IWM_Open",
|
| 328 |
+
"IWM_High",
|
| 329 |
+
"IWM_Low",
|
| 330 |
+
"IWM_Close",
|
| 331 |
+
"IWM_Volume",
|
| 332 |
+
"LQD_Open",
|
| 333 |
+
"LQD_High",
|
| 334 |
+
"LQD_Low",
|
| 335 |
+
"LQD_Close",
|
| 336 |
+
"LQD_Volume",
|
| 337 |
+
"MBB_Open",
|
| 338 |
+
"MBB_High",
|
| 339 |
+
"MBB_Low",
|
| 340 |
+
"MBB_Close",
|
| 341 |
+
"MBB_Volume",
|
| 342 |
+
"PFF_Open",
|
| 343 |
+
"PFF_High",
|
| 344 |
+
"PFF_Low",
|
| 345 |
+
"PFF_Close",
|
| 346 |
+
"PFF_Volume",
|
| 347 |
+
"QQQ_Open",
|
| 348 |
+
"QQQ_High",
|
| 349 |
+
"QQQ_Low",
|
| 350 |
+
"QQQ_Close",
|
| 351 |
+
"QQQ_Volume",
|
| 352 |
+
"SLV_Open",
|
| 353 |
+
"SLV_High",
|
| 354 |
+
"SLV_Low",
|
| 355 |
+
"SLV_Close",
|
| 356 |
+
"SLV_Volume",
|
| 357 |
+
"SPY_Open",
|
| 358 |
+
"SPY_High",
|
| 359 |
+
"SPY_Low",
|
| 360 |
+
"SPY_Close",
|
| 361 |
+
"SPY_Volume",
|
| 362 |
+
"TLT_Open",
|
| 363 |
+
"TLT_High",
|
| 364 |
+
"TLT_Low",
|
| 365 |
+
"TLT_Close",
|
| 366 |
+
"TLT_Volume",
|
| 367 |
+
"VNQ_Open",
|
| 368 |
+
"VNQ_High",
|
| 369 |
+
"VNQ_Low",
|
| 370 |
+
"VNQ_Close",
|
| 371 |
+
"VNQ_Volume",
|
| 372 |
+
"XLB_Open",
|
| 373 |
+
"XLB_High",
|
| 374 |
+
"XLB_Low",
|
| 375 |
+
"XLB_Close",
|
| 376 |
+
"XLB_Volume",
|
| 377 |
+
"XLE_Open",
|
| 378 |
+
"XLE_High",
|
| 379 |
+
"XLE_Low",
|
| 380 |
+
"XLE_Close",
|
| 381 |
+
"XLE_Volume",
|
| 382 |
+
"XLF_Open",
|
| 383 |
+
"XLF_High",
|
| 384 |
+
"XLF_Low",
|
| 385 |
+
"XLF_Close",
|
| 386 |
+
"XLF_Volume",
|
| 387 |
+
"XLI_Open",
|
| 388 |
+
"XLI_High",
|
| 389 |
+
"XLI_Low",
|
| 390 |
+
"XLI_Close",
|
| 391 |
+
"XLI_Volume",
|
| 392 |
+
"XLK_Open",
|
| 393 |
+
"XLK_High",
|
| 394 |
+
"XLK_Low",
|
| 395 |
+
"XLK_Close",
|
| 396 |
+
"XLK_Volume",
|
| 397 |
+
"XLP_Open",
|
| 398 |
+
"XLP_High",
|
| 399 |
+
"XLP_Low",
|
| 400 |
+
"XLP_Close",
|
| 401 |
+
"XLP_Volume",
|
| 402 |
+
"XLRE_Open",
|
| 403 |
+
"XLRE_High",
|
| 404 |
+
"XLRE_Low",
|
| 405 |
+
"XLRE_Close",
|
| 406 |
+
"XLRE_Volume",
|
| 407 |
+
"XLU_Open",
|
| 408 |
+
"XLU_High",
|
| 409 |
+
"XLU_Low",
|
| 410 |
+
"XLU_Close",
|
| 411 |
+
"XLU_Volume",
|
| 412 |
+
"XLV_Open",
|
| 413 |
+
"XLV_High",
|
| 414 |
+
"XLV_Low",
|
| 415 |
+
"XLV_Close",
|
| 416 |
+
"XLV_Volume",
|
| 417 |
+
"XLY_Open",
|
| 418 |
+
"XLY_High",
|
| 419 |
+
"XLY_Low",
|
| 420 |
+
"XLY_Close",
|
| 421 |
+
"XLY_Volume",
|
| 422 |
+
"XME_Open",
|
| 423 |
+
"XME_High",
|
| 424 |
+
"XME_Low",
|
| 425 |
+
"XME_Close",
|
| 426 |
+
"XME_Volume",
|
| 427 |
+
"AGG_logret",
|
| 428 |
+
"AGG_ret",
|
| 429 |
+
"GDX_logret",
|
| 430 |
+
"GDX_ret",
|
| 431 |
+
"GLD_logret",
|
| 432 |
+
"GLD_ret",
|
| 433 |
+
"HYG_logret",
|
| 434 |
+
"HYG_ret",
|
| 435 |
+
"IWM_logret",
|
| 436 |
+
"IWM_ret",
|
| 437 |
+
"LQD_logret",
|
| 438 |
+
"LQD_ret",
|
| 439 |
+
"MBB_logret",
|
| 440 |
+
"MBB_ret",
|
| 441 |
+
"PFF_logret",
|
| 442 |
+
"PFF_ret",
|
| 443 |
+
"QQQ_logret",
|
| 444 |
+
"QQQ_ret",
|
| 445 |
+
"SLV_logret",
|
| 446 |
+
"SLV_ret",
|
| 447 |
+
"SPY_logret",
|
| 448 |
+
"SPY_ret",
|
| 449 |
+
"TLT_logret",
|
| 450 |
+
"TLT_ret",
|
| 451 |
+
"VNQ_logret",
|
| 452 |
+
"VNQ_ret",
|
| 453 |
+
"XLB_logret",
|
| 454 |
+
"XLB_ret",
|
| 455 |
+
"XLE_logret",
|
| 456 |
+
"XLE_ret",
|
| 457 |
+
"XLF_logret",
|
| 458 |
+
"XLF_ret",
|
| 459 |
+
"XLI_logret",
|
| 460 |
+
"XLI_ret",
|
| 461 |
+
"XLK_logret",
|
| 462 |
+
"XLK_ret",
|
| 463 |
+
"XLP_logret",
|
| 464 |
+
"XLP_ret",
|
| 465 |
+
"XLRE_logret",
|
| 466 |
+
"XLRE_ret",
|
| 467 |
+
"XLU_logret",
|
| 468 |
+
"XLU_ret",
|
| 469 |
+
"XLV_logret",
|
| 470 |
+
"XLV_ret",
|
| 471 |
+
"XLY_logret",
|
| 472 |
+
"XLY_ret",
|
| 473 |
+
"XME_logret",
|
| 474 |
+
"XME_ret",
|
| 475 |
+
"VIX",
|
| 476 |
+
"T10Y2Y",
|
| 477 |
+
"DGS10",
|
| 478 |
+
"DTB3",
|
| 479 |
+
"HY_SPREAD",
|
| 480 |
+
"IG_SPREAD",
|
| 481 |
+
"USD_INDEX",
|
| 482 |
+
"WTI_OIL",
|
| 483 |
+
"VIX_zscore",
|
| 484 |
+
"VIX_log",
|
| 485 |
+
"VIX_chg1d",
|
| 486 |
+
"YC_slope",
|
| 487 |
+
"YC_slope_zscore",
|
| 488 |
+
"YC_slope_chg",
|
| 489 |
+
"DGS10_zscore",
|
| 490 |
+
"DGS10_chg",
|
| 491 |
+
"HY_spread_zscore",
|
| 492 |
+
"HY_spread_chg",
|
| 493 |
+
"IG_spread_zscore",
|
| 494 |
+
"HY_IG_ratio",
|
| 495 |
+
"HY_IG_ratio_zscore",
|
| 496 |
+
"credit_stress",
|
| 497 |
+
"USD_zscore",
|
| 498 |
+
"USD_chg",
|
| 499 |
+
"OIL_zscore",
|
| 500 |
+
"OIL_chg",
|
| 501 |
+
"OIL_log",
|
| 502 |
+
"TBILL_daily",
|
| 503 |
+
"macro_stress_composite"
|
| 504 |
+
]
|
| 505 |
+
}
|
| 506 |
+
}
|
| 507 |
}
|