quantconnect--lean/Tests/TestData/spy_sortino.csv

1	time	open	high	low	close	returns	numerator_rf_0_period_15	numerator_rf_0.01_period_15	downside_returns_0	downside_returns_0.01	squared_downside_return_0	squared_downside_return_0.01	denominator_rf_0_period_15	denominator_rf_0.01_period_15	sortino_rf_0_period_15	sortino_rf_0.01_period_15
2	2020-11-17T14:30:00Z	460.17	462.00	433.01	441.61
3	2020-11-18T14:30:00Z	448.35	496.00	443.50	486.64	0.1019677996			0	0	0	0
4	2020-11-19T14:30:00Z	492.00	508.61	487.57	499.27	0.0259534769			0	0	0	0
5	2020-11-20T14:30:00Z	497.99	502.50	489.06	489.61	-0.01934824844			-0.01934824844	-0.02934824844	0.0003743547178	0.0008613196867
6	2020-11-23T14:30:00Z	503.50	526.00	501.79	521.85	0.06584832826			0	0	0	0
7	2020-11-24T14:30:00Z	540.40	559.99	526.20	555.38	0.06425217975			0	0	0	0
8	2020-11-25T14:30:00Z	550.06	574.00	545.37	574.00	0.0335265944			0	0	0	0
9	2020-11-27T14:30:00Z	581.16	598.78	578.45	585.76	0.02048780488			0	0	0	0
10	2020-11-30T14:30:00Z	602.21	607.80	554.51	567.60	-0.03100245834			-0.03100245834	-0.04100245834	0.0009611524234	0.00168120159
11	2020-12-01T14:30:00Z	597.59	597.85	572.05	584.76	0.03023255814			0	0	0	0
12	2020-12-02T14:30:00Z	556.44	571.54	541.21	568.82	-0.02725904645			-0.02725904645	-0.03725904645	0.0007430556132	0.001388236542
13	2020-12-03T14:30:00Z	590.02	598.97	582.43	593.38	0.04317710348			0	0	0	0
14	2020-12-04T14:30:00Z	591.01	599.04	585.50	599.04	0.009538575618			0	-0.0004614243824	0	0.0000002129124606
15	2020-12-07T14:30:00Z	604.92	648.79	603.05	641.76	0.07131410256			0	0	0	0
16	2020-12-08T14:30:00Z	625.51	651.28	618.50	649.88	0.01265270506			0	0	0	0
17	2020-12-09T14:30:00Z	653.69	654.32	588.00	604.48	-0.0698590509	0.0220988283	0.0120988283	-0.0698590509	-0.0798590509	0.004880286993	0.006377468011	0.02153887918	0.02621505769	1.025997134	0.4615220935
18	2020-12-10T14:30:00Z	574.37	627.75	566.34	627.07	0.03737096347	0.01779237256	0.007792372559	0	0	0	0	0.02153887918	0.02621505769	0.8260584224	0.2972479654
19	2020-12-11T14:30:00Z	615.01	624.00	596.80	609.99	-0.02723778844	0.0142462882	0.004246288203	-0.02723778844	-0.03723778844	0.0007418971194	0.001386652888	0.02265795941	0.02792262121	0.6287542469	0.1520734092
20	2020-12-14T14:30:00Z	619.00	642.75	610.20	639.83	0.04891883473	0.01879742708	0.008797427081	0	0	0	0	0.02210036523	0.02687473652	0.850548255	0.3273493333
21	2020-12-15T14:30:00Z	643.28	646.90	623.80	633.25	-0.01028398168	0.01372193975	0.003721939752	-0.01028398168	-0.02028398168	0.0001057602792	0.0004114399129	0.02225930881	0.02738029931	0.6164584835	0.1359349549
22	2020-12-16T14:30:00Z	628.23	632.50	605.00	622.77	-0.01654954599	0.008335158036	-0.001664841964	-0.01654954599	-0.02654954599	0.0002738874726	0.0007048783924	0.02266574493	0.02822539076	0.3677425145	-0.05898384113
23	2020-12-17T14:30:00Z	628.19	658.82	619.50	655.90	0.05319780979	0.009646572395	-0.0003534276055	0	0	0	0	0.02266574493	0.02822539076	0.4256013832	-0.01252161958
24	2020-12-18T14:30:00Z	668.90	695.00	628.54	695.00	0.05961274585	0.01225490179	0.002254901792	0	0	0	0	0.02266574493	0.02822539076	0.5406794186	0.07988912578
25	2020-12-21T14:30:00Z	666.24	668.50	646.07	649.86	-0.06494964029	0.009991756329	-0.000008243670526	-0.06494964029	-0.07494964029	0.004218455774	0.005617448579	0.02703496902	0.03254364991	0.3695863798	-0.0002533111851
26	2020-12-22T14:30:00Z	648.00	649.88	614.23	640.34	-0.01464930908	0.006999631848	-0.003000368152	-0.01464930908	-0.02464930908	0.0002146022566	0.0006075884382	0.02729828506	0.03316014242	0.2564128784	-0.09048116001
27	2020-12-23T14:30:00Z	632.20	651.50	622.57	645.98	0.008807820845	0.009404089667	-0.0005959103325	0	-0.001192179155	0	0.000001421291137	0.02637535452	0.03173548007	0.3565483701	-0.01877741667
28	2020-12-24T14:30:00Z	642.99	666.09	641.00	661.77	0.02444348122	0.008155181517	-0.001844818483	0	0	0	0	0.02637535452	0.03173548007	0.3091970388	-0.0581311037
29	2020-12-28T14:30:00Z	674.51	681.40	660.80	663.69	0.002901310123	0.007712697151	-0.002287302849	0	-0.007098689877	0	0.00005039139797	0.02637535452	0.0317881413	0.2924206059	-0.0719545955
30	2020-12-29T14:30:00Z	661.00	669.90	655.00	665.99	0.003465473338	0.003189455202	-0.006810544798	0	-0.006534526662	0	0.00004270003869	0.02637535452	0.03183288546	0.120925586	-0.2139468257
31	2020-12-30T14:30:00Z	672.00	696.60	668.36	694.78	0.04322887731	0.005227866686	-0.004772133314	0	0	0	0	0.02637535452	0.03183288546	0.1982102906	-0.1499120562
32	2020-12-31T14:30:00Z	699.99	718.72	691.12	705.67	0.01567402631	0.01093007183	0.0009300718332	0	0	0	0	0.01924335886	0.02425217645	0.5679918934	0.03835003572
33	2021-01-04T14:30:00Z	719.46	744.49	717.19	729.77	0.03415194071	0.01071547032	0.0007154703156	0	0	0	0	0.01924335886	0.02425217645	0.5568399153	0.02950128279
34	2021-01-05T14:30:00Z	723.66	740.84	719.20	735.11	0.007317373967	0.01301914781	0.00301914781	0	-0.002682626033	0	0.000007196482432	0.017912204	0.0222756437	0.7268311487	0.1355358279
35	2021-01-06T14:30:00Z	758.49	774.00	749.10	755.98	0.02839030893	0.01165057942	0.001650579423	0	0	0	0	0.017912204	0.0222756437	0.6504269058	0.07409794506
36	2021-01-07T14:30:00Z	777.63	816.99	775.20	816.04	0.0794465462	0.01763261462	0.007632614615	0	0	0	0	0.01771429837	0.02165121185	0.9953888234	0.3525259772
37	2021-01-08T14:30:00Z	856.00	884.49	838.39	880.02	0.07840301946	0.02396278565	0.01396278565	0	0	0	0	0.01719119548	0.0205373582	1.393898736	0.6798725284
38	2021-01-11T14:30:00Z	849.40	854.43	803.62	811.19	-0.0782141315	0.01520198956	0.00520198956	-0.0782141315	-0.0882141315	0.006117450366	0.007781732996	0.02652107137	0.03066863677	0.5732042024	0.1696191976
39	2021-01-12T14:30:00Z	831.00	868.00	827.34	849.44	0.04715294814	0.01437133638	0.00437133638	0	0	0	0	0.02652107137	0.03066863677	0.5418837038	0.1425344208
40	2021-01-13T14:30:00Z	852.76	860.47	832.00	854.41	0.005850913543	0.0190913733	0.009091373302	0	-0.004149086457	0	0.00001721491843	0.02054596898	0.02381630473	0.9292028678	0.3817289628
41	2021-01-14T14:30:00Z	843.39	863.00	838.75	845.00	-0.01101344788	0.01933376405	0.009333764049	-0.01101344788	-0.02101344788	0.0001212960341	0.0004415649917	0.02039402919	0.02358279333	0.948011002	0.3957870435
42	2021-01-15T14:30:00Z	852.00	859.90	819.10	826.16	-0.02229585799	0.01726018546	0.00726018546	-0.02229585799	-0.03229585799	0.0004971052834	0.001043022443	0.02119095984	0.02501176159	0.8145070158	0.2902708565
43	2021-01-19T14:30:00Z	837.80	850.00	833.00	844.55	0.02225961073	0.01711459409	0.007114594094	0	0	0	0	0.02119095984	0.02501176159	0.8076365688	0.2844499404
44	2021-01-20T14:30:00Z	858.74	859.50	837.28	850.45	0.006985968859	0.01738690468	0.007386904676	0	-0.003014031141	0	0.000009084383718	0.02119095984	0.02495665076	0.8204868873	0.2959894238
45	2021-01-21T14:30:00Z	855.00	855.72	841.42	844.99	-0.006420130519	0.01672786442	0.006727864419	-0.006420130519	-0.01642013052	0.00004121807588	0.0002696206863	0.0212556969	0.02525791876	0.7869826381	0.2663665396
46	2021-01-22T14:30:00Z	834.31	848.00	828.62	846.64	0.001952685831	0.01397611832	0.00397611832	0	-0.008047314169	0	0.00006475926534	0.0212556969	0.02534323863	0.6575234107	0.1568906949
47	2021-01-25T14:30:00Z	855.00	900.40	838.82	880.80	0.04034772749	0.01562103173	0.005621031732	0	0	0	0	0.0212556969	0.02534323863	0.734910354	0.2217961095
48	2021-01-26T14:30:00Z	891.38	895.90	871.60	883.09	0.002599909173	0.01351756296	0.003517562963	0	-0.007400090827	0	0.00005476134424	0.0212556969	0.02541516281	0.6359501186	0.138404109
49	2021-01-27T14:30:00Z	870.35	891.50	858.66	864.16	-0.02143609372	0.01160066512	0.001600665117	-0.02143609372	-0.03143609372	0.0004595061138	0.0009882279881	0.02196448022	0.02667081928	0.5281556859	0.06001559609
50	2021-01-28T14:30:00Z	820.00	848.00	801.00	835.43	-0.03324615812	0.007491567314	-0.002508432686	-0.03324615812	-0.04324615812	0.00110530703	0.001870230192	0.02358231386	0.0289139173	0.3176773645	-0.08675520026
51	2021-01-29T14:30:00Z	830.00	842.41	780.10	793.53	-0.05015381301	-0.001148456633	-0.01114845663	-0.05015381301	-0.06015381301	0.002515404959	0.003618481219	0.02690388802	0.03282143652	-0.04268738527	-0.3396699784
52	2021-02-01T14:30:00Z	814.29	842.00	795.56	839.81	0.05832167656	-0.002487212827	-0.01248721283	0	0	0	0	0.02690388802	0.03282143652	-0.09244808128	-0.3804590582
53	2021-02-02T14:30:00Z	844.68	880.50	842.20	872.79	0.03927078744	0.005345115102	-0.004654884898	0	0	0	0	0.01777608411	0.02363185341	0.300691371	-0.1969750242
54	2021-02-03T14:30:00Z	877.02	878.08	853.06	854.69	-0.02073809278	0.0008190457076	-0.009180954292	-0.02073809278	-0.03073809278	0.0004300684923	0.0009448303479	0.01856503162	0.02492896278	0.04411765755	-0.3682846484
55	2021-02-04T14:30:00Z	855.00	856.50	833.42	849.99	-0.005499069838	0.00006238014884	-0.009937619851	-0.005499069838	-0.01549906984	0.00003023976909	0.0002402211658	0.01861924767	0.02522538936	0.003350304478	-0.3939530807
56	2021-02-05T14:30:00Z	845.00	864.77	838.97	852.23	0.002635325121	0.0009722983487	-0.009027701651	0	-0.007364674879	0	0.00005423843607	0.0184008147	0.02470826781	0.05283996196	-0.3653716934
57	2021-02-08T14:30:00Z	869.67	877.77	854.75	863.42	0.01313025826	0.003334039432	-0.006665960568	0	0	0	0	0.01747711731	0.02325862568	0.1907659812	-0.286601653
58	2021-02-09T14:30:00Z	855.12	859.80	841.75	849.46	-0.0161682611	0.0007721813101	-0.00922781869	-0.0161682611	-0.0261682611	0.000261412667	0.0006847778891	0.01796878239	0.02422014715	0.04297349111	-0.3809976312
59	2021-02-10T14:30:00Z	843.64	844.82	800.02	804.82	-0.05255103242	-0.003196952109	-0.01319695211	-0.05255103242	-0.06255103242	0.002761611008	0.003912631657	0.02251631722	0.02910072186	-0.1419837924	-0.4534922595
60	2021-02-11T14:30:00Z	812.44	829.88	801.73	811.66	0.008498794762	-0.00220235709	-0.01220235709	0	-0.001501205238	0	0.000002253617168	0.02245521475	0.02879283837	-0.09807775676	-0.4237983395
61	2021-02-12T14:30:00Z	801.26	817.33	785.33	816.12	0.005494911663	-0.001966208701	-0.0119662087	0	-0.004505088337	0	0.00002029582093	0.02245521475	0.02874131716	-0.08756134035	-0.416341695
62	2021-02-16T14:30:00Z	818.00	821.00	792.44	796.22	-0.02438366907	-0.006281635138	-0.01628163514	-0.02438366907	-0.03438366907	0.0005945633172	0.001182236699	0.02332111112	0.03008120828	-0.2693540246	-0.5412560222
63	2021-02-17T14:30:00Z	779.09	799.84	762.01	798.15	0.002423953179	-0.006293365538	-0.01629336554	0	-0.007576046821	0	0.00005739648544	0.02332111112	0.03008412817	-0.2698570195	-0.5415934092
64	2021-02-18T14:30:00Z	780.90	794.69	776.27	787.38	-0.01349370419	-0.005763872903	-0.0157638729	-0.01349370419	-0.02349370419	0.0001820800528	0.0005519541366	0.02292115078	0.02959678774	-0.2514652496	-0.532621075
65	2021-02-19T14:30:00Z	795.00	796.79	777.37	781.30	-0.007721811578	-0.0040622498	-0.0140622498	-0.007721811578	-0.01772181158	0.00005962637404	0.0003140626056	0.02134636056	0.02778894274	-0.1903017513	-0.5060375967
66	2021-02-22T14:30:00Z	762.64	768.50	710.20	714.50	-0.08549852809	-0.006418564139	-0.01641856414	-0.08549852809	-0.09549852809	0.007309998306	0.009119968868	0.02784432915	0.03374894342	-0.2305160273	-0.4864912046
67	2021-02-23T14:30:00Z	662.13	713.61	619.00	698.84	-0.02191742477	-0.01176783756	-0.02176783756	-0.02191742477	-0.03191742477	0.0004803735087	0.001018722004	0.02841358067	0.03474055242	-0.4141624281	-0.6265829426
68	2021-02-24T14:30:00Z	711.85	745.00	694.17	742.02	0.061788106	-0.01026668299	-0.02026668299	0	0	0	0	0.02841358067	0.03474055242	-0.3613301368	-0.5833725022
69	2021-02-25T14:30:00Z	726.15	737.21	670.58	682.22	-0.08059081965	-0.01425686478	-0.02425686478	-0.08059081965	-0.09059081965	0.006494880213	0.008206696606	0.03480879699	0.04112214001	-0.4095764868	-0.5898736003
70	2021-02-26T14:30:00Z	700.00	706.70	659.51	675.50	-0.009850194952	-0.01454693979	-0.02454693979	-0.009850194952	-0.01985019495	0.00009702634059	0.0003940302396	0.03487269399	0.0412466282	-0.4171441356	-0.5951259742
71	2021-03-01T14:30:00Z	690.11	719.00	685.05	718.43	0.06355292376	-0.01048576655	-0.02048576655	0	0	0	0	0.03487269399	0.04120277226	-0.3006870232	-0.4971938883
72	2021-03-02T14:30:00Z	718.28	721.11	685.00	686.44	-0.04452765057	-0.01432962714	-0.02432962714	-0.04452765057	-0.05452765057	0.001982711665	0.002973264677	0.0367190082	0.04354177404	-0.390250931	-0.5587651783
73	2021-03-03T14:30:00Z	687.99	700.70	651.71	653.20	-0.04842375153	-0.01647999316	-0.02647999316	-0.04842375153	-0.05842375153	0.002344859712	0.003413334743	0.03856399919	0.04558278049	-0.4273413938	-0.5809209723
74	2021-03-04T14:30:00Z	655.80	668.50	600.00	621.44	-0.04862216779	-0.01621806886	-0.02621806886	-0.04862216779	-0.05862216779	0.002364115201	0.003436558556	0.03821887378	0.04523330267	-0.4243471158	-0.5796187169
75	2021-03-05T14:30:00Z	626.06	627.84	539.49	597.95	-0.03779930484	-0.01930460883	-0.02930460883	-0.03779930484	-0.04779930484	0.001428787446	0.002284773543	0.03944533951	0.04688517533	-0.4894015128	-0.6250293109
76	2021-03-08T14:30:00Z	600.55	620.13	558.79	563.00	-0.05844970315	-0.02356758315	-0.03356758315	-0.05844970315	-0.06844970315	0.003416367799	0.004685361862	0.04223378579	0.05009215576	-0.5580267719	-0.670116561
77	2021-03-09T14:30:00Z	608.18	678.09	595.21	673.58	0.1964120782	-0.008847866669	-0.01884786667	0	0	0	0	0.04176188583	0.04929917128	-0.2118646343	-0.3823160954
78	2021-03-10T14:30:00Z	700.30	717.85	655.06	669.59	-0.005923572553	-0.009404368384	-0.01940436838	-0.005923572553	-0.01592357255	0.00003508871179	0.0002535601628	0.04178988341	0.0494316282	-0.2250393544	-0.3925496507