Dataframe: SLTH:portfolio_returns -

Contents

Dataframe: `SLTH:portfolio_returns` -#

Daily returns of headline-based trading portfolios constructed from RavenPack sentiment signals.

DataFrame Glimpse#

Rows: 1087
Columns: 20
$ date              <date> 2026-01-30
$ n_neg              <i64> 10
$ n_neu              <i64> 119
$ n_pos              <i64> 57
$ n_total            <i64> 186
$ ret_long           <f64> -0.010953181157434494
$ n_long             <i64> 56
$ n_short            <i64> 8
$ ret_short          <f64> 0.007552368516700658
$ ret_ir_long        <f64> -0.005508344181657134
$ ret_ir_short       <f64> 0.02189939219278135
$ ret_ls_restricted  <f64> -0.004339941519376619
$ ret_ls_not_small   <f64> -0.006024064773692914
$ ret_ls_price_gt_5  <f64> -0.0005269772387315533
$ ret_mkt_vw         <f64> -0.0030984310276356876
$ trade_long        <bool> True
$ trade_short       <bool> True
$ trade_ls          <bool> True
$ ret_ls             <f64> -0.0034008126407338354
$ ret_ir_ls          <f64> 0.016391048011124218

Dataframe Manifest#

Dataframe Name
Dataframe ID	portfolio_returns
Data Sources	CRSP, RavenPack, OpenAI
Data Providers	WRDS, OpenAI
Links to Providers	https://wrds-www.wharton.upenn.edu/
Topic Tags
Type of Data Access
How is data pulled?	src/create_portfolios.py
Data available up to (min)	2026-01-30 00:00:00
Data available up to (max)	2026-01-30 00:00:00
Dataframe Path	/home/tomhi/finmath/finm-32900/p05_lopez-lira_tang_2023/_data/portfolio_daily_returns.parquet

Linked Charts:

Pipeline Manifest#

Pipeline Name	ChatGPT Price Forecasting
Pipeline ID	SLTH
Lead Pipeline Developer	Tom and Sophie
Contributors	Sophie Lara and Tom Hillenbrand
Git Repo URL	github.com/thomashillenbrand/p05_lopez-lira_tang_2023
Pipeline Web Page	Pipeline Web Page
Date of Last Code Update	2026-03-15 21:42:08
OS Compatibility
Linked Dataframes	SLTH:ravenpack SLTH:crsp_daily_stock SLTH:daily_headline_polarity SLTH:portfolio_returns SLTH:table1_paper_sample SLTH:table1_full_sample SLTH:openai_label_proportions