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QF-Lib (Latest release)

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  • Getting started
  • Tutorials
  • Features
  • API Reference
  • Release Notes
  • License
  • Contact us
  • GitHub
  • Discord

Section Navigation

  • backtesting
    • AlphaModel
    • FuturesModel
    • ContractTickerMapper
    • SimulatedContractTickerMapper
    • IBContractTickerMapper
    • TimeEvent
    • RegularTimeEvent
    • AfterMarketCloseEvent
    • MarketCloseEvent
    • MarketOpenEvent
    • CalculateAndPlaceOrdersRegularEvent
    • CommissionModel
    • FixedCommissionModel
    • BpsTradeValueCommissionModel
    • IBCommissionModel
    • Slippage
    • FixedSlippage
    • PriceBasedSlippage
    • SquareRootMarketImpactSlippage
    • BacktestSummaryElement
    • FastAlphaModelTester
    • InitialRiskStatsFactory
    • ScenariosGenerator
    • AbstractMonitor
    • BacktestMonitor
    • BacktestResult
    • ExecutionStyle
    • MarketOrder
    • MarketOnCloseOrder
    • StopOrder
    • OrderFactory
    • Order
    • TimeInForce
    • OrdersFilter
    • VolumeOrdersFilter
    • Portfolio
    • BacktestPosition
    • BacktestEquityPosition
    • BacktestCryptoPosition
    • BacktestFuturePosition
    • Trade
    • Transaction
    • PositionSizer
    • SimplePositionSizer
    • InitialRiskPositionSizer
    • InitialRiskWithVolumePositionSizer
    • FixedPortfolioPercentagePositionSizer
    • Signal
    • SignalsRegister
    • BacktestSignalsRegister
    • AbstractStrategy
    • AlphaModelStrategy
    • TradingSession
    • BacktestTradingSession
    • BacktestTradingSessionBuilder
  • data_providers
    • DataProvider
    • AbstractPriceDataProvider
    • FuturesDataProvider
    • PresetDataProvider
    • PrefetchingDataProvider
    • BinanceDataProvider
    • BloombergDataProvider
    • BloombergDLDataProvider
    • CSVDataProvider
    • HaverDataProvider
    • PortaraDataProvider
    • QuandlDataProvider
    • YFinanceDataProvider
    • AlpacaDataProvider
  • containers
    • QFSeries
    • PricesSeries
    • ReturnsSeries
    • SimpleReturnsSeries
    • LogReturnsSeries
    • QFDataFrame
    • LogReturnsDataFrame
    • PricesDataFrame
    • SimpleReturnsDataFrame
    • QFDataArray
    • FuturesChain
    • FutureContract
    • FutureTicker
    • BloombergFutureTicker
    • PortaraFutureTicker
    • FuturesAdjustmentMethod
    • FuturesRollingOrdersGenerator
  • common
    • ExpirationDateField
    • Frequency
    • PriceField
    • SecurityType
    • QuandlDBType
    • BrokerException
    • OrderCancellingException
    • NoValidTickerException
    • ChangeDirection
    • RiskParityBoxes
    • RiskParityBoxesFactory
    • Ticker
    • BloombergTicker
    • HaverTicker
    • QuandlTicker
    • PortaraTicker
    • ReturnAttributionAnalysis
    • RiskContributionAnalysis
    • AnalyticalConeBase
    • AnalyticalCone
    • AnalyticalConeOOS
    • DateFormat
    • Timer
    • RealTimer
    • SettableTimer
    • DataModel
    • DataModelInput
    • RollingWindowsEstimator
    • DataPresenter
    • RollingDataPresenter
    • ElasticNetFactorsIdentifier
    • ElasticNetFactorsIdentifierSimplified
    • StepwiseFactorsIdentifier
    • FactorizationManager
    • Method
    • InSampleReturnStats
    • DriftIndependentVolatility
    • VolatilityForecast
    • VolatilityManager
    • DataCleaner
    • close_open_gap
    • get_common_start_and_end
    • date_to_str
    • get_quarter
    • get_values_for_common_dates
    • iso_to_gregorian
    • str_to_date
    • to_days
    • annualise_with_sqrt
    • average_true_range
    • drop_consecutive_duplicates
    • get_function_name
    • kelly
    • kelly_binary
    • periods_list_from_bool_series
    • convert_to_list
    • volume_weighted_average_price
    • is_finite_number
    • calmar_ratio
    • gain_to_pain_ratio
    • information_ratio
    • omega_ratio
    • sharpe_ratio
    • sortino_ratio
    • annualise_total_return
    • avg_drawdown
    • avg_drawdown_duration
    • beta_and_alpha_full_stats
    • cagr
    • convert_dataframe_frequency
    • aggregate_returns
    • cvar
    • drawdown_tms
    • get_aggregate_returns
    • get_grouping_for_frequency
    • list_longest_drawdowns
    • list_of_max_drawdowns
    • log_to_simple_return
    • max_drawdown
    • get_cone_chart
    • generate_random_paths
    • generate_random_log_paths
    • simple_to_log_return
    • sqn
    • sqn_for100trades
    • avg_nr_of_trades_per1y
    • tail_events
    • ta_series
    • get_volatility
    • intraday_volatility
    • rolling_volatility
  • analysis
    • AbstractDocument
    • BacktestOverfittingSheet
    • OverfittingAnalysis
    • TrendStrengthSheet
    • AbstractTearsheet
    • CurrentPositionsSheet
    • PortfolioAnalysisSheet
    • StrategyMonitoringDocument
    • TearsheetWithBenchmark
    • TearsheetWithoutBenchmark
    • TearsheetComparative
    • TimeseriesAnalysis
    • TradesGenerator
    • TradeAnalysisSheet
    • SignalsPlotter
    • ExposureGenerator
    • ExposureSheet
    • ExposureSettings
  • plotting
    • HeatMapChart
    • AnnualReturnsBarChart
    • BarChart
    • BoxplotChart
    • Chart
    • ConeChart
    • ConeChartOOS
    • DistChart
    • HistogramChart
    • KDEChart
    • LineChart
    • RegressionChart
    • ReturnsHeatmapChart
    • SurfaceChart3D
    • PieChart
    • ChartDecorator
    • AxesFormatterDecorator
    • AxesLabelDecorator
    • AxesLocatorDecorator
    • AxesPositionDecorator
    • AxisTickLabelsDecorator
    • BarValuesDecorator
    • ConeDecorator
    • ConeProcessDecorator
    • Coordinate
    • DataCoordinate
    • AxesCoordinate
    • FigureCoordinate
    • DisplayCoordinate
    • DataElementDecorator
    • LegendDecorator
    • HorizontalLineDecorator
    • VerticalLineDecorator
    • DiagonalLineDecorator
    • PointEmphasisDecorator
    • ScatterDecorator
    • SeriesLineDecorator
    • SimpleLegendItem
    • SpanDecorator
    • StemDecorator
    • TextDecorator
    • TitleDecorator
    • TopDrawdownDecorator
    • VerticalSpanDecorator
    • create_bar_chart
    • create_dd_probability_chart
    • create_dd_probability_chart_3d
    • create_dot_plot
    • create_event_comparison_chart
    • create_gross_leverage_chart
    • create_holdings_chart
    • create_line_chart
    • create_qq_chart
    • create_return_quantiles
    • create_returns_bar_chart
    • create_returns_distribution
    • create_returns_similarity
    • create_rolling_chart
    • create_rolling_chart_using_benchmark
    • create_skewness_chart
    • IndexTranslator
  • document_utils
    • DocumentExporter
    • PDFExporter
    • HTMLExporter
    • ExcelImporter
    • ExcelExporter
  • indicators
    • MarketStressIndicator
  • portfolio_construction
    • BlackLitterman
    • RobustCovariance
    • NonlinearFunctionOptimizer
    • QuadraticOptimizer
    • Portfolio
    • EfficientFrontierPortfolio
    • EqualRiskContributionPortfolio
    • KellyPortfolio
    • MaxDiversificationPortfolio
    • MaxExcessReturnPortfolio
    • MaxSharpeRatioPortfolio
    • MinVariancePortfolio
    • MultiFactorPortfolio
    • RiskParityPortfolio
  • API Reference
  • indicators

indicators#

market_stress_indicator_us.MarketStressIndicator

Calculates market stress indicator.

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MarketStressIndicator

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