QF Lib
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Getting started
Installation
Configuration
How to backtest your strategy
Create an Alpha Model based strategy
Customize your backtest
Reference
Backtest flow
Modules structure
API Reference
backtesting
data_providers
containers
common
analysis
plotting
document_utils
indicators
portfolio_construction
QF Lib
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Index
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A
AbstractDocument (class in qf_lib.analysis.common.abstract_document)
AbstractMonitor (class in qf_lib.backtesting.monitoring.abstract_monitor)
AbstractPriceDataProvider (class in qf_lib.data_providers.abstract_price_data_provider)
AbstractStrategy (class in qf_lib.backtesting.strategies.abstract_strategy)
AbstractTearsheet (class in qf_lib.analysis.tearsheets.abstract_tearsheet)
add_absolute_view() (qf_lib.portfolio_construction.black_litterman.black_litterman.BlackLitterman method)
add_decorator() (qf_lib.plotting.charts.chart.Chart method)
add_entry() (qf_lib.plotting.decorators.legend_decorator.LegendDecorator method)
add_relative_view() (qf_lib.portfolio_construction.black_litterman.black_litterman.BlackLitterman method)
adjust_orders() (qf_lib.backtesting.orders_filter.orders_filter.OrdersFilter method)
(qf_lib.backtesting.orders_filter.volume_orders_filter.VolumeOrdersFilter method)
AfterMarketCloseEvent (class in qf_lib.backtesting.events.time_event.regular_time_event.after_market_close_event)
aggregate_returns() (in module qf_lib.common.utils.returns.custom_returns_aggregating)
all() (qf_lib.containers.qf_data_array.QFDataArray method)
all_dates() (qf_lib.common.enums.expiration_date_field.ExpirationDateField static method)
AlphaModel (class in qf_lib.backtesting.alpha_model.alpha_model)
AlphaModelStrategy (class in qf_lib.backtesting.strategies.alpha_model_strategy)
AnalyticalCone (class in qf_lib.common.utils.confidence_interval.analytical_cone)
AnalyticalConeBase (class in qf_lib.common.utils.confidence_interval.analytical_cone_base)
AnalyticalConeOOS (class in qf_lib.common.utils.confidence_interval.analytical_cone_oos)
annualise_total_return() (in module qf_lib.common.utils.returns.annualise_total_return)
annualise_with_sqrt() (in module qf_lib.common.utils.miscellaneous.annualise_with_sqrt)
AnnualReturnsBarChart (class in qf_lib.plotting.charts.annual_returns_bar_chart)
any() (qf_lib.containers.qf_data_array.QFDataArray method)
apply_data_element_decorators() (qf_lib.plotting.charts.bar_chart.BarChart method)
(qf_lib.plotting.charts.chart.Chart method)
(qf_lib.plotting.charts.cone_chart.ConeChart method)
(qf_lib.plotting.charts.cone_chart_oos.ConeChartOOS method)
(qf_lib.plotting.charts.dist_chart.DistChart method)
(qf_lib.plotting.charts.kde_chart.KDEChart method)
(qf_lib.plotting.charts.line_chart.LineChart method)
apply_font_style_to_area() (qf_lib.documents_utils.excel.excel_exporter.ExcelExporter method)
as_list() (qf_lib.common.risk_parity_boxes.risk_parity_boxes.RiskParityBoxes method)
as_string() (qf_lib.common.tickers.tickers.HaverTicker method)
(qf_lib.common.tickers.tickers.QuandlTicker method)
(qf_lib.common.tickers.tickers.Ticker method)
AUTOCORR_MAX_LAG (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
AUTOCORR_SIGNIFICANCE_LEVEL (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
autocorrelation (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
average_true_range() (in module qf_lib.common.utils.miscellaneous.average_true_range)
avg_drawdown() (in module qf_lib.common.utils.returns.avg_drawdown)
avg_drawdown_duration() (in module qf_lib.common.utils.returns.avg_drawdown_duration)
avg_nr_of_trades_per1y() (in module qf_lib.common.utils.returns.sqn)
axes() (qf_lib.plotting.charts.chart.Chart property)
AxesCoordinate (class in qf_lib.plotting.decorators.coordinate)
AxesFormatterDecorator (class in qf_lib.plotting.decorators.axes_formatter_decorator)
AxesLabelDecorator (class in qf_lib.plotting.decorators.axes_label_decorator)
AxesLocatorDecorator (class in qf_lib.plotting.decorators.axes_locator_decorator)
AxesPositionDecorator (class in qf_lib.plotting.decorators.axes_position_decorator)
AxisTickLabelsDecorator (class in qf_lib.plotting.decorators.axis_tick_labels_decorator)
B
BACK_ADJUSTED (qf_lib.containers.futures.futures_adjustment_method.FuturesAdjustmentMethod attribute)
BacktestCryptoPosition (class in qf_lib.backtesting.portfolio.backtest_crypto_position)
BacktestEquityPosition (class in qf_lib.backtesting.portfolio.backtest_equity_position)
BacktestFuturePosition (class in qf_lib.backtesting.portfolio.backtest_future_position)
BacktestMonitor (class in qf_lib.backtesting.monitoring.backtest_monitor)
BacktestOverfittingSheet (class in qf_lib.analysis.backtests_overfitting.backtest_overfitting_sheet)
BacktestPosition (class in qf_lib.backtesting.portfolio.backtest_position)
BacktestResult (class in qf_lib.backtesting.monitoring.backtest_result)
BacktestSignalsRegister (class in qf_lib.backtesting.signals.backtest_signals_register)
BacktestSummaryElement (class in qf_lib.backtesting.fast_alpha_model_tester.backtest_summary)
BacktestTradingSession (class in qf_lib.backtesting.trading_session.backtest_trading_session)
BacktestTradingSessionBuilder (class in qf_lib.backtesting.trading_session.backtest_trading_session_builder)
BarChart (class in qf_lib.plotting.charts.bar_chart)
BarValuesDecorator (class in qf_lib.plotting.decorators.bar_values_decorator)
belongs_to_family() (qf_lib.containers.futures.future_tickers.bloomberg_future_ticker.BloombergFutureTicker method)
(qf_lib.containers.futures.future_tickers.future_ticker.FutureTicker method)
(qf_lib.containers.futures.future_tickers.portara_future_ticker.PortaraFutureTicker method)
best_is_strategies_names (qf_lib.analysis.backtests_overfitting.overfitting_analysis.OverfittingAnalysis attribute)
beta_and_alpha_full_stats() (in module qf_lib.common.utils.returns.beta_and_alpha)
BlackLitterman (class in qf_lib.portfolio_construction.black_litterman.black_litterman)
BloombergBeapHapiDataProvider (class in qf_lib.data_providers.bloomberg_beap_hapi.bloomberg_beap_hapi_data_provider)
BloombergDataProvider (class in qf_lib.data_providers.bloomberg.bloomberg_data_provider)
BloombergFutureTicker (class in qf_lib.containers.futures.future_tickers.bloomberg_future_ticker)
BloombergTicker (class in qf_lib.common.tickers.tickers)
BoxplotChart (class in qf_lib.plotting.charts.boxplot_chart)
BpsTradeValueCommissionModel (class in qf_lib.backtesting.execution_handler.commission_models.bps_trade_value_commission_model)
BrokerException (class in qf_lib.common.exceptions.broker_exceptions)
build() (qf_lib.backtesting.trading_session.backtest_trading_session_builder.BacktestTradingSessionBuilder method)
build_document() (qf_lib.analysis.breakout_strength.trend_strength_sheet.TrendStrengthSheet method)
C
cagr() (in module qf_lib.common.utils.returns.cagr)
calculate_aggregated_cone() (qf_lib.common.utils.confidence_interval.analytical_cone.AnalyticalCone method)
calculate_aggregated_cone_oos_only() (qf_lib.common.utils.confidence_interval.analytical_cone_oos.AnalyticalConeOOS method)
calculate_and_place_orders() (qf_lib.backtesting.strategies.abstract_strategy.AbstractStrategy method)
(qf_lib.backtesting.strategies.alpha_model_strategy.AlphaModelStrategy method)
calculate_covariance() (qf_lib.portfolio_construction.covariance_estimation.robust_covariance.RobustCovariance method)
calculate_diversification_ratio() (qf_lib.portfolio_construction.portfolio_models.max_diversification_portfolio.MaxDiversificationPortfolio method)
calculate_expected_return() (qf_lib.analysis.backtests_overfitting.overfitting_analysis.OverfittingAnalysis method)
calculate_exposure() (qf_lib.backtesting.alpha_model.alpha_model.AlphaModel method)
calculate_fraction_at_risk() (qf_lib.backtesting.alpha_model.alpha_model.AlphaModel method)
calculate_lambda() (qf_lib.portfolio_construction.black_litterman.black_litterman.BlackLitterman method)
calculate_overfitting_probability() (qf_lib.analysis.backtests_overfitting.overfitting_analysis.OverfittingAnalysis method)
calculate_posterior() (qf_lib.portfolio_construction.black_litterman.black_litterman.BlackLitterman method)
calculate_prior() (qf_lib.portfolio_construction.black_litterman.black_litterman.BlackLitterman method)
calculate_probability_of_loss() (qf_lib.analysis.backtests_overfitting.overfitting_analysis.OverfittingAnalysis method)
calculate_relative_rank_logits() (qf_lib.analysis.backtests_overfitting.overfitting_analysis.OverfittingAnalysis method)
calculate_simple_cone() (qf_lib.common.utils.confidence_interval.analytical_cone.AnalyticalCone method)
calculate_simple_cone_for_process() (qf_lib.common.utils.confidence_interval.analytical_cone_base.AnalyticalConeBase method)
calculate_single_forecast() (qf_lib.common.utils.volatility.volatility_forecast.VolatilityForecast method)
calculate_timeseries() (qf_lib.common.utils.volatility.volatility_forecast.VolatilityForecast method)
CalculateAndPlaceOrdersRegularEvent (class in qf_lib.backtesting.events.time_event.regular_time_event.calculate_and_place_orders_event)
calmar_ratio() (in module qf_lib.common.utils.ratios.calmar_ratio)
CcyTicker (class in qf_lib.common.tickers.tickers)
chain_tickers_within_range() (in module qf_lib.data_providers.helpers)
ChangeDirection (class in qf_lib.common.risk_parity_boxes.risk_parity_boxes)
Chart (class in qf_lib.plotting.charts.chart)
ChartDecorator (class in qf_lib.plotting.decorators.chart_decorator)
Close (qf_lib.common.enums.price_field.PriceField attribute)
close() (qf_lib.plotting.charts.chart.Chart method)
(qf_lib.plotting.charts.surface_chart_3d.SurfaceChart3D method)
close_open_gap() (in module qf_lib.common.utils.close_open_gap.close_open_gap)
coefficients (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
color_mesh_ (qf_lib.plotting.charts.heatmap.heatmap_chart.HeatMapChart attribute)
CommissionModel (class in qf_lib.backtesting.execution_handler.commission_models.commission_model)
concat() (qf_lib.containers.qf_data_array.QFDataArray class method)
condition_number (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
ConeChart (class in qf_lib.plotting.charts.cone_chart)
ConeChartOOS (class in qf_lib.plotting.charts.cone_chart_oos)
ConeDecorator (class in qf_lib.plotting.decorators.cone_decorator)
ConeProcessDecorator (class in qf_lib.plotting.decorators.cone_process_decorator)
connect() (qf_lib.data_providers.bloomberg.bloomberg_data_provider.BloombergDataProvider method)
constant_weights() (qf_lib.portfolio_construction.portfolio_models.portfolio.Portfolio class method)
CONTFUT (qf_lib.common.enums.security_type.SecurityType attribute)
contract_to_ticker() (qf_lib.backtesting.contract.contract_to_ticker_conversion.base.ContractTickerMapper method)
(qf_lib.backtesting.contract.contract_to_ticker_conversion.ib_contract_ticker_mapper.IBContractTickerMapper method)
(qf_lib.backtesting.contract.contract_to_ticker_conversion.simulated_contract_ticker_mapper.SimulatedContractTickerMapper method)
ContractTickerMapper (class in qf_lib.backtesting.contract.contract_to_ticker_conversion.base)
convert_dataframe_frequency() (in module qf_lib.common.utils.returns.convert_dataframe_frequency)
convert_to_list() (in module qf_lib.common.utils.miscellaneous.to_list_conversion)
cooks_distance_tms (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
Coordinate (class in qf_lib.plotting.decorators.coordinate)
count() (qf_lib.containers.qf_data_array.QFDataArray method)
create() (qf_lib.containers.qf_data_array.QFDataArray class method)
create_bar_chart() (in module qf_lib.plotting.helpers.create_bar_chart)
create_dd_probability_chart() (in module qf_lib.plotting.helpers.create_dd_probability_chart)
create_dd_probability_chart_3d() (in module qf_lib.plotting.helpers.create_dd_probability_chart_3d)
create_dot_plot() (in module qf_lib.plotting.helpers.create_dot_plot)
create_event_comparison_chart() (in module qf_lib.plotting.helpers.create_event_comparison_chart)
create_gross_leverage_chart() (in module qf_lib.plotting.helpers.create_gross_leverage_chart)
create_holdings_chart() (in module qf_lib.plotting.helpers.create_holdings_chart)
create_line_chart() (in module qf_lib.plotting.helpers.create_line_chart)
create_qq_chart() (in module qf_lib.plotting.helpers.create_qq_chart)
create_return_quantiles() (in module qf_lib.plotting.helpers.create_return_quantiles)
create_returns_bar_chart() (in module qf_lib.plotting.helpers.create_returns_bar_chart)
create_returns_distribution() (in module qf_lib.plotting.helpers.create_returns_distribution)
create_returns_similarity() (in module qf_lib.plotting.helpers.create_returns_similarity)
create_rolling_chart() (in module qf_lib.plotting.helpers.create_rolling_chart)
create_rolling_chart_using_benchmark() (in module qf_lib.plotting.helpers.create_rolling_chart_using_benchmark)
create_skewness_chart() (in module qf_lib.plotting.helpers.create_skewness_chart)
create_trades_from_backtest_positions() (qf_lib.analysis.trade_analysis.trades_generator.TradesGenerator method)
create_trades_from_transactions() (qf_lib.analysis.trade_analysis.trades_generator.TradesGenerator method)
CRYPTO (qf_lib.common.enums.security_type.SecurityType attribute)
CSVDataProvider (class in qf_lib.data_providers.csv.csv_data_provider)
cumprod() (qf_lib.containers.qf_data_array.QFDataArray method)
cumsum() (qf_lib.containers.qf_data_array.QFDataArray method)
CurrentPositionsSheet (class in qf_lib.analysis.tearsheets.current_positions_sheet)
cvar() (in module qf_lib.common.utils.returns.cvar)
D
DAILY (qf_lib.common.enums.frequency.Frequency attribute)
DailyDataHandler (class in qf_lib.backtesting.data_handler.daily_data_handler)
DataCleaner (class in qf_lib.common.utils.data_cleaner)
DataCoordinate (class in qf_lib.plotting.decorators.coordinate)
DataElementDecorator (class in qf_lib.plotting.decorators.data_element_decorator)
DataHandler (class in qf_lib.backtesting.data_handler.data_handler)
DataModel (class in qf_lib.common.utils.factorization.data_models.data_model)
DataModelInput (class in qf_lib.common.utils.factorization.data_models.data_model_input)
DataPresenter (class in qf_lib.common.utils.factorization.data_presenters.data_presenter)
DataProvider (class in qf_lib.data_providers.data_provider)
date_to_str() (in module qf_lib.common.utils.dateutils.date_to_string)
DateFormat (class in qf_lib.common.utils.dateutils.date_format)
DAY (qf_lib.backtesting.order.time_in_force.TimeInForce attribute)
decorate() (qf_lib.plotting.charts.heatmap.heatmap_chart_decorator.HeatMapChartDecorator method)
(qf_lib.plotting.charts.heatmap.values_annotations.ValuesAnnotations method)
(qf_lib.plotting.decorators.axes_formatter_decorator.AxesFormatterDecorator method)
(qf_lib.plotting.decorators.axes_label_decorator.AxesLabelDecorator method)
(qf_lib.plotting.decorators.axes_locator_decorator.AxesLocatorDecorator method)
(qf_lib.plotting.decorators.axes_position_decorator.AxesPositionDecorator method)
(qf_lib.plotting.decorators.axis_tick_labels_decorator.AxisTickLabelsDecorator method)
(qf_lib.plotting.decorators.bar_values_decorator.BarValuesDecorator method)
(qf_lib.plotting.decorators.chart_decorator.ChartDecorator method)
(qf_lib.plotting.decorators.cone_decorator.ConeDecorator method)
(qf_lib.plotting.decorators.cone_process_decorator.ConeProcessDecorator method)
(qf_lib.plotting.decorators.data_element_decorator.DataElementDecorator method)
(qf_lib.plotting.decorators.legend_decorator.LegendDecorator method)
(qf_lib.plotting.decorators.line_decorators.DiagonalLineDecorator method)
(qf_lib.plotting.decorators.line_decorators.HorizontalLineDecorator method)
(qf_lib.plotting.decorators.line_decorators.VerticalLineDecorator method)
(qf_lib.plotting.decorators.point_emphasis_decorator.PointEmphasisDecorator method)
(qf_lib.plotting.decorators.scatter_decorator.ScatterDecorator method)
(qf_lib.plotting.decorators.series_line_decorator.SeriesLineDecorator method)
(qf_lib.plotting.decorators.span_decorator.SpanDecorator method)
(qf_lib.plotting.decorators.stem_decorator.StemDecorator method)
(qf_lib.plotting.decorators.text_decorator.TextDecorator method)
(qf_lib.plotting.decorators.title_decorator.TitleDecorator method)
(qf_lib.plotting.decorators.top_drawdown_decorator.TopDrawdownDecorator method)
(qf_lib.plotting.decorators.vertical_span_decorator.VerticalSpanDecorator method)
decorate_html() (qf_lib.plotting.decorators.chart_decorator.ChartDecorator method)
(qf_lib.plotting.decorators.legend_decorator.LegendDecorator method)
(qf_lib.plotting.decorators.line_decorators.HorizontalLineDecorator method)
(qf_lib.plotting.decorators.line_decorators.VerticalLineDecorator method)
determine_end_x() (qf_lib.plotting.charts.chart.Chart class method)
DiagonalLineDecorator (class in qf_lib.plotting.decorators.line_decorators)
different_allocations_tms() (qf_lib.portfolio_construction.portfolio_models.portfolio.Portfolio class method)
DisplayCoordinate (class in qf_lib.plotting.decorators.coordinate)
DistChart (class in qf_lib.plotting.charts.dist_chart)
DocumentExporter (class in qf_lib.documents_utils.document_exporting.document_exporter)
drawdown_tms() (in module qf_lib.common.utils.returns.drawdown_tms)
DriftIndependentVolatility (class in qf_lib.common.utils.volatility.drift_independent_volatility)
drifting_weights() (qf_lib.portfolio_construction.portfolio_models.portfolio.Portfolio class method)
drop_consecutive_duplicates() (in module qf_lib.common.utils.miscellaneous.consecutive_duplicates)
durbin_watson_test (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
E
EfficientFrontierPortfolio (class in qf_lib.portfolio_construction.portfolio_models.efficient_frontier_portfolio)
ElasticNetFactorsIdentifier (class in qf_lib.common.utils.factorization.factors_identification.elastic_net_factors_identifier)
ElasticNetFactorsIdentifierSimplified (class in qf_lib.common.utils.factorization.factors_identification.elastic_net_factors_identifier_simplified)
EmailPublisher (class in qf_lib.documents_utils.email_publishing.email_publisher)
end_of_day_update() (qf_lib.backtesting.monitoring.abstract_monitor.AbstractMonitor method)
(qf_lib.backtesting.monitoring.backtest_monitor.BacktestMonitor method)
end_of_trading_update() (qf_lib.backtesting.monitoring.abstract_monitor.AbstractMonitor method)
(qf_lib.backtesting.monitoring.backtest_monitor.BacktestMonitor method)
end_time (qf_lib.backtesting.portfolio.backtest_position.BacktestPosition attribute)
EqualRiskContributionPortfolio (class in qf_lib.portfolio_construction.portfolio_models.equal_risk_contribution_portfolio)
estimate_rolling_window_size() (qf_lib.common.utils.factorization.data_models.rolling_window_estimation.RollingWindowsEstimator class method)
estimate_rolling_window_step() (qf_lib.common.utils.factorization.data_models.rolling_window_estimation.RollingWindowsEstimator class method)
ExcelExporter (class in qf_lib.documents_utils.excel.excel_exporter)
ExcelImporter (class in qf_lib.documents_utils.excel.excel_importer)
ExecutionStyle (class in qf_lib.backtesting.order.execution_style)
expiration_date_field_str_map() (qf_lib.data_providers.abstract_price_data_provider.AbstractPriceDataProvider method)
(qf_lib.data_providers.bloomberg.bloomberg_data_provider.BloombergDataProvider method)
(qf_lib.data_providers.bloomberg_beap_hapi.bloomberg_beap_hapi_data_provider.BloombergBeapHapiDataProvider method)
(qf_lib.data_providers.haver.haver_data_provider.HaverDataProvider method)
ExpirationDateField (class in qf_lib.common.enums.expiration_date_field)
exponential_average() (qf_lib.containers.dataframe.qf_dataframe.QFDataFrame method)
(qf_lib.containers.series.qf_series.QFSeries method)
export_container() (qf_lib.documents_utils.excel.excel_exporter.ExcelExporter method)
ExposureGenerator (class in qf_lib.analysis.exposure_analysis.exposure_generator)
ExposureSettings (class in qf_lib.analysis.exposure_analysis.exposure_settings)
ExposureSheet (class in qf_lib.analysis.exposure_analysis.exposure_sheet)
extract_data_for_analysis() (qf_lib.common.utils.factorization.manager.FactorizationManager method)
extract_series_data() (qf_lib.plotting.charts.chart.Chart method)
F
FACTOR (qf_lib.common.enums.security_type.SecurityType attribute)
FactorizationManager (class in qf_lib.common.utils.factorization.manager)
factors_performance_attribution_ret (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
FALLING (qf_lib.common.risk_parity_boxes.risk_parity_boxes.ChangeDirection attribute)
FastAlphaModelTester (class in qf_lib.backtesting.fast_alpha_model_tester.fast_alpha_models_tester)
FigureCoordinate (class in qf_lib.plotting.decorators.coordinate)
FirstNotice (qf_lib.common.enums.expiration_date_field.ExpirationDateField attribute)
fit_model (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
fit_tms_analysis (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
fitted_tms (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
FixedCommissionModel (class in qf_lib.backtesting.execution_handler.commission_models.fixed_commission_model)
FixedPortfolioPercentagePositionSizer (class in qf_lib.backtesting.position_sizer.fixed_portfolio_percentage_position_sizer)
FixedSlippage (class in qf_lib.backtesting.execution_handler.slippage.fixed_slippage)
form_different_is_and_oos_sets() (qf_lib.analysis.backtests_overfitting.overfitting_analysis.OverfittingAnalysis method)
Frequency (class in qf_lib.common.enums.frequency)
from_list() (qf_lib.common.risk_parity_boxes.risk_parity_boxes.RiskParityBoxes static method)
from_string() (qf_lib.common.tickers.tickers.BloombergTicker class method)
(qf_lib.common.tickers.tickers.CcyTicker class method)
(qf_lib.common.tickers.tickers.HaverTicker class method)
(qf_lib.common.tickers.tickers.PortaraTicker class method)
(qf_lib.common.tickers.tickers.QuandlTicker class method)
(qf_lib.common.tickers.tickers.Ticker method)
from_xr_data_array() (qf_lib.containers.qf_data_array.QFDataArray class method)
FULL_ISO (qf_lib.common.utils.dateutils.date_format.DateFormat attribute)
fund_tms_analysis (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
FUTURE (qf_lib.common.enums.security_type.SecurityType attribute)
FutureContract (class in qf_lib.containers.futures.future_contract)
FuturesAdjustmentMethod (class in qf_lib.containers.futures.futures_adjustment_method)
FuturesChain (class in qf_lib.containers.futures.futures_chain)
FuturesModel (class in qf_lib.backtesting.alpha_model.futures_model)
FuturesRollingOrdersGenerator (class in qf_lib.containers.futures.futures_rolling_orders_generator)
FutureTicker (class in qf_lib.containers.futures.future_tickers.future_ticker)
FX (qf_lib.common.enums.security_type.SecurityType attribute)
G
gain_to_pain_ratio() (in module qf_lib.common.utils.ratios.gain_to_pain_ratio)
GeneralPriceProvider (class in qf_lib.data_providers.general_price_provider)
generate() (qf_lib.documents_utils.document_exporting.html_exporter.HTMLExporter method)
(qf_lib.documents_utils.document_exporting.pdf_exporter.PDFExporter method)
generate_close_orders() (qf_lib.containers.futures.futures_rolling_orders_generator.FuturesRollingOrdersGenerator method)
generate_random_log_paths() (in module qf_lib.common.utils.returns.return_distribution_helpers)
generate_random_paths() (in module qf_lib.common.utils.returns.return_distribution_helpers)
get_active_ticker() (qf_lib.containers.futures.future_tickers.bloomberg_future_ticker.BloombergFutureTicker method)
get_aggregate_returns() (in module qf_lib.common.utils.returns.get_aggregate_returns)
get_axes_colors() (qf_lib.plotting.charts.chart.Chart class method)
get_best_strategies_is_oos_qualities() (qf_lib.analysis.backtests_overfitting.overfitting_analysis.OverfittingAnalysis method)
get_common_start_and_end() (in module qf_lib.common.utils.dateutils.common_start_and_end)
get_cone_chart() (in module qf_lib.common.utils.returns.return_distribution_helpers)
get_contracts_df() (qf_lib.data_providers.portara.portara_data_provider.PortaraDataProvider method)
get_current_specific_ticker() (qf_lib.containers.futures.future_tickers.future_ticker.FutureTicker method)
get_current_values() (qf_lib.data_providers.bloomberg.bloomberg_data_provider.BloombergDataProvider method)
(qf_lib.data_providers.bloomberg_beap_hapi.bloomberg_beap_hapi_data_provider.BloombergBeapHapiDataProvider method)
get_data() (qf_lib.backtesting.alpha_model.futures_model.FuturesModel method)
get_distance_to_equal_risk_contrib() (qf_lib.common.timeseries_analysis.risk_contribution_analysis.RiskContributionAnalysis class method)
get_expected_value() (qf_lib.common.utils.confidence_interval.analytical_cone_base.AnalyticalConeBase static method)
get_expiration_dates() (qf_lib.containers.futures.future_tickers.future_ticker.FutureTicker method)
get_factor_exposure() (qf_lib.analysis.exposure_analysis.exposure_generator.ExposureGenerator method)
get_factor_return_attribution() (qf_lib.common.timeseries_analysis.return_attribution_analysis.ReturnAttributionAnalysis class method)
get_factorization_data_model() (qf_lib.common.utils.factorization.manager.FactorizationManager method)
get_frequency() (qf_lib.containers.dataframe.qf_dataframe.QFDataFrame method)
(qf_lib.containers.series.qf_series.QFSeries method)
get_function_name() (in module qf_lib.common.utils.miscellaneous.function_name)
get_futures_chain_tickers() (qf_lib.backtesting.data_handler.data_handler.DataHandler method)
(qf_lib.data_providers.abstract_price_data_provider.AbstractPriceDataProvider method)
(qf_lib.data_providers.data_provider.DataProvider method)
(qf_lib.data_providers.general_price_provider.GeneralPriceProvider method)
(qf_lib.data_providers.preset_data_provider.PresetDataProvider method)
(qf_lib.data_providers.quandl.quandl_data_provider.QuandlDataProvider method)
get_grouping_for_frequency() (in module qf_lib.common.utils.returns.index_grouping)
get_history() (qf_lib.backtesting.data_handler.data_handler.DataHandler method)
(qf_lib.data_providers.bloomberg.bloomberg_data_provider.BloombergDataProvider method)
(qf_lib.data_providers.bloomberg_beap_hapi.bloomberg_beap_hapi_data_provider.BloombergBeapHapiDataProvider method)
(qf_lib.data_providers.data_provider.DataProvider method)
(qf_lib.data_providers.general_price_provider.GeneralPriceProvider method)
(qf_lib.data_providers.haver.haver_data_provider.HaverDataProvider method)
(qf_lib.data_providers.preset_data_provider.PresetDataProvider method)
(qf_lib.data_providers.quandl.quandl_data_provider.QuandlDataProvider method)
get_indicator() (qf_lib.indicators.market_stress_indicator_us.MarketStressIndicator method)
get_last_available_price() (qf_lib.backtesting.data_handler.daily_data_handler.DailyDataHandler method)
(qf_lib.backtesting.data_handler.data_handler.DataHandler method)
(qf_lib.backtesting.data_handler.intraday_data_handler.IntradayDataHandler method)
(qf_lib.data_providers.data_provider.DataProvider method)
(qf_lib.data_providers.preset_data_provider.PresetDataProvider method)
get_managed_series() (qf_lib.common.utils.volatility.volatility_manager.VolatilityManager method)
get_measures() (qf_lib.analysis.timeseries_analysis.timeseries_analysis.TimeseriesAnalysis method)
get_nice_names() (qf_lib.analysis.timeseries_analysis.timeseries_analysis.TimeseriesAnalysis method)
get_optimal_weights() (qf_lib.portfolio_construction.optimizers.quadratic_optimizer.QuadraticOptimizer class method)
get_output_dir() (qf_lib.documents_utils.document_exporting.document_exporter.DocumentExporter method)
get_preloaded_data_checksum() (qf_lib.backtesting.trading_session.backtest_trading_session.BacktestTradingSession method)
get_price() (qf_lib.backtesting.data_handler.data_handler.DataHandler method)
(qf_lib.containers.futures.futures_chain.FuturesChain method)
(qf_lib.data_providers.abstract_price_data_provider.AbstractPriceDataProvider method)
(qf_lib.data_providers.data_provider.DataProvider method)
(qf_lib.data_providers.general_price_provider.GeneralPriceProvider method)
(qf_lib.data_providers.preset_data_provider.PresetDataProvider method)
(qf_lib.data_providers.quandl.quandl_data_provider.QuandlDataProvider method)
get_quarter() (in module qf_lib.common.utils.dateutils.get_quarter)
get_risk_contribution() (qf_lib.common.timeseries_analysis.risk_contribution_analysis.RiskContributionAnalysis class method)
get_risk_contribution_optimised() (qf_lib.common.timeseries_analysis.risk_contribution_analysis.RiskContributionAnalysis class method)
get_rolling_factorization_data_model() (qf_lib.common.utils.factorization.manager.FactorizationManager method)
get_sector_exposure() (qf_lib.analysis.exposure_analysis.exposure_generator.ExposureGenerator method)
get_short_names() (qf_lib.analysis.timeseries_analysis.timeseries_analysis.TimeseriesAnalysis method)
get_signal() (qf_lib.backtesting.alpha_model.alpha_model.AlphaModel method)
(qf_lib.backtesting.alpha_model.futures_model.FuturesModel method)
get_signals() (qf_lib.backtesting.signals.backtest_signals_register.BacktestSignalsRegister method)
(qf_lib.backtesting.signals.signals_register.SignalsRegister method)
get_signals_for_ticker() (qf_lib.backtesting.signals.backtest_signals_register.BacktestSignalsRegister method)
(qf_lib.backtesting.signals.signals_register.SignalsRegister method)
get_tabular_data() (qf_lib.data_providers.bloomberg.bloomberg_data_provider.BloombergDataProvider method)
get_tickers_universe() (qf_lib.data_providers.bloomberg.bloomberg_data_provider.BloombergDataProvider method)
(qf_lib.data_providers.bloomberg_beap_hapi.bloomberg_beap_hapi_data_provider.BloombergBeapHapiDataProvider method)
get_transformation() (qf_lib.plotting.decorators.coordinate.AxesCoordinate method)
(qf_lib.plotting.decorators.coordinate.Coordinate method)
(qf_lib.plotting.decorators.coordinate.DataCoordinate method)
(qf_lib.plotting.decorators.coordinate.DisplayCoordinate method)
(qf_lib.plotting.decorators.coordinate.FigureCoordinate method)
get_unique_tickers() (qf_lib.data_providers.bloomberg.bloomberg_data_provider.BloombergDataProvider method)
(qf_lib.data_providers.bloomberg_beap_hapi.bloomberg_beap_hapi_data_provider.BloombergBeapHapiDataProvider method)
get_units() (qf_lib.analysis.timeseries_analysis.timeseries_analysis.TimeseriesAnalysis method)
get_values_for_common_dates() (in module qf_lib.common.utils.dateutils.get_values_common_dates)
get_volatility() (in module qf_lib.common.utils.volatility.get_volatility)
(qf_lib.common.utils.volatility.drift_independent_volatility.DriftIndependentVolatility static method)
get_weights() (qf_lib.portfolio_construction.portfolio_models.efficient_frontier_portfolio.EfficientFrontierPortfolio method)
(qf_lib.portfolio_construction.portfolio_models.equal_risk_contribution_portfolio.EqualRiskContributionPortfolio method)
(qf_lib.portfolio_construction.portfolio_models.kelly_portfolio.KellyPortfolio method)
(qf_lib.portfolio_construction.portfolio_models.max_diversification_portfolio.MaxDiversificationPortfolio method)
(qf_lib.portfolio_construction.portfolio_models.max_excess_return_portfolio.MaxExcessReturnPortfolio method)
(qf_lib.portfolio_construction.portfolio_models.max_sharpe_ratio_portfolio.MaxSharpeRatioPortfolio method)
(qf_lib.portfolio_construction.portfolio_models.min_variance_portfolio.MinVariancePortfolio method)
(qf_lib.portfolio_construction.portfolio_models.multifactor_portfolio.MultiFactorPortfolio method)
(qf_lib.portfolio_construction.portfolio_models.portfolio.Portfolio method)
(qf_lib.portfolio_construction.portfolio_models.risk_parity_portfolio.RiskParityPortfolio method)
get_workbook() (qf_lib.documents_utils.excel.excel_exporter.ExcelExporter method)
get_worksheet() (qf_lib.documents_utils.excel.excel_exporter.ExcelExporter method)
GTC (qf_lib.backtesting.order.time_in_force.TimeInForce attribute)
H
HaverDataProvider (class in qf_lib.data_providers.haver.haver_data_provider)
HaverTicker (class in qf_lib.common.tickers.tickers)
HeatMapChart (class in qf_lib.plotting.charts.heatmap.heatmap_chart)
HeatMapChartDecorator (class in qf_lib.plotting.charts.heatmap.heatmap_chart_decorator)
heteroskedasticity (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
High (qf_lib.common.enums.price_field.PriceField attribute)
HistogramChart (class in qf_lib.plotting.charts.histogram_chart)
historical_price() (qf_lib.backtesting.data_handler.data_handler.DataHandler method)
(qf_lib.data_providers.data_provider.DataProvider method)
(qf_lib.data_providers.preset_data_provider.PresetDataProvider method)
HorizontalLineDecorator (class in qf_lib.plotting.decorators.line_decorators)
HTMLExporter (class in qf_lib.documents_utils.document_exporting.html_exporter)
I
IBCommissionModel (class in qf_lib.backtesting.execution_handler.commission_models.ib_commission_model)
IBContractTickerMapper (class in qf_lib.backtesting.contract.contract_to_ticker_conversion.ib_contract_ticker_mapper)
import_cell() (qf_lib.documents_utils.excel.excel_importer.ExcelImporter method)
import_container() (qf_lib.documents_utils.excel.excel_importer.ExcelImporter method)
in_sample_and_out_sample_returns (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
INDEX (qf_lib.common.enums.security_type.SecurityType attribute)
IndexTranslator (class in qf_lib.plotting.helpers.index_translator)
information_ratio() (in module qf_lib.common.utils.ratios.information_ratio)
initialize_data_provider() (qf_lib.containers.futures.future_tickers.future_ticker.FutureTicker method)
initialized() (qf_lib.containers.futures.future_tickers.future_ticker.FutureTicker property)
InitialRiskPositionSizer (class in qf_lib.backtesting.position_sizer.initial_risk_position_sizer)
InitialRiskStatsFactory (class in qf_lib.backtesting.fast_alpha_model_tester.initial_risk_stats)
InitialRiskWithVolumePositionSizer (class in qf_lib.backtesting.position_sizer.initial_risk_with_volume_position_sizer)
InSampleReturnStats (class in qf_lib.common.utils.returns.is_return_stats)
intercept (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
intraday_volatility() (in module qf_lib.common.utils.volatility.intraday_volatility)
IntradayDataHandler (class in qf_lib.backtesting.data_handler.intraday_data_handler)
inv_translate() (qf_lib.plotting.helpers.index_translator.IndexTranslator method)
IRREGULAR (qf_lib.common.enums.frequency.Frequency attribute)
is_equal_risk_contribution() (qf_lib.common.timeseries_analysis.risk_contribution_analysis.RiskContributionAnalysis class method)
is_finite_number() (in module qf_lib.common.utils.numberutils.is_finite_number)
is_ranking (qf_lib.analysis.backtests_overfitting.overfitting_analysis.OverfittingAnalysis attribute)
ISO (qf_lib.common.utils.dateutils.date_format.DateFormat attribute)
ISO_MINUTES (qf_lib.common.utils.dateutils.date_format.DateFormat attribute)
ISO_SECONDS (qf_lib.common.utils.dateutils.date_format.DateFormat attribute)
iso_to_gregorian() (in module qf_lib.common.utils.dateutils.iso_to_gregorian)
item() (qf_lib.containers.qf_data_array.QFDataArray method)
K
KDEChart (class in qf_lib.plotting.charts.kde_chart)
KEEP_FIRST (qf_lib.common.utils.miscellaneous.consecutive_duplicates.Method attribute)
KEEP_LAST (qf_lib.common.utils.miscellaneous.consecutive_duplicates.Method attribute)
kelly() (in module qf_lib.common.utils.miscellaneous.kelly)
kelly_binary() (in module qf_lib.common.utils.miscellaneous.kelly)
KellyPortfolio (class in qf_lib.portfolio_construction.portfolio_models.kelly_portfolio)
L
LastTradeableDate (qf_lib.common.enums.expiration_date_field.ExpirationDateField attribute)
LegendDecorator (class in qf_lib.plotting.decorators.legend_decorator)
leverage_series() (qf_lib.backtesting.portfolio.portfolio.Portfolio method)
LineChart (class in qf_lib.plotting.charts.line_chart)
list_longest_drawdowns() (in module qf_lib.common.utils.returns.list_longest_drawdowns)
list_of_max_drawdowns() (in module qf_lib.common.utils.returns.list_of_max_drawdowns)
log_to_simple_return() (in module qf_lib.common.utils.returns.log_to_simple_return)
LogReturnsDataFrame (class in qf_lib.containers.dataframe.log_returns_dataframe)
LogReturnsSeries (class in qf_lib.containers.series.log_returns_series)
LONG_DATE (qf_lib.common.utils.dateutils.date_format.DateFormat attribute)
Low (qf_lib.common.enums.price_field.PriceField attribute)
M
make_exposure_scenarios() (qf_lib.backtesting.fast_alpha_model_tester.scenarios_generator.ScenariosGenerator method)
make_parity_boxes() (qf_lib.common.risk_parity_boxes.risk_parity_boxes.RiskParityBoxesFactory method)
make_scenarios() (qf_lib.backtesting.fast_alpha_model_tester.scenarios_generator.ScenariosGenerator method)
make_stats() (qf_lib.backtesting.fast_alpha_model_tester.initial_risk_stats.InitialRiskStatsFactory method)
market_value() (qf_lib.backtesting.portfolio.backtest_crypto_position.BacktestCryptoPosition method)
(qf_lib.backtesting.portfolio.backtest_equity_position.BacktestEquityPosition method)
(qf_lib.backtesting.portfolio.backtest_future_position.BacktestFuturePosition method)
(qf_lib.backtesting.portfolio.backtest_position.BacktestPosition method)
MarketCloseEvent (class in qf_lib.backtesting.events.time_event.regular_time_event.market_close_event)
MarketOnCloseOrder (class in qf_lib.backtesting.order.execution_style)
MarketOpenEvent (class in qf_lib.backtesting.events.time_event.regular_time_event.market_open_event)
MarketOrder (class in qf_lib.backtesting.order.execution_style)
MarketStressIndicator (class in qf_lib.indicators.market_stress_indicator_us)
max() (qf_lib.containers.qf_data_array.QFDataArray method)
max_drawdown() (in module qf_lib.common.utils.returns.max_drawdown)
MaxDiversificationPortfolio (class in qf_lib.portfolio_construction.portfolio_models.max_diversification_portfolio)
MaxExcessReturnPortfolio (class in qf_lib.portfolio_construction.portfolio_models.max_excess_return_portfolio)
MaxSharpeRatioPortfolio (class in qf_lib.portfolio_construction.portfolio_models.max_sharpe_ratio_portfolio)
mean() (qf_lib.containers.qf_data_array.QFDataArray method)
median() (qf_lib.containers.qf_data_array.QFDataArray method)
Method (class in qf_lib.common.utils.miscellaneous.consecutive_duplicates)
min() (qf_lib.containers.qf_data_array.QFDataArray method)
MIN_1 (qf_lib.common.enums.frequency.Frequency attribute)
MIN_10 (qf_lib.common.enums.frequency.Frequency attribute)
MIN_15 (qf_lib.common.enums.frequency.Frequency attribute)
MIN_30 (qf_lib.common.enums.frequency.Frequency attribute)
MIN_5 (qf_lib.common.enums.frequency.Frequency attribute)
MIN_60 (qf_lib.common.enums.frequency.Frequency attribute)
min_max_normalized() (qf_lib.containers.dataframe.qf_dataframe.QFDataFrame method)
(qf_lib.containers.series.qf_series.QFSeries method)
MIN_NUM_OF_1SE_REGRESSORS (qf_lib.common.utils.factorization.factors_identification.elastic_net_factors_identifier.ElasticNetFactorsIdentifier attribute)
(qf_lib.common.utils.factorization.factors_identification.elastic_net_factors_identifier_simplified.ElasticNetFactorsIdentifierSimplified attribute)
MinVariancePortfolio (class in qf_lib.portfolio_construction.portfolio_models.min_variance_portfolio)
module
qf_lib.data_providers.helpers
MONTHLY (qf_lib.common.enums.frequency.Frequency attribute)
MultiFactorPortfolio (class in qf_lib.portfolio_construction.portfolio_models.multifactor_portfolio)
N
name() (qf_lib.common.tickers.tickers.Ticker property)
(qf_lib.containers.futures.future_tickers.future_ticker.FutureTicker property)
NonlinearFunctionOptimizer (class in qf_lib.portfolio_construction.optimizers.nonlinear_function_optimizer)
normalize_data_array() (in module qf_lib.data_providers.helpers)
NoValidTickerException (class in qf_lib.common.exceptions.future_contracts_exceptions)
NTH_NEAREST (qf_lib.containers.futures.futures_adjustment_method.FuturesAdjustmentMethod attribute)
NUMBER_OF_FOLDS (qf_lib.common.utils.factorization.factors_identification.elastic_net_factors_identifier.ElasticNetFactorsIdentifier attribute)
(qf_lib.common.utils.factorization.factors_identification.elastic_net_factors_identifier_simplified.ElasticNetFactorsIdentifierSimplified attribute)
O
ohlc() (qf_lib.common.enums.price_field.PriceField static method)
ohlcv() (qf_lib.common.enums.price_field.PriceField static method)
ols_influence (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
Omega() (qf_lib.portfolio_construction.black_litterman.black_litterman.BlackLitterman property)
omega_ratio() (in module qf_lib.common.utils.ratios.omega_ratio)
one_over_n_weights() (qf_lib.portfolio_construction.portfolio_models.portfolio.Portfolio class method)
oos_ranking (qf_lib.analysis.backtests_overfitting.overfitting_analysis.OverfittingAnalysis attribute)
oos_start_date (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
Open (qf_lib.common.enums.price_field.PriceField attribute)
OPG (qf_lib.backtesting.order.time_in_force.TimeInForce attribute)
Order (class in qf_lib.backtesting.order.order)
OrderCancellingException (class in qf_lib.common.exceptions.broker_exceptions)
OrderFactory (class in qf_lib.backtesting.order.order_factory)
orders() (qf_lib.backtesting.order.order_factory.OrderFactory method)
OrdersFilter (class in qf_lib.backtesting.orders_filter.orders_filter)
OverfittingAnalysis (class in qf_lib.analysis.backtests_overfitting.overfitting_analysis)
P
P() (qf_lib.portfolio_construction.black_litterman.black_litterman.BlackLitterman property)
PDFExporter (class in qf_lib.documents_utils.document_exporting.pdf_exporter)
percent_orders() (qf_lib.backtesting.order.order_factory.OrderFactory method)
periods_list_from_bool_series() (in module qf_lib.common.utils.miscellaneous.periods_list)
PieChart (class in qf_lib.plotting.charts.pie_chart)
plot() (qf_lib.plotting.charts.annual_returns_bar_chart.AnnualReturnsBarChart method)
(qf_lib.plotting.charts.bar_chart.BarChart method)
(qf_lib.plotting.charts.boxplot_chart.BoxplotChart method)
(qf_lib.plotting.charts.chart.Chart method)
(qf_lib.plotting.charts.cone_chart.ConeChart method)
(qf_lib.plotting.charts.cone_chart_oos.ConeChartOOS method)
(qf_lib.plotting.charts.dist_chart.DistChart method)
(qf_lib.plotting.charts.heatmap.heatmap_chart.HeatMapChart method)
(qf_lib.plotting.charts.histogram_chart.HistogramChart method)
(qf_lib.plotting.charts.kde_chart.KDEChart method)
(qf_lib.plotting.charts.line_chart.LineChart method)
(qf_lib.plotting.charts.pie_chart.PieChart method)
(qf_lib.plotting.charts.regression_chart.RegressionChart method)
(qf_lib.plotting.charts.returns_heatmap_chart.ReturnsHeatmapChart method)
(qf_lib.plotting.charts.surface_chart_3d.SurfaceChart3D method)
PointEmphasisDecorator (class in qf_lib.plotting.decorators.point_emphasis_decorator)
populate_table() (qf_lib.analysis.timeseries_analysis.timeseries_analysis.TimeseriesAnalysis method)
PortaraDataProvider (class in qf_lib.data_providers.portara.portara_data_provider)
PortaraFutureTicker (class in qf_lib.containers.futures.future_tickers.portara_future_ticker)
PortaraTicker (class in qf_lib.common.tickers.tickers)
Portfolio (class in qf_lib.backtesting.portfolio.portfolio)
(class in qf_lib.portfolio_construction.portfolio_models.portfolio)
portfolio_eod_series() (qf_lib.backtesting.portfolio.portfolio.Portfolio method)
PortfolioAnalysisSheet (class in qf_lib.analysis.tearsheets.portfolio_analysis_sheet)
positions_history() (qf_lib.backtesting.portfolio.portfolio.Portfolio method)
PositionSizer (class in qf_lib.backtesting.position_sizer.position_sizer)
PrefetchingDataProvider (class in qf_lib.data_providers.prefetching_data_provider)
PresetDataProvider (class in qf_lib.data_providers.preset_data_provider)
price_field_to_str_map() (qf_lib.data_providers.abstract_price_data_provider.AbstractPriceDataProvider method)
(qf_lib.data_providers.bloomberg.bloomberg_data_provider.BloombergDataProvider method)
(qf_lib.data_providers.bloomberg_beap_hapi.bloomberg_beap_hapi_data_provider.BloombergBeapHapiDataProvider method)
(qf_lib.data_providers.haver.haver_data_provider.HaverDataProvider method)
PriceBasedSlippage (class in qf_lib.backtesting.execution_handler.slippage.price_based_slippage)
PriceField (class in qf_lib.common.enums.price_field)
PricesDataFrame (class in qf_lib.containers.dataframe.prices_dataframe)
PricesSeries (class in qf_lib.containers.series.prices_series)
process_orders() (qf_lib.backtesting.execution_handler.slippage.base.Slippage method)
prod() (qf_lib.containers.qf_data_array.QFDataArray method)
proxy_using_regression() (qf_lib.common.utils.data_cleaner.DataCleaner method)
proxy_using_value() (qf_lib.common.utils.data_cleaner.DataCleaner method)
publish() (qf_lib.documents_utils.email_publishing.email_publisher.EmailPublisher method)
Q
Q() (qf_lib.portfolio_construction.black_litterman.black_litterman.BlackLitterman property)
qf_lib.data_providers.helpers
module
QFDataArray (class in qf_lib.containers.qf_data_array)
QFDataFrame (class in qf_lib.containers.dataframe.qf_dataframe)
QFSeries (class in qf_lib.containers.series.qf_series)
QuadraticOptimizer (class in qf_lib.portfolio_construction.optimizers.quadratic_optimizer)
QuandlDataProvider (class in qf_lib.data_providers.quandl.quandl_data_provider)
QuandlDBType (class in qf_lib.common.enums.quandl_db_type)
QuandlTicker (class in qf_lib.common.tickers.tickers)
quantity() (qf_lib.backtesting.portfolio.backtest_position.BacktestPosition method)
QUARTERLY (qf_lib.common.enums.frequency.Frequency attribute)
R
r_squared_of_each_predictor (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
rank_strategies() (qf_lib.analysis.backtests_overfitting.overfitting_analysis.OverfittingAnalysis method)
real_time_update() (qf_lib.backtesting.monitoring.abstract_monitor.AbstractMonitor method)
(qf_lib.backtesting.monitoring.backtest_monitor.BacktestMonitor method)
RealTimer (class in qf_lib.common.utils.dateutils.timer)
record_transaction() (qf_lib.backtesting.monitoring.abstract_monitor.AbstractMonitor method)
(qf_lib.backtesting.monitoring.backtest_monitor.BacktestMonitor method)
RegressionChart (class in qf_lib.plotting.charts.regression_chart)
RegularTimeEvent (class in qf_lib.backtesting.events.time_event.regular_time_event.regular_time_event)
render_as_base64_image() (qf_lib.plotting.charts.chart.Chart method)
ReturnAttributionAnalysis (class in qf_lib.common.timeseries_analysis.return_attribution_analysis)
ReturnsHeatmapChart (class in qf_lib.plotting.charts.returns_heatmap_chart)
ReturnsSeries (class in qf_lib.containers.series.returns_series)
RISING (qf_lib.common.risk_parity_boxes.risk_parity_boxes.ChangeDirection attribute)
risk_contribution (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
RiskContributionAnalysis (class in qf_lib.common.timeseries_analysis.risk_contribution_analysis)
RiskParityBoxes (class in qf_lib.common.risk_parity_boxes.risk_parity_boxes)
RiskParityBoxesFactory (class in qf_lib.common.risk_parity_boxes.risk_parity_boxes)
RiskParityPortfolio (class in qf_lib.portfolio_construction.portfolio_models.risk_parity_portfolio)
RobustCovariance (class in qf_lib.portfolio_construction.covariance_estimation.robust_covariance)
rolling_time_window() (qf_lib.containers.dataframe.qf_dataframe.QFDataFrame method)
rolling_volatility() (in module qf_lib.common.utils.volatility.rolling_volatility)
rolling_window() (qf_lib.containers.dataframe.qf_dataframe.QFDataFrame method)
(qf_lib.containers.series.qf_series.QFSeries method)
rolling_window_with_benchmark() (qf_lib.containers.series.qf_series.QFSeries method)
RollingDataPresenter (class in qf_lib.common.utils.factorization.data_presenters.rolling_data_presenter)
RollingWindowsEstimator (class in qf_lib.common.utils.factorization.data_models.rolling_window_estimation)
S
save_signals() (qf_lib.backtesting.signals.backtest_signals_register.BacktestSignalsRegister method)
ScatterDecorator (class in qf_lib.plotting.decorators.scatter_decorator)
ScenariosGenerator (class in qf_lib.backtesting.fast_alpha_model_tester.scenarios_generator)
searchsorted() (qf_lib.containers.qf_data_array.QFDataArray method)
secondary_axes() (qf_lib.plotting.charts.chart.Chart property)
SecurityType (class in qf_lib.common.enums.security_type)
select_best_factors() (qf_lib.common.utils.factorization.factors_identification.elastic_net_factors_identifier.ElasticNetFactorsIdentifier method)
(qf_lib.common.utils.factorization.factors_identification.elastic_net_factors_identifier_simplified.ElasticNetFactorsIdentifierSimplified method)
(qf_lib.common.utils.factorization.factors_identification.stepwise_factor_identifier.StepwiseFactorsIdentifier method)
SEMI_ANNUALLY (qf_lib.common.enums.frequency.Frequency attribute)
SERIES_KEY (qf_lib.plotting.charts.boxplot_chart.BoxplotChart attribute)
SeriesLineDecorator (class in qf_lib.plotting.decorators.series_line_decorator)
set_benchmark_tms() (qf_lib.backtesting.trading_session.backtest_trading_session_builder.BacktestTradingSessionBuilder method)
set_daily_default_trigger_time() (qf_lib.backtesting.events.time_event.regular_time_event.calculate_and_place_orders_event.CalculateAndPlaceOrdersRegularEvent class method)
set_default_directory_level_up() (qf_lib.documents_utils.document_exporting.pdf_exporter.PDFExporter method)
set_expiration_hour() (qf_lib.containers.futures.future_tickers.future_ticker.FutureTicker method)
set_factor_exposure_tickers() (qf_lib.analysis.exposure_analysis.exposure_generator.ExposureGenerator method)
set_name() (qf_lib.common.tickers.tickers.Ticker method)
set_portfolio_nav_history() (qf_lib.analysis.exposure_analysis.exposure_generator.ExposureGenerator method)
set_positions_history() (qf_lib.analysis.exposure_analysis.exposure_generator.ExposureGenerator method)
set_sector_exposure_tickers() (qf_lib.analysis.exposure_analysis.exposure_generator.ExposureGenerator method)
SettableTimer (class in qf_lib.common.utils.dateutils.timer)
setup_secondary_axes_if_necessary() (qf_lib.plotting.charts.chart.Chart method)
setup_ticks_and_labels() (qf_lib.plotting.helpers.index_translator.IndexTranslator class method)
sharpe_ratio() (in module qf_lib.common.utils.ratios.sharpe_ratio)
show() (qf_lib.plotting.charts.chart.Chart method)
(qf_lib.plotting.charts.surface_chart_3d.SurfaceChart3D method)
Signal (class in qf_lib.backtesting.signals.signal)
SignalsPlotter (class in qf_lib.analysis.signals_analysis.signals_plotter)
SignalsRegister (class in qf_lib.backtesting.signals.signals_register)
simple_to_log_return() (in module qf_lib.common.utils.returns.simple_to_log_return)
SimpleLegendItem (class in qf_lib.plotting.decorators.simple_legend_item)
SimplePositionSizer (class in qf_lib.backtesting.position_sizer.simple_position_sizer)
SimpleReturnsDataFrame (class in qf_lib.containers.dataframe.simple_returns_dataframe)
SimpleReturnsSeries (class in qf_lib.containers.series.simple_returns_series)
SimulatedContractTickerMapper (class in qf_lib.backtesting.contract.contract_to_ticker_conversion.simulated_contract_ticker_mapper)
size_signals() (qf_lib.backtesting.position_sizer.position_sizer.PositionSizer method)
Slippage (class in qf_lib.backtesting.execution_handler.slippage.base)
sorino_ratio() (in module qf_lib.common.utils.ratios.sorino_ratio)
SpanDecorator (class in qf_lib.plotting.decorators.span_decorator)
SPREAD (qf_lib.common.enums.security_type.SecurityType attribute)
sqn() (in module qf_lib.common.utils.returns.sqn)
sqn_for100trades() (in module qf_lib.common.utils.returns.sqn)
SquareRootMarketImpactSlippage (class in qf_lib.backtesting.execution_handler.slippage.square_root_market_impact_slippage)
start_time (qf_lib.backtesting.portfolio.backtest_position.BacktestPosition attribute)
start_trading() (qf_lib.backtesting.trading_session.trading_session.TradingSession method)
std() (qf_lib.containers.qf_data_array.QFDataArray method)
StemDecorator (class in qf_lib.plotting.decorators.stem_decorator)
StepwiseFactorsIdentifier (class in qf_lib.common.utils.factorization.factors_identification.stepwise_factor_identifier)
STOCK (qf_lib.common.enums.security_type.SecurityType attribute)
StopOrder (class in qf_lib.backtesting.order.execution_style)
str_to_date() (in module qf_lib.common.utils.dateutils.string_to_date)
str_to_expiration_date_field_map() (qf_lib.data_providers.abstract_price_data_provider.AbstractPriceDataProvider method)
str_to_price_field_map() (qf_lib.data_providers.abstract_price_data_provider.AbstractPriceDataProvider method)
StrategyMonitoringDocument (class in qf_lib.analysis.tearsheets.strategy_monitoring_document)
subscribe() (qf_lib.backtesting.strategies.abstract_strategy.AbstractStrategy method)
sum() (qf_lib.containers.qf_data_array.QFDataArray method)
supported_ticker_type() (qf_lib.containers.futures.future_tickers.bloomberg_future_ticker.BloombergFutureTicker method)
(qf_lib.containers.futures.future_tickers.future_ticker.FutureTicker method)
(qf_lib.containers.futures.future_tickers.portara_future_ticker.PortaraFutureTicker method)
supported_ticker_types() (qf_lib.backtesting.data_handler.data_handler.DataHandler method)
(qf_lib.data_providers.bloomberg.bloomberg_data_provider.BloombergDataProvider method)
(qf_lib.data_providers.bloomberg_beap_hapi.bloomberg_beap_hapi_data_provider.BloombergBeapHapiDataProvider method)
(qf_lib.data_providers.data_provider.DataProvider method)
(qf_lib.data_providers.general_price_provider.GeneralPriceProvider method)
(qf_lib.data_providers.haver.haver_data_provider.HaverDataProvider method)
(qf_lib.data_providers.preset_data_provider.PresetDataProvider method)
(qf_lib.data_providers.quandl.quandl_data_provider.QuandlDataProvider method)
SurfaceChart3D (class in qf_lib.plotting.charts.surface_chart_3d)
T
ta_series() (in module qf_lib.common.utils.technical_analysis.utils)
table_for_df() (qf_lib.analysis.timeseries_analysis.timeseries_analysis.TimeseriesAnalysis static method)
tail_events() (in module qf_lib.common.utils.returns.tail_events)
target_orders() (qf_lib.backtesting.order.order_factory.OrderFactory method)
target_percent_orders() (qf_lib.backtesting.order.order_factory.OrderFactory method)
target_value_orders() (qf_lib.backtesting.order.order_factory.OrderFactory method)
TearsheetComparative (class in qf_lib.analysis.tearsheets.tearsheet_comparative)
TearsheetWithBenchmark (class in qf_lib.analysis.tearsheets.tearsheet_with_benchmark)
TearsheetWithoutBenchmark (class in qf_lib.analysis.tearsheets.tearsheet_without_benchmark)
TextDecorator (class in qf_lib.plotting.decorators.text_decorator)
tick_color (qf_lib.plotting.charts.chart.Chart attribute)
tick_fontsize (qf_lib.plotting.charts.chart.Chart attribute)
tick_fontweight (qf_lib.plotting.charts.chart.Chart attribute)
Ticker (class in qf_lib.common.tickers.tickers)
ticker() (qf_lib.containers.futures.future_tickers.future_ticker.FutureTicker property)
ticker_to_contract() (qf_lib.backtesting.contract.contract_to_ticker_conversion.base.ContractTickerMapper method)
(qf_lib.backtesting.contract.contract_to_ticker_conversion.ib_contract_ticker_mapper.IBContractTickerMapper method)
(qf_lib.backtesting.contract.contract_to_ticker_conversion.simulated_contract_ticker_mapper.SimulatedContractTickerMapper method)
tickers_dict_to_data_array() (in module qf_lib.data_providers.helpers)
time_delta() (qf_lib.common.enums.frequency.Frequency method)
TimeEvent (class in qf_lib.backtesting.events.time_event.time_event)
TimeInForce (class in qf_lib.backtesting.order.time_in_force)
Timer (class in qf_lib.common.utils.dateutils.timer)
TimeseriesAnalysis (class in qf_lib.analysis.timeseries_analysis.timeseries_analysis)
TitleDecorator (class in qf_lib.plotting.decorators.title_decorator)
to_days() (in module qf_lib.common.utils.dateutils.to_days)
to_log_returns() (qf_lib.containers.dataframe.qf_dataframe.QFDataFrame method)
(qf_lib.containers.series.log_returns_series.LogReturnsSeries method)
(qf_lib.containers.series.prices_series.PricesSeries method)
(qf_lib.containers.series.qf_series.QFSeries method)
(qf_lib.containers.series.simple_returns_series.SimpleReturnsSeries method)
to_prices() (qf_lib.containers.dataframe.qf_dataframe.QFDataFrame method)
(qf_lib.containers.series.prices_series.PricesSeries method)
(qf_lib.containers.series.qf_series.QFSeries method)
(qf_lib.containers.series.returns_series.ReturnsSeries method)
to_simple_returns() (qf_lib.containers.dataframe.qf_dataframe.QFDataFrame method)
(qf_lib.containers.series.log_returns_series.LogReturnsSeries method)
(qf_lib.containers.series.prices_series.PricesSeries method)
(qf_lib.containers.series.qf_series.QFSeries method)
(qf_lib.containers.series.simple_returns_series.SimpleReturnsSeries method)
TopDrawdownDecorator (class in qf_lib.plotting.decorators.top_drawdown_decorator)
total_commission() (qf_lib.backtesting.portfolio.backtest_position.BacktestPosition method)
total_cumulative_return() (qf_lib.containers.dataframe.qf_dataframe.QFDataFrame method)
(qf_lib.containers.series.log_returns_series.LogReturnsSeries method)
(qf_lib.containers.series.prices_series.PricesSeries method)
(qf_lib.containers.series.qf_series.QFSeries method)
(qf_lib.containers.series.simple_returns_series.SimpleReturnsSeries method)
total_exposure() (qf_lib.backtesting.portfolio.backtest_crypto_position.BacktestCryptoPosition method)
(qf_lib.backtesting.portfolio.backtest_equity_position.BacktestEquityPosition method)
(qf_lib.backtesting.portfolio.backtest_future_position.BacktestFuturePosition method)
(qf_lib.backtesting.portfolio.backtest_position.BacktestPosition method)
total_pnl() (qf_lib.backtesting.portfolio.backtest_position.BacktestPosition property)
Trade (class in qf_lib.backtesting.portfolio.trade)
TradeAnalysisSheet (class in qf_lib.analysis.trade_analysis.trade_analysis_sheet)
TradesGenerator (class in qf_lib.analysis.trade_analysis.trades_generator)
TradingSession (class in qf_lib.backtesting.trading_session.trading_session)
transact_transaction() (qf_lib.backtesting.portfolio.backtest_crypto_position.BacktestCryptoPosition method)
(qf_lib.backtesting.portfolio.backtest_position.BacktestPosition method)
(qf_lib.backtesting.portfolio.portfolio.Portfolio method)
Transaction (class in qf_lib.backtesting.portfolio.transaction)
translate() (qf_lib.plotting.helpers.index_translator.IndexTranslator method)
TrendStrengthSheet (class in qf_lib.analysis.breakout_strength.trend_strength_sheet)
trigger_time() (qf_lib.backtesting.events.time_event.regular_time_event.regular_time_event.RegularTimeEvent class method)
U
unexplained_performance_attribution_ret (qf_lib.common.utils.factorization.data_models.data_model.DataModel attribute)
unrealised_pnl() (qf_lib.backtesting.portfolio.backtest_position.BacktestPosition property)
update() (qf_lib.backtesting.portfolio.portfolio.Portfolio method)
update_price() (qf_lib.backtesting.portfolio.backtest_position.BacktestPosition method)
use_data_bundle() (qf_lib.backtesting.data_handler.data_handler.DataHandler method)
V
value_orders() (qf_lib.backtesting.order.order_factory.OrderFactory method)
values_in_table() (qf_lib.analysis.timeseries_analysis.timeseries_analysis.TimeseriesAnalysis static method)
ValuesAnnotations (class in qf_lib.plotting.charts.heatmap.values_annotations)
var() (qf_lib.containers.qf_data_array.QFDataArray method)
verify_preloaded_data() (qf_lib.backtesting.trading_session.backtest_trading_session.BacktestTradingSession method)
VerticalLineDecorator (class in qf_lib.plotting.decorators.line_decorators)
VerticalSpanDecorator (class in qf_lib.plotting.decorators.vertical_span_decorator)
VolatilityForecast (class in qf_lib.common.utils.volatility.volatility_forecast)
VolatilityManager (class in qf_lib.common.utils.volatility.volatility_manager)
Volume (qf_lib.common.enums.price_field.PriceField attribute)
volume_weighted_average_price() (in module qf_lib.common.utils.miscellaneous.volume_weighted_average_price)
VolumeOrdersFilter (class in qf_lib.backtesting.orders_filter.volume_orders_filter)
W
WEEKLY (qf_lib.common.enums.frequency.Frequency attribute)
write_cell() (qf_lib.documents_utils.excel.excel_exporter.ExcelExporter method)
write_to_worksheet() (qf_lib.documents_utils.excel.excel_exporter.ExcelExporter method)
Y
YEAR_DOT_MONTH (qf_lib.common.utils.dateutils.date_format.DateFormat attribute)
YEAR_DOT_MONTH_DOT_DAY (qf_lib.common.utils.dateutils.date_format.DateFormat attribute)
YEARLY (qf_lib.common.enums.frequency.Frequency attribute)
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