class qf_lib.indicators.market_stress_indicator_us.MarketStressIndicator(tickers: Sequence[Ticker], weights: Sequence[float], data_provider: DataProvider)[source]

Bases: object

Calculates market stress indicator.

  • tickers (Sequence[Ticker]) – tickers building the stress indicator

  • weights (Sequence[float]) – weights of the tickers in the indicator, do not need to sum to 1, will be normalized anyway

  • data_provider (DataProvider) – data provider that will be used to access the history of the individual tickers


get_indicator(years_rolling, start_date, ...)

Returns the timeseries of the indicator.

get_indicator(years_rolling: float, start_date: datetime, end_date: datetime, step: int = 1) QFSeries[source]

Returns the timeseries of the indicator.

  • years_rolling (float) – How may years of the history is used for to evaluate the single point

  • start_date (datetime) – start date of the indicator returned

  • end_date (datetime) – end date of the indicator returned

  • step (int) – how many day is the rolling window shifted. It aslo tells us the step of the returned indicator in days


Timeseries of market stress indicator

Return type: