MarketStressIndicator

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

Bases: object

Calculates market stress indicator.

Parameters:

• 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

Methods:

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

Returns the timeseries of the indicator.

Parameters:

• 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

Returns:

Timeseries of market stress indicator

Return type:

QFSeries