mktlib
Getting Started
Installation
Quick Start
Advanced Usage: Grid Search Optimization
See Also
API Reference
Backtest
Metrics
Scheduling
Rates
Reports
Data
mktlib
Index
Index
A
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B
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C
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D
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E
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F
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G
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H
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I
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K
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L
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M
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N
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O
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P
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R
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S
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T
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V
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W
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Y
A
AdhocClosure (class in mktlib.scheduling.rules)
All (class in mktlib.backtest)
alpha (mktlib.reports.MetricsResult attribute)
(mktlib.reports.MonteCarloConfig attribute)
ANNUALIZED_VOLATILITY (mktlib.metrics.Metric attribute)
annualized_volatility() (in module mktlib.metrics)
Any_ (class in mktlib.backtest)
ARITHMETIC (mktlib.rates.MeanMethod attribute)
avg_bars_held (mktlib.reports.TradeMetrics attribute)
AVG_DRAWDOWN (mktlib.metrics.Metric attribute)
avg_drawdown (mktlib.reports.DrawdownInfo attribute)
(mktlib.reports.MetricsResult attribute)
avg_drawdown() (in module mktlib.metrics)
avg_duration_minutes (mktlib.reports.TradeMetrics attribute)
avg_loser (mktlib.reports.TradeMetrics attribute)
avg_trade_pnl (mktlib.reports.TradeMetrics attribute)
avg_winner (mktlib.reports.TradeMetrics attribute)
B
BacktestResult (class in mktlib.backtest)
beta (mktlib.reports.MetricsResult attribute)
BOOTSTRAP (mktlib.data.Innovations attribute)
C
CAGR (mktlib.metrics.Metric attribute)
cagr (mktlib.reports.MetricsResult attribute)
cagr() (in module mktlib.metrics)
calculate_metric() (in module mktlib.metrics)
CALMAR (mktlib.metrics.Metric attribute)
calmar (mktlib.reports.MetricsResult attribute)
Col (class in mktlib.backtest)
ColExpr (class in mktlib.backtest)
compounded (mktlib.reports.ReportConfig attribute)
Condition (class in mktlib.backtest)
Crossover (class in mktlib.backtest)
Crossunder (class in mktlib.backtest)
CUMULATIVE_RETURN (mktlib.metrics.Metric attribute)
cumulative_return (mktlib.reports.MetricsResult attribute)
cumulative_return() (in module mktlib.metrics)
Custom (class in mktlib.backtest)
CVAR (mktlib.metrics.Metric attribute)
cvar() (in module mktlib.metrics)
cvar_95 (mktlib.reports.MetricsResult attribute)
D
dates_in_range() (mktlib.scheduling.rules.EarlyClose method)
(mktlib.scheduling.rules.HolidayRule method)
df (mktlib.reports.MonteCarloConfig attribute)
drawdown_series() (in module mktlib.metrics)
DrawdownInfo (class in mktlib.reports)
E
EarlyClose (class in mktlib.scheduling.rules)
enabled (mktlib.reports.MonteCarloConfig attribute)
EntryRef (class in mktlib.backtest)
exchange (mktlib.reports.MonteCarloConfig attribute)
ExchangeCalendar (class in mktlib.scheduling)
ExchangeCalendarWithBreaks (class in mktlib.scheduling)
F
FIVE_YEAR (mktlib.rates.TreasuryRate attribute)
FOUR_MONTH (mktlib.rates.TreasuryRate attribute)
fractional_random_walk() (in module mktlib.data)
FRW (mktlib.data.Process attribute)
G
GAUSSIAN (mktlib.data.Innovations attribute)
GBM (mktlib.data.Process attribute)
GEOMETRIC (mktlib.rates.MeanMethod attribute)
geometric_brownian_motion() (in module mktlib.data)
get_calendar() (in module mktlib.scheduling)
get_mean_treasury_rate() (in module mktlib.rates)
get_risk_free_rate() (in module mktlib.rates)
get_schedule() (mktlib.scheduling.ExchangeCalendar method)
get_treasury_rates() (in module mktlib.rates)
get_treasury_spread() (in module mktlib.rates)
H
HolidayRule (class in mktlib.scheduling.rules)
horizon (mktlib.reports.MonteCarloConfig attribute)
html() (in module mktlib.reports)
I
information_ratio (mktlib.reports.MetricsResult attribute)
Innovations (class in mktlib.data)
innovations (mktlib.reports.MonteCarloConfig attribute)
InvalidPortfolioWeights
is_session() (mktlib.scheduling.ExchangeCalendar method)
IsFalling (class in mktlib.backtest)
IsRising (class in mktlib.backtest)
K
KELLY_CRITERION (mktlib.metrics.Metric attribute)
kelly_criterion (mktlib.reports.MetricsResult attribute)
(mktlib.reports.TradeMetrics attribute)
kelly_criterion() (in module mktlib.metrics)
L
largest_loser (mktlib.reports.TradeMetrics attribute)
largest_winner (mktlib.reports.TradeMetrics attribute)
Limit (class in mktlib.backtest)
Lit (class in mktlib.backtest)
LONG (mktlib.backtest.TradeSide attribute)
LONGEST_DRAWDOWN_DAYS (mktlib.metrics.Metric attribute)
longest_drawdown_days (mktlib.reports.DrawdownInfo attribute)
(mktlib.reports.MetricsResult attribute)
longest_drawdown_days() (in module mktlib.metrics)
M
max_consecutive_losses (mktlib.reports.TradeMetrics attribute)
max_consecutive_wins (mktlib.reports.TradeMetrics attribute)
MAX_DRAWDOWN (mktlib.metrics.Metric attribute)
max_drawdown (mktlib.reports.DrawdownInfo attribute)
(mktlib.reports.MetricsResult attribute)
max_drawdown_date (mktlib.reports.DrawdownInfo attribute)
(mktlib.reports.MetricsResult attribute)
mc_cvar (mktlib.reports.MetricsResult attribute)
mc_var (mktlib.reports.MetricsResult attribute)
MeanMethod (class in mktlib.rates)
Metric (class in mktlib.metrics)
metrics() (in module mktlib.reports)
MetricsResult (class in mktlib.reports)
mktlib.rates
module
module
mktlib.rates
monte_carlo() (in module mktlib.data)
monte_carlo_paths() (in module mktlib.metrics)
MonteCarloConfig (class in mktlib.reports)
mtd (mktlib.reports.MetricsResult attribute)
MultiBacktestResult (class in mktlib.backtest)
N
n_paths_displayed (mktlib.reports.MonteCarloConfig attribute)
n_simulations (mktlib.reports.MonteCarloConfig attribute)
Not (class in mktlib.backtest)
O
OMEGA (mktlib.metrics.Metric attribute)
omega (mktlib.reports.MetricsResult attribute)
omega() (in module mktlib.metrics)
ONE_AND_HALF_MONTH (mktlib.rates.TreasuryRate attribute)
ONE_MONTH (mktlib.rates.TreasuryRate attribute)
ONE_YEAR (mktlib.rates.TreasuryRate attribute)
one_year (mktlib.reports.MetricsResult attribute)
ornstein_uhlenbeck() (in module mktlib.data)
OU (mktlib.data.Process attribute)
P
PAYOFF_RATIO (mktlib.metrics.Metric attribute)
payoff_ratio (mktlib.reports.MetricsResult attribute)
(mktlib.reports.TradeMetrics attribute)
payoff_ratio() (in module mktlib.metrics)
Pct (class in mktlib.backtest)
periods_per_year (mktlib.reports.ReportConfig attribute)
Process (class in mktlib.data)
PROFIT_FACTOR (mktlib.metrics.Metric attribute)
profit_factor (mktlib.reports.MetricsResult attribute)
(mktlib.reports.TradeMetrics attribute)
profit_factor() (in module mktlib.metrics)
R
r_squared (mktlib.reports.MetricsResult attribute)
ReportConfig (class in mktlib.reports)
returns (mktlib.backtest.BacktestResult attribute)
(mktlib.backtest.MultiBacktestResult property)
rf (mktlib.reports.ReportConfig attribute)
ROMAD (mktlib.metrics.Metric attribute)
romad (mktlib.reports.MetricsResult attribute)
run() (in module mktlib.backtest)
S
schedule() (mktlib.scheduling.ExchangeCalendar method)
seed (mktlib.reports.MonteCarloConfig attribute)
SEVEN_YEAR (mktlib.rates.TreasuryRate attribute)
SHARPE (mktlib.metrics.Metric attribute)
sharpe (mktlib.reports.MetricsResult attribute)
sharpe() (in module mktlib.metrics)
SHORT (mktlib.backtest.TradeSide attribute)
signals (mktlib.backtest.BacktestResult attribute)
(mktlib.backtest.MultiBacktestResult property)
simulate_metric() (in module mktlib.metrics)
SIX_MONTH (mktlib.rates.TreasuryRate attribute)
SORTINO (mktlib.metrics.Metric attribute)
sortino (mktlib.reports.MetricsResult attribute)
sortino() (in module mktlib.metrics)
Strategy (class in mktlib.backtest)
STUDENT_T (mktlib.data.Innovations attribute)
symbols (mktlib.backtest.MultiBacktestResult property)
T
TEN_YEAR (mktlib.rates.TreasuryRate attribute)
THIRTY_YEAR (mktlib.rates.TreasuryRate attribute)
THIRTY_YEAR_DISPLAY (mktlib.rates.TreasuryRate attribute)
THREE_MONTH (mktlib.rates.TreasuryRate attribute)
THREE_YEAR (mktlib.rates.TreasuryRate attribute)
ticks_to_ohlcv() (in module mktlib.data)
title (mktlib.reports.ReportConfig attribute)
to_portfolio_weights_df() (in module mktlib.backtest)
total_trades (mktlib.reports.TradeMetrics attribute)
trade_metrics (mktlib.reports.MetricsResult attribute)
trade_sharpe (mktlib.reports.TradeMetrics attribute)
trade_sortino (mktlib.reports.TradeMetrics attribute)
trade_win_rate (mktlib.reports.TradeMetrics attribute)
TradeMetrics (class in mktlib.reports)
trades (mktlib.backtest.BacktestResult attribute)
(mktlib.backtest.MultiBacktestResult property)
trades_per_year (mktlib.reports.TradeMetrics attribute)
TradeSide (class in mktlib.backtest)
TreasuryRate (class in mktlib.rates)
TWENTY_YEAR (mktlib.rates.TreasuryRate attribute)
TWO_MONTH (mktlib.rates.TreasuryRate attribute)
TWO_YEAR (mktlib.rates.TreasuryRate attribute)
V
valid_days() (mktlib.scheduling.ExchangeCalendar method)
ValueGT (class in mktlib.backtest)
ValueGTE (class in mktlib.backtest)
ValueLT (class in mktlib.backtest)
ValueLTE (class in mktlib.backtest)
VAR (mktlib.metrics.Metric attribute)
var() (in module mktlib.metrics)
var_95 (mktlib.reports.MetricsResult attribute)
volatility (mktlib.reports.MetricsResult attribute)
W
WIN_RATE (mktlib.metrics.Metric attribute)
win_rate (mktlib.reports.MetricsResult attribute)
win_rate() (in module mktlib.metrics)
Y
ytd (mktlib.reports.MetricsResult attribute)