common.rst

common

enums

.. currentmodule:: qf_lib.common.enums

.. autosummary::
    :nosignatures:
    :toctree: _autosummary
    :template: short_class.rst

    expiration_date_field.ExpirationDateField
    frequency.Frequency
    price_field.PriceField
    security_type.SecurityType
    quandl_db_type.QuandlDBType

exceptions

.. currentmodule:: qf_lib.common.exceptions

.. autosummary::
    :nosignatures:
    :toctree: _autosummary
    :template: short_class.rst

    broker_exceptions.BrokerException
    broker_exceptions.OrderCancellingException
    future_contracts_exceptions.NoValidTickerException

risk_parity_boxes

.. currentmodule:: qf_lib.common.risk_parity_boxes.risk_parity_boxes

.. autosummary::
    :nosignatures:
    :toctree: _autosummary
    :template: short_class.rst

    ChangeDirection
    RiskParityBoxes
    RiskParityBoxesFactory

tickers

.. currentmodule:: qf_lib.common.tickers.tickers

.. autosummary::
    :nosignatures:
    :toctree: _autosummary
    :template: short_class.rst

    Ticker
    BloombergTicker
    HaverTicker
    QuandlTicker
    CcyTicker
    PortaraTicker

timeseries_analysis

.. currentmodule:: qf_lib.common.timeseries_analysis

.. autosummary::
    :nosignatures:
    :toctree: _autosummary
    :template: short_class.rst

    return_attribution_analysis.ReturnAttributionAnalysis
    risk_contribution_analysis.RiskContributionAnalysis

utils

Classes

.. currentmodule:: qf_lib.common.utils

.. autosummary::
    :nosignatures:
    :toctree: _autosummary
    :template: short_class.rst

    confidence_interval.analytical_cone_base.AnalyticalConeBase
    confidence_interval.analytical_cone.AnalyticalCone
    confidence_interval.analytical_cone_oos.AnalyticalConeOOS

    dateutils.date_format.DateFormat
    dateutils.timer.Timer
    dateutils.timer.RealTimer
    dateutils.timer.SettableTimer

    factorization.data_models.data_model.DataModel
    factorization.data_models.data_model_input.DataModelInput
    factorization.data_models.rolling_window_estimation.RollingWindowsEstimator
    factorization.data_presenters.data_presenter.DataPresenter
    factorization.data_presenters.rolling_data_presenter.RollingDataPresenter
    factorization.factors_identification.elastic_net_factors_identifier.ElasticNetFactorsIdentifier
    factorization.factors_identification.elastic_net_factors_identifier_simplified.ElasticNetFactorsIdentifierSimplified
    factorization.factors_identification.stepwise_factor_identifier.StepwiseFactorsIdentifier
    factorization.manager.FactorizationManager
    miscellaneous.consecutive_duplicates.Method
    returns.is_return_stats.InSampleReturnStats
    volatility.drift_independent_volatility.DriftIndependentVolatility
    volatility.volatility_forecast.VolatilityForecast
    volatility.volatility_manager.VolatilityManager
    data_cleaner.DataCleaner

Functions

.. currentmodule:: qf_lib.common.utils

.. autosummary::
    :nosignatures:
    :toctree: _autosummary
    :template: function.rst

    close_open_gap.close_open_gap.close_open_gap
    dateutils.common_start_and_end.get_common_start_and_end
    dateutils.date_to_string.date_to_str
    dateutils.get_quarter.get_quarter
    dateutils.get_values_common_dates.get_values_for_common_dates
    dateutils.iso_to_gregorian.iso_to_gregorian
    dateutils.string_to_date.str_to_date
    dateutils.to_days.to_days
    miscellaneous.annualise_with_sqrt.annualise_with_sqrt
    miscellaneous.average_true_range.average_true_range
    miscellaneous.consecutive_duplicates.drop_consecutive_duplicates
    miscellaneous.function_name.get_function_name
    miscellaneous.kelly.kelly
    miscellaneous.kelly.kelly_binary
    miscellaneous.periods_list.periods_list_from_bool_series
    miscellaneous.to_list_conversion.convert_to_list
    miscellaneous.volume_weighted_average_price.volume_weighted_average_price
    numberutils.is_finite_number.is_finite_number
    ratios.calmar_ratio.calmar_ratio
    ratios.gain_to_pain_ratio.gain_to_pain_ratio
    ratios.information_ratio.information_ratio
    ratios.omega_ratio.omega_ratio
    ratios.sharpe_ratio.sharpe_ratio
    ratios.sorino_ratio.sorino_ratio
    returns.annualise_total_return.annualise_total_return
    returns.avg_drawdown.avg_drawdown
    returns.avg_drawdown_duration.avg_drawdown_duration
    returns.beta_and_alpha.beta_and_alpha_full_stats
    returns.cagr.cagr
    returns.convert_dataframe_frequency.convert_dataframe_frequency
    returns.custom_returns_aggregating.aggregate_returns
    returns.cvar.cvar
    returns.drawdown_tms.drawdown_tms
    returns.get_aggregate_returns.get_aggregate_returns
    returns.index_grouping.get_grouping_for_frequency
    returns.list_longest_drawdowns.list_longest_drawdowns
    returns.list_of_max_drawdowns.list_of_max_drawdowns
    returns.log_to_simple_return.log_to_simple_return
    returns.max_drawdown.max_drawdown
    returns.return_distribution_helpers.get_cone_chart
    returns.return_distribution_helpers.generate_random_paths
    returns.return_distribution_helpers.generate_random_log_paths
    returns.simple_to_log_return.simple_to_log_return
    returns.sqn.sqn
    returns.sqn.sqn_for100trades
    returns.sqn.avg_nr_of_trades_per1y
    returns.tail_events.tail_events
    technical_analysis.utils.ta_series
    volatility.get_volatility.get_volatility
    volatility.intraday_volatility.intraday_volatility
    volatility.rolling_volatility.rolling_volatility