Index

_

__call__() (pyqstrat.interactive_plot.LineGraphWithDetailDisplay method) (pyqstrat.interactive_plot.MeanWithCI method) (pyqstrat.interactive_plot.SimpleDetailTable method) (pyqstrat.interactive_plot.SimpleTransform method) __init__() (pyqstrat.account.Account method) (pyqstrat.evaluator.Evaluator method) (pyqstrat.holiday_calendars.Calendar method) (pyqstrat.interactive_plot.InteractivePlot method) (pyqstrat.interactive_plot.LineConfig method) (pyqstrat.interactive_plot.LineGraphWithDetailDisplay method) (pyqstrat.interactive_plot.MeanWithCI method) (pyqstrat.interactive_plot.SimpleDetailTable method) (pyqstrat.interactive_plot.SimpleTransform method) (pyqstrat.optimize.Experiment method) (pyqstrat.optimize.Optimizer method) (pyqstrat.plot.BucketedValues method) (pyqstrat.plot.Plot method) (pyqstrat.plot.Subplot method) (pyqstrat.plot.TimeSeries method) (pyqstrat.plot.TradeBarSeries method) (pyqstrat.plot.TradeSet method) (pyqstrat.plot.XYZData method) (pyqstrat.portfolio.Portfolio method) (pyqstrat.pq_types.LimitOrder method) (pyqstrat.pq_types.MarketOrder method) (pyqstrat.pq_types.RollOrder method) (pyqstrat.pq_types.StopLimitOrder method) (pyqstrat.pq_types.Trade method) (pyqstrat.strategy.Strategy method)

A

Account (class in pyqstrat.account) add_calendar() (pyqstrat.holiday_calendars.Calendar static method) add_contract() (pyqstrat.pq_types.ContractGroup method) add_indicator() (pyqstrat.strategy.Strategy method) add_market_sim() (pyqstrat.strategy.Strategy method) add_metric() (pyqstrat.evaluator.Evaluator method) add_rule() (pyqstrat.strategy.Strategy method)

add_signal() (pyqstrat.strategy.Strategy method) add_strategy() (pyqstrat.portfolio.Portfolio method) add_trades() (pyqstrat.account.Account method) add_trading_days() (pyqstrat.holiday_calendars.Calendar method) ask (pyqstrat.pq_types.Price attribute) ask_size (pyqstrat.pq_types.Price attribute) assert_() (in module pyqstrat.pq_utils)

B

BACKTEST_END (pyqstrat.pq_types.ReasonCode attribute) BarPlotAttributes (class in pyqstrat.plot) bid (pyqstrat.pq_types.Price attribute) bid_size (pyqstrat.pq_types.Price attribute)

black_scholes_price() (in module pyqstrat.pyqstrat_cpp) bootstrap_ci() (in module pyqstrat.pq_utils) BoxPlotAttributes (class in pyqstrat.plot) BucketedValues (class in pyqstrat.plot)

C

calc() (pyqstrat.account.Account method) calc_net_pnl() (pyqstrat.account.ContractPNL method) Calendar (class in pyqstrat.holiday_calendars) calendar (pyqstrat.markets.EminiFuture attribute) (pyqstrat.markets.EminiOption attribute) CandleStickPlotAttributes (class in pyqstrat.plot) cdf() (in module pyqstrat.pyqstrat_cpp) clear() (pyqstrat.pq_types.Contract static method) (pyqstrat.pq_types.ContractGroup static method) cmap (pyqstrat.plot.ContourPlotAttributes attribute) (pyqstrat.plot.SurfacePlotAttributes attribute) color (pyqstrat.interactive_plot.LineConfig attribute) (pyqstrat.plot.BarPlotAttributes attribute) (pyqstrat.plot.LinePlotAttributes attribute) colordown (pyqstrat.plot.CandleStickPlotAttributes attribute) colorup (pyqstrat.plot.CandleStickPlotAttributes attribute) compute() (pyqstrat.evaluator.Evaluator method) compute_amean() (in module pyqstrat.evaluator) compute_annual_returns() (in module pyqstrat.evaluator) compute_bucketed_returns() (in module pyqstrat.evaluator) compute_calmar() (in module pyqstrat.evaluator) compute_dates_3yr() (in module pyqstrat.evaluator) compute_equity() (in module pyqstrat.evaluator) compute_gmean() (in module pyqstrat.evaluator) compute_k_ratio() (in module pyqstrat.evaluator) compute_mar() (in module pyqstrat.evaluator) compute_maxdd_date() (in module pyqstrat.evaluator) compute_maxdd_date_3yr() (in module pyqstrat.evaluator)

compute_maxdd_pct() (in module pyqstrat.evaluator) compute_maxdd_pct_3yr() (in module pyqstrat.evaluator) compute_maxdd_start() (in module pyqstrat.evaluator) compute_maxdd_start_3yr() (in module pyqstrat.evaluator) compute_metric() (pyqstrat.evaluator.Evaluator method) compute_num_periods() (in module pyqstrat.evaluator) compute_periods_per_year() (in module pyqstrat.evaluator) compute_return_metrics() (in module pyqstrat.evaluator) compute_returns_3yr() (in module pyqstrat.evaluator) compute_rolling_dd() (in module pyqstrat.evaluator) compute_rolling_dd_3yr() (in module pyqstrat.evaluator) compute_sharpe() (in module pyqstrat.evaluator) compute_sortino() (in module pyqstrat.evaluator) compute_std() (in module pyqstrat.evaluator) ContourPlotAttributes (class in pyqstrat.plot) Contract (class in pyqstrat.pq_types) contract (pyqstrat.pq_types.RoundTripTrade attribute) contract_group (pyqstrat.pq_types.Contract attribute) ContractGroup (class in pyqstrat.pq_types) ContractPNL (class in pyqstrat.account) contracts (pyqstrat.pq_types.ContractGroup attribute) contracts_by_symbol (pyqstrat.pq_types.Contract attribute) (pyqstrat.pq_types.ContractGroup attribute) create() (pyqstrat.pq_types.Contract static method) (pyqstrat.pq_types.ContractGroup static method) (pyqstrat.pq_utils.Paths method) create_pivot() (pyqstrat.interactive_plot.InteractivePlot method) create_selection_dropdowns() (in module pyqstrat.interactive_plot)

D

d1() (in module pyqstrat.pyqstrat_cpp) d2() (in module pyqstrat.pyqstrat_cpp) date_2_num() (in module pyqstrat.pq_utils) DateFormatter (class in pyqstrat.plot) DateLine (class in pyqstrat.plot) day_of_week_num() (in module pyqstrat.pq_utils) day_symbol() (in module pyqstrat.pq_utils) decode_symbol() (pyqstrat.markets.EminiOption static method) delta() (in module pyqstrat.pyqstrat_cpp) df() (pyqstrat.account.ContractPNL method) (pyqstrat.plot.TradeBarSeries method) df_account_pnl() (pyqstrat.account.Account method) df_data() (pyqstrat.strategy.Strategy method) df_experiments() (pyqstrat.optimize.Optimizer method) df_orders() (pyqstrat.strategy.Strategy method) df_pnl() (pyqstrat.account.Account method) (pyqstrat.strategy.Strategy method) df_returns() (pyqstrat.portfolio.Portfolio method) (pyqstrat.strategy.Strategy method) df_roundtrip_trades() (pyqstrat.account.Account method) (pyqstrat.strategy.Strategy method)

df_to_hdf5() (in module pyqstrat.pq_io) df_trades() (pyqstrat.account.Account method) (pyqstrat.strategy.Strategy method) display_attributes (pyqstrat.plot.BucketedValues attribute) (pyqstrat.plot.PlotData attribute) (pyqstrat.plot.TimeSeries attribute) (pyqstrat.plot.TradeBarSeries attribute) (pyqstrat.plot.TradeSet attribute) (pyqstrat.plot.XYData attribute) (pyqstrat.plot.XYZData attribute) display_form() (in module pyqstrat.interactive_plot) display_return_metrics() (in module pyqstrat.evaluator) DisplayAttributes (class in pyqstrat.plot) draw() (pyqstrat.plot.Plot method) draw_3d_plot() (in module pyqstrat.plot) draw_boxplot() (in module pyqstrat.plot) draw_candlestick() (in module pyqstrat.plot) draw_date_line() (in module pyqstrat.plot) draw_horizontal_line() (in module pyqstrat.plot) draw_poly() (in module pyqstrat.plot) draw_vertical_line() (in module pyqstrat.plot)

E

EminiFuture (class in pyqstrat.markets) EminiOption (class in pyqstrat.markets) ENTER_LONG (pyqstrat.pq_types.ReasonCode attribute) ENTER_SHORT (pyqstrat.pq_types.ReasonCode attribute) entry_commission (pyqstrat.pq_types.RoundTripTrade attribute) entry_order (pyqstrat.pq_types.RoundTripTrade attribute) entry_price (pyqstrat.pq_types.RoundTripTrade attribute) entry_properties (pyqstrat.pq_types.RoundTripTrade attribute) entry_reason (pyqstrat.pq_types.RoundTripTrade attribute) entry_timestamp (pyqstrat.pq_types.RoundTripTrade attribute) equity() (pyqstrat.account.Account method) EUREX (pyqstrat.holiday_calendars.Calendar attribute) evaluate_returns() (pyqstrat.portfolio.Portfolio method) (pyqstrat.strategy.Strategy method)

Evaluator (class in pyqstrat.evaluator) exit_commission (pyqstrat.pq_types.RoundTripTrade attribute) EXIT_LONG (pyqstrat.pq_types.ReasonCode attribute) exit_order (pyqstrat.pq_types.RoundTripTrade attribute) exit_price (pyqstrat.pq_types.RoundTripTrade attribute) exit_properties (pyqstrat.pq_types.RoundTripTrade attribute) exit_reason (pyqstrat.pq_types.RoundTripTrade attribute) EXIT_SHORT (pyqstrat.pq_types.ReasonCode attribute) exit_timestamp (pyqstrat.pq_types.RoundTripTrade attribute) Experiment (class in pyqstrat.optimize) experiment_list() (pyqstrat.optimize.Optimizer method) expiry (pyqstrat.pq_types.Contract attribute)

F

FILLED (pyqstrat.pq_types.OrderStatus attribute) FilledLinePlotAttributes (class in pyqstrat.plot) find_index_before() (in module pyqstrat.account) find_last_non_nan_index() (in module pyqstrat.account)

flatten_keys() (in module pyqstrat.optimize) foo() (in module pyqstrat.interactive_plot) future_code_to_month() (in module pyqstrat.markets) future_code_to_month_number() (in module pyqstrat.markets)

G

gamma() (in module pyqstrat.pyqstrat_cpp) get_all_timestamps() (pyqstrat.plot.Subplot method) get_calendar() (pyqstrat.holiday_calendars.Calendar static method) get_child_logger() (in module pyqstrat.pq_utils) get_contract() (pyqstrat.pq_types.ContractGroup method) get_current_symbol() (pyqstrat.markets.EminiFuture static method) get_date_formatter() (in module pyqstrat.plot) get_date_from_weekday() (in module pyqstrat.holiday_calendars) get_empty_np_value() (in module pyqstrat.pq_utils)

get_expiry() (pyqstrat.markets.EminiFuture static method) (pyqstrat.markets.EminiOption static method) get_future_code() (in module pyqstrat.markets) get_main_logger() (in module pyqstrat.pq_utils) get_next_symbol() (pyqstrat.markets.EminiFuture static method) get_paths() (in module pyqstrat.pq_utils) get_previous_symbol() (pyqstrat.markets.EminiFuture static method) get_temp_dir() (in module pyqstrat.pq_utils) get_trading_days() (pyqstrat.holiday_calendars.Calendar method)

H

handle_non_finite_returns() (in module pyqstrat.evaluator) has_display() (in module pyqstrat.pq_utils) hdf5_repack() (in module pyqstrat.pq_io)

hdf5_to_df() (in module pyqstrat.pq_io) hdf5_to_np_arrays() (in module pyqstrat.pq_io) HorizontalLine (class in pyqstrat.plot)

I

implied_vol() (in module pyqstrat.pyqstrat_cpp) in_ipython() (in module pyqstrat.pq_utils) infer_compression() (in module pyqstrat.pq_utils) infer_frequency() (in module pyqstrat.pq_utils) InteractivePlot (class in pyqstrat.interactive_plot)

interpolation (pyqstrat.plot.ContourPlotAttributes attribute) (pyqstrat.plot.SurfacePlotAttributes attribute) invalid() (pyqstrat.pq_types.Price static method) is_newer() (in module pyqstrat.pq_utils) is_trading_day() (pyqstrat.holiday_calendars.Calendar method)

L

leading_nan_to_zero() (in module pyqstrat.account) LimitOrder (class in pyqstrat.pq_types) line_type (pyqstrat.plot.LinePlotAttributes attribute) line_width (pyqstrat.plot.LinePlotAttributes attribute)

linear_interpolate() (in module pyqstrat.pq_utils) LineConfig (class in pyqstrat.interactive_plot) LineGraphWithDetailDisplay (class in pyqstrat.interactive_plot) LinePlotAttributes (class in pyqstrat.plot)

M

marker (pyqstrat.plot.ContourPlotAttributes attribute) (pyqstrat.plot.LinePlotAttributes attribute) (pyqstrat.plot.ScatterPlotAttributes attribute) (pyqstrat.plot.SurfacePlotAttributes attribute) marker_color (pyqstrat.plot.ContourPlotAttributes attribute) (pyqstrat.plot.LinePlotAttributes attribute) (pyqstrat.plot.ScatterPlotAttributes attribute) (pyqstrat.plot.SurfacePlotAttributes attribute) marker_mode (pyqstrat.interactive_plot.LineConfig attribute) MARKER_PROPERTIES (pyqstrat.pq_types.ReasonCode attribute) marker_size (pyqstrat.plot.ContourPlotAttributes attribute) (pyqstrat.plot.LinePlotAttributes attribute) (pyqstrat.plot.ScatterPlotAttributes attribute) (pyqstrat.plot.SurfacePlotAttributes attribute) MarketOrder (class in pyqstrat.pq_types) max_level (pyqstrat.plot.ContourPlotAttributes attribute) MeanWithCI (class in pyqstrat.interactive_plot) metric() (pyqstrat.evaluator.Evaluator method) metrics() (pyqstrat.evaluator.Evaluator method) mid() (pyqstrat.pq_types.Price method)

millis_since_epoch() (in module pyqstrat.pq_utils) min_level (pyqstrat.plot.ContourPlotAttributes attribute) module pyqstrat pyqstrat.account pyqstrat.evaluator pyqstrat.holiday_calendars pyqstrat.interactive_plot pyqstrat.markets pyqstrat.optimize pyqstrat.plot pyqstrat.portfolio pyqstrat.pq_io pyqstrat.pq_types pyqstrat.pq_utils pyqstrat.pyqstrat_cpp pyqstrat.pyqstrat_io pyqstrat.strategy monotonically_increasing() (in module pyqstrat.pq_utils) multiplier (pyqstrat.pq_types.Contract attribute)

N

name (pyqstrat.plot.BucketedValues attribute) (pyqstrat.plot.PlotData attribute) (pyqstrat.plot.TimeSeries attribute) (pyqstrat.plot.TradeBarSeries attribute) (pyqstrat.plot.TradeSet attribute) (pyqstrat.plot.XYData attribute) (pyqstrat.plot.XYZData attribute) (pyqstrat.pq_types.ContractGroup attribute) nan_to_zero() (in module pyqstrat.pq_utils) negative_color (pyqstrat.plot.FilledLinePlotAttributes attribute) net_pnl (pyqstrat.pq_types.RoundTripTrade attribute) net_pnl() (pyqstrat.account.ContractPNL method)

NONE (pyqstrat.pq_types.ReasonCode attribute) notched (pyqstrat.plot.BoxPlotAttributes attribute) np_arrays_to_hdf5() (in module pyqstrat.pq_io) np_bucket() (in module pyqstrat.pq_utils) np_find_closest() (in module pyqstrat.pq_utils) np_get_index() (in module pyqstrat.pq_utils) np_inc_dates() (in module pyqstrat.pq_utils) np_parse_array() (in module pyqstrat.pq_utils) np_rolling_window() (in module pyqstrat.pq_utils) np_round() (in module pyqstrat.pq_utils) np_uniques() (in module pyqstrat.pq_utils) num_trading_days() (pyqstrat.holiday_calendars.Calendar method) NYSE (pyqstrat.holiday_calendars.Calendar attribute)

O

on_widgets_updated() (in module pyqstrat.interactive_plot) OPEN (pyqstrat.pq_types.OrderStatus attribute) Optimizer (class in pyqstrat.optimize)

Order (class in pyqstrat.pq_types) orders() (pyqstrat.strategy.Strategy method) OrderStatus (class in pyqstrat.pq_types)

P

parse_datetimes() (in module pyqstrat.pyqstrat_io) Paths (class in pyqstrat.pq_utils) percentile_buckets() (in module pyqstrat.interactive_plot) percentile_of_score() (in module pyqstrat.pq_utils) Plot (class in pyqstrat.plot) plot() (pyqstrat.portfolio.Portfolio method) (pyqstrat.strategy.Strategy method) plot_2d() (pyqstrat.optimize.Optimizer method) plot_3d() (pyqstrat.optimize.Optimizer method) plot_return_metrics() (in module pyqstrat.evaluator) plot_returns() (pyqstrat.strategy.Strategy method) PlotData (class in pyqstrat.plot) pnl() (pyqstrat.account.ContractPNL method) Portfolio (class in pyqstrat.portfolio) position() (pyqstrat.account.Account method) (pyqstrat.account.ContractPNL method) positions() (pyqstrat.account.Account method) positive_color (pyqstrat.plot.FilledLinePlotAttributes attribute) PQException Price (class in pyqstrat.pq_types) properties (pyqstrat.pq_types.Contract attribute) (pyqstrat.pq_types.Price attribute) proportional_widths (pyqstrat.plot.BoxPlotAttributes attribute) pyqstrat module pyqstrat.account module

pyqstrat.evaluator module pyqstrat.holiday_calendars module pyqstrat.interactive_plot module pyqstrat.markets module pyqstrat.optimize module pyqstrat.plot module pyqstrat.portfolio module pyqstrat.pq_io module pyqstrat.pq_types module pyqstrat.pq_utils module pyqstrat.pyqstrat_cpp module pyqstrat.pyqstrat_io module pyqstrat.strategy module

Q

qty (pyqstrat.pq_types.RoundTripTrade attribute)

R

read_file() (in module pyqstrat.pyqstrat_io) read_holidays() (in module pyqstrat.holiday_calendars) ReasonCode (class in pyqstrat.pq_types) reindex() (pyqstrat.plot.TimePlotData method) (pyqstrat.plot.TimeSeries method) (pyqstrat.plot.TradeBarSeries method) (pyqstrat.plot.TradeSet method) remove_dups() (in module pyqstrat.pq_utils) resample_trade_bars() (in module pyqstrat.pq_utils) resample_ts() (in module pyqstrat.pq_utils) resample_vwap() (in module pyqstrat.pq_utils) rho() (in module pyqstrat.pyqstrat_cpp) ROLL_FUTURE (pyqstrat.pq_types.ReasonCode attribute)

RollOrder (class in pyqstrat.pq_types) roundtrip_trades() (pyqstrat.account.Account method) (pyqstrat.strategy.Strategy method) RoundTripTrade (class in pyqstrat.pq_types) run() (pyqstrat.optimize.Optimizer method) (pyqstrat.portfolio.Portfolio method) (pyqstrat.strategy.Strategy method) run_indicators() (pyqstrat.portfolio.Portfolio method) (pyqstrat.strategy.Strategy method) run_rules() (pyqstrat.portfolio.Portfolio method) (pyqstrat.strategy.Strategy method) run_signals() (pyqstrat.portfolio.Portfolio method) (pyqstrat.strategy.Strategy method)

S

ScatterPlotAttributes (class in pyqstrat.plot) secondary_y (pyqstrat.interactive_plot.LineConfig attribute) series_to_array() (in module pyqstrat.pq_utils) set_defaults() (in module pyqstrat.pq_utils) set_ipython_defaults() (in module pyqstrat.pq_utils) set_property() (pyqstrat.pq_types.Price method) shift_np() (in module pyqstrat.pq_utils) show_all (pyqstrat.plot.BoxPlotAttributes attribute) show_detail (pyqstrat.interactive_plot.LineConfig attribute) show_means (pyqstrat.plot.BoxPlotAttributes attribute) show_outliers (pyqstrat.plot.BoxPlotAttributes attribute) simple_data_filter() (in module pyqstrat.interactive_plot)

simple_dimension_filter() (in module pyqstrat.interactive_plot) SimpleDetailTable (class in pyqstrat.interactive_plot) SimpleTransform (class in pyqstrat.interactive_plot) spread() (pyqstrat.pq_types.Price method) StopLimitOrder (class in pyqstrat.pq_types) str2date() (in module pyqstrat.pq_utils) Strategy (class in pyqstrat.strategy) strtup2date() (in module pyqstrat.pq_utils) Subplot (class in pyqstrat.plot) SurfacePlotAttributes (class in pyqstrat.plot) symbol (pyqstrat.pq_types.Contract attribute) symbols() (pyqstrat.account.Account method)

T

test_account() (in module pyqstrat.account) test_evaluator() (in module pyqstrat.evaluator) test_hdf5_to_df() (in module pyqstrat.pq_io) test_interactive_plot() (pyqstrat.interactive_plot.TestInteractivePlot method) test_optimize() (in module pyqstrat.optimize) test_plot() (in module pyqstrat.plot) test_strategy() (in module pyqstrat.strategy) test_strategy_2() (in module pyqstrat.strategy) TestInteractivePlot (class in pyqstrat.interactive_plot) theta() (in module pyqstrat.pyqstrat_cpp) thickness (pyqstrat.interactive_plot.LineConfig attribute) third_friday_of_month() (pyqstrat.holiday_calendars.Calendar method) TimePlotData (class in pyqstrat.plot) TimeSeries (class in pyqstrat.plot)

timestamp (pyqstrat.pq_types.Price attribute) timestamps (pyqstrat.plot.TimePlotData attribute) (pyqstrat.plot.TimeSeries attribute) (pyqstrat.plot.TradeBarSeries attribute) (pyqstrat.plot.TradeSet attribute) to_csv() (in module pyqstrat.pq_utils) touch() (in module pyqstrat.pq_utils) Trade (class in pyqstrat.pq_types) trade_sets_by_reason_code() (in module pyqstrat.plot) TradeBarSeries (class in pyqstrat.plot) trades() (pyqstrat.account.Account method) (pyqstrat.strategy.Strategy method) TradeSet (class in pyqstrat.plot) transform() (pyqstrat.interactive_plot.TestInteractivePlot method)

U

update() (pyqstrat.interactive_plot.InteractivePlot method)

V

valid (pyqstrat.pq_types.Price attribute) valid() (pyqstrat.optimize.Experiment method)

vega() (in module pyqstrat.pyqstrat_cpp) VerticalLine (class in pyqstrat.plot) vw_mid() (pyqstrat.pq_types.Price method)

X

XYData (class in pyqstrat.plot)

XYZData (class in pyqstrat.plot)

Z

zero_to_nan() (in module pyqstrat.pq_utils)