API documentation

• Simulator
  • MarketSimulator
    • MarketSimulator.backtest()
    • MarketSimulator.run_backtest()
    • MarketSimulator.backtest_many()
    • MarketSimulator.run_multiple_backtest()
    • MarketSimulator.optimize_hyperparameters()
  • StockMarketSimulator
    • StockMarketSimulator.backtest()
    • StockMarketSimulator.run_backtest()
    • StockMarketSimulator.backtest_many()
    • StockMarketSimulator.run_multiple_backtest()
    • StockMarketSimulator.optimize_hyperparameters()
• Trading policies
  • Simple policies
    • AdaptiveRebalance
      • AdaptiveRebalance.execute()
    • Hold
      • Hold.execute()
    • AllCash
      • AllCash.execute()
    • FixedTrades
      • FixedTrades.execute()
    • FixedWeights
      • FixedWeights.execute()
    • MarketBenchmark
      • MarketBenchmark.execute()
    • PeriodicRebalance
      • PeriodicRebalance.execute()
    • ProportionalRebalance
      • ProportionalRebalance.execute()
    • ProportionalTradeToTargets
      • ProportionalTradeToTargets.execute()
    • RankAndLongShort
      • RankAndLongShort.execute()
    • Uniform
      • Uniform.execute()
    • SellAll
  • Optimization-based policies
    • SinglePeriodOptimization
      • SinglePeriodOptimization.execute()
    • MultiPeriodOptimization
      • MultiPeriodOptimization.execute()
    • SinglePeriodOpt
    • MultiPeriodOpt
  • Base policy class (for defining your own policy)
    • Policy
• Objective terms
  • Return models
    • ReturnsForecast
    • CashReturn
  • Risk models
    • DiagonalCovariance
    • FullCovariance
    • FactorModelCovariance
    • WorstCaseRisk
    • FullSigma
    • FactorModel
  • Forecast error models
    • ReturnsForecastError
    • RiskForecastError
  • Other
    • AnnualizedVolatility
  • Cost models
    • Costs Documentation
      • HoldingCost
      • StocksHoldingCost
      • TransactionCost
      • StocksTransactionCost
      • SoftConstraint
      • TcostModel
      • HcostModel
      • Base classes (for defining your costs)
        • Cost
        • SimulatorCost
          • SimulatorCost.simulate()
• Constraints
  • DollarNeutral
  • MarketNeutral
  • FactorMaxLimit
  • FactorMinLimit
  • FactorGrossLimit
  • FactorNeutral
  • FixedFactorLoading
  • LeverageLimit
  • LongCash
  • LongOnly
  • MaxWeights
  • MinWeights
  • MaxHoldings
  • MinHoldings
  • MaxTradeWeights
  • MinTradeWeights
  • MaxTrades
  • MinTrades
  • MaxBenchmarkDeviation
  • MinBenchmarkDeviation
  • ParticipationRateLimit
  • TurnoverLimit
  • FixedImbalance
  • NoCash
  • Soft constraints
  • Cost inequality as constraint
  • Base classes (for extending Cvxportfolio)
    • Constraint
    • EqualityConstraint
    • InequalityConstraint
• Back-test result
  • BacktestResult
    • BacktestResult.plot()
    • BacktestResult.times_plot()
    • BacktestResult.logs
    • BacktestResult.cash_key
    • BacktestResult.periods_per_year
    • BacktestResult.v
    • BacktestResult.profit
    • BacktestResult.w
    • BacktestResult.h_plus
    • BacktestResult.w_plus
    • BacktestResult.leverage
    • BacktestResult.turnover
    • BacktestResult.returns
    • BacktestResult.average_return
    • BacktestResult.annualized_average_return
    • BacktestResult.growth_rates
    • BacktestResult.average_growth_rate
    • BacktestResult.annualized_average_growth_rate
    • BacktestResult.volatility
    • BacktestResult.annualized_volatility
    • BacktestResult.quadratic_risk
    • BacktestResult.annualized_quadratic_risk
    • BacktestResult.excess_returns
    • BacktestResult.excess_volatility
    • BacktestResult.average_excess_return
    • BacktestResult.annualized_average_excess_return
    • BacktestResult.annualized_excess_volatility
    • BacktestResult.active_returns
    • BacktestResult.active_volatility
    • BacktestResult.average_active_return
    • BacktestResult.annualized_average_active_return
    • BacktestResult.annualized_active_volatility
    • BacktestResult.sharpe_ratio
    • BacktestResult.information_ratio
    • BacktestResult.excess_growth_rates
    • BacktestResult.average_excess_growth_rate
    • BacktestResult.annualized_average_excess_growth_rate
    • BacktestResult.active_growth_rates
    • BacktestResult.average_active_growth_rate
    • BacktestResult.annualized_average_active_growth_rate
    • BacktestResult.drawdown
    • BacktestResult.policy_times
    • BacktestResult.simulator_times
    • BacktestResult.market_data_times
    • BacktestResult.result_times
  • Interface methods with the market simulator
    • BacktestResult.log_trading()
    • BacktestResult.log_final()
• Data Interfaces
  • Single-symbol data download and storage
    • YahooFinance
    • Fred
  • Market data servers
    • UserProvidedMarketData
      • UserProvidedMarketData.serve()
      • UserProvidedMarketData.trading_calendar()
    • DownloadedMarketData
      • DownloadedMarketData.serve()
      • DownloadedMarketData.trading_calendar()
  • Base classes (for using other data sources)
    • SymbolData
    • MarketData
      • MarketData.serve()
      • MarketData.universe_at_time()
      • MarketData.trading_calendar()
      • MarketData.periods_per_year
      • MarketData.full_universe
      • MarketData.partial_universe_signature()
• Internal Objects and Interfaces
  • Forecasters
    • How to use them
    • Forecasters Documentation
      • HistoricalMeanReturn
        • HistoricalMeanReturn.estimate()
      • HistoricalMeanVolume
        • HistoricalMeanVolume.estimate()
      • HistoricalVariance
        • HistoricalVariance.estimate()
      • HistoricalStandardDeviation
        • HistoricalStandardDeviation.estimate()
      • HistoricalMeanError
        • HistoricalMeanError.estimate()
      • HistoricalFactorizedCovariance
        • HistoricalFactorizedCovariance.estimate()
      • HistoricalLowRankCovarianceSVD
        • HistoricalLowRankCovarianceSVD.estimate()
    • Base forecaster classes
      • BaseForecast
  • Estimators
    • Estimator
      • Estimator.initialize_estimator()
      • Estimator.initialize_estimator_recursive()
      • Estimator.values_in_time()
      • Estimator.values_in_time_recursive()
      • Estimator.finalize_estimator()
      • Estimator.finalize_estimator_recursive()
    • SimulatorEstimator
      • SimulatorEstimator.simulate()
      • SimulatorEstimator.simulate_recursive()
    • CvxpyExpressionEstimator
      • CvxpyExpressionEstimator.compile_to_cvxpy()
    • DataEstimator