Index A | B | C | D | E | F | G | H | I | K | L | M | P | R | S | T | V | W | Z A adf_statistic() (spreadpy.spread.spreadSeries.SpreadSeries method) align() (spreadpy.data.priceTimeSeries.PriceTimeSeries method) annualised_return() (spreadpy.backtest.metrics.RiskMetrics method) apply() (spreadpy.backtest.costs.TransactionCosts method) avg_drawdown() (spreadpy.backtest.metrics.RiskMetrics method) B BacktestEngine (class in spreadpy.backtest.engine) BacktestResult (class in spreadpy.backtest.result) C calmar() (spreadpy.backtest.metrics.RiskMetrics method) compute_spread() (spreadpy.spread.hedgeRatioEstimator.HedgeRatioEstimator method) conditional_drawdown() (spreadpy.backtest.metrics.RiskMetrics method) ConstantOLS (class in spreadpy.spread.hedgeRatio.constantOLS) current_equity (spreadpy.backtest.portfolio.Portfolio property) D DataLoader (class in spreadpy.data.dataLoader) Direction (class in spreadpy.signal.signal) drawdown_series() (spreadpy.backtest.metrics.RiskMetrics method) E equity_curve() (spreadpy.backtest.portfolio.Portfolio method) F fill() (spreadpy.backtest.portfolio.Portfolio method) fit() (spreadpy.signal.rollingADFFilter.RollingADFFilter method) (spreadpy.signal.signal.SignalGenerator method) (spreadpy.signal.zScoreSignal.ZScoreSignal method) (spreadpy.sizing.positionSizer.PositionSizer method) (spreadpy.sizing.sizers.inverseVolSizer.InverseVolSizer method) (spreadpy.spread.hedgeRatio.constantOLS.ConstantOLS method) (spreadpy.spread.hedgeRatio.kalmanFilter.KalmanFilter method) (spreadpy.spread.hedgeRatio.kalmanFilterWithVelocity.KalmanFilterWithVelocity method) (spreadpy.spread.hedgeRatio.rollingOLS.RollingOLS method) (spreadpy.spread.hedgeRatioEstimator.HedgeRatioEstimator method) G generate() (spreadpy.signal.rollingADFFilter.RollingADFFilter method) (spreadpy.signal.signal.SignalGenerator method) (spreadpy.signal.zScoreSignal.ZScoreSignal method) H half_life() (spreadpy.spread.spreadSeries.SpreadSeries method) HedgeRatioEstimator (class in spreadpy.spread.hedgeRatioEstimator) I InverseVolSizer (class in spreadpy.sizing.sizers.inverseVolSizer) K KalmanFilter (class in spreadpy.spread.hedgeRatio.kalmanFilter) KalmanFilterParams (class in spreadpy.spread.hedgeRatio.kalmanFilter) KalmanFilterWithVelocity (class in spreadpy.spread.hedgeRatio.kalmanFilterWithVelocity) KalmanFilterWithVelocityParams (class in spreadpy.spread.hedgeRatio.kalmanFilterWithVelocity) KellyTruncatedBoth (class in spreadpy.sizing.sizers.kellySizers) KellyTruncatedEntry (class in spreadpy.sizing.sizers.kellySizers) KellyTruncatedExit (class in spreadpy.sizing.sizers.kellySizers) L LinearSizer (class in spreadpy.sizing.sizers.linearSizer) load() (spreadpy.data.dataLoader.DataLoader method) load_from_dataframe() (spreadpy.data.dataLoader.DataLoader method) load_from_series() (spreadpy.data.dataLoader.DataLoader method) load_pair() (spreadpy.data.dataLoader.DataLoader method) log_returns() (spreadpy.data.priceTimeSeries.PriceTimeSeries method) M mark() (spreadpy.backtest.portfolio.Portfolio method) max_drawdown() (spreadpy.backtest.metrics.RiskMetrics method) P PairFinder (class in spreadpy.research.pairFinder) Portfolio (class in spreadpy.backtest.portfolio) PositionSizer (class in spreadpy.sizing.positionSizer) PriceTimeSeries (class in spreadpy.data.priceTimeSeries) print_summary() (spreadpy.backtest.result.BacktestResult method) profit_factor() (spreadpy.backtest.metrics.RiskMetrics method) R resample() (spreadpy.data.priceTimeSeries.PriceTimeSeries method) reset() (spreadpy.backtest.portfolio.Portfolio method) returns() (spreadpy.data.priceTimeSeries.PriceTimeSeries method) RiskMetrics (class in spreadpy.backtest.metrics) rolling_adf() (spreadpy.spread.spreadSeries.SpreadSeries method) rolling_zscore() (spreadpy.spread.spreadSeries.SpreadSeries method) RollingADFFilter (class in spreadpy.signal.rollingADFFilter) RollingOLS (class in spreadpy.spread.hedgeRatio.rollingOLS) run() (spreadpy.backtest.engine.BacktestEngine method) S scan() (spreadpy.research.pairFinder.PairFinder method) sharpe() (spreadpy.backtest.metrics.RiskMetrics method) Signal (class in spreadpy.signal.signal) SignalGenerator (class in spreadpy.signal.signal) size() (spreadpy.sizing.positionSizer.PositionSizer method) (spreadpy.sizing.sizers.inverseVolSizer.InverseVolSizer method) (spreadpy.sizing.sizers.kellySizers.KellyTruncatedBoth method) (spreadpy.sizing.sizers.kellySizers.KellyTruncatedEntry method) (spreadpy.sizing.sizers.kellySizers.KellyTruncatedExit method) (spreadpy.sizing.sizers.linearSizer.LinearSizer method) slice() (spreadpy.data.priceTimeSeries.PriceTimeSeries method) (spreadpy.spread.spreadSeries.SpreadSeries method) sortino() (spreadpy.backtest.metrics.RiskMetrics method) SpreadSeries (class in spreadpy.spread.spreadSeries) summary() (spreadpy.backtest.metrics.RiskMetrics method) summary_df() (spreadpy.backtest.result.BacktestResult method) T total_return() (spreadpy.backtest.metrics.RiskMetrics method) Trade (class in spreadpy.backtest.portfolio) TransactionCosts (class in spreadpy.backtest.costs) turnover() (spreadpy.backtest.metrics.RiskMetrics method) V validate() (spreadpy.data.dataLoader.DataLoader method) volatility() (spreadpy.backtest.metrics.RiskMetrics method) W win_rate() (spreadpy.backtest.metrics.RiskMetrics method) Z ZScoreSignal (class in spreadpy.signal.zScoreSignal)
