Index

_

__call__() (Indicator method) (IndicatorSet method) (ModelLoader method) (ModelTrainer method)

_fetch_data() (DataSource method)

A

add() (IndicatorSet method) (PendingOrderScope method) add_execution() (Strategy method) ADJ_CLOSE (YFinance attribute), [1] adjust (DataSourceCacheKey attribute) adx() (in module pybroker.indicator) (in module pybroker.vect) agg_pnl (Trade attribute) AKShare (class in pybroker.ext.data) all_data_cols (StaticScope property) Alpaca (class in pybroker.data) AlpacaCrypto (class in pybroker.data) annual_return_pct (EvalMetrics attribute) annual_std_error (EvalMetrics attribute) annual_total_return_percent() (in module pybroker.eval) annual_volatility_pct (EvalMetrics attribute) apply_slippage() (RandomSlippageModel method) (SlippageModel method)

aroon_diff() (in module pybroker.indicator) (in module pybroker.vect) aroon_down() (in module pybroker.indicator) (in module pybroker.vect) aroon_up() (in module pybroker.indicator) (in module pybroker.vect) AVERAGE (PriceType attribute), [1] avg_losing_trade_bars (EvalMetrics attribute) avg_loss (EvalMetrics attribute) avg_loss_pct (EvalMetrics attribute) avg_pnl (EvalMetrics attribute) avg_profit (EvalMetrics attribute) avg_profit_loss() (in module pybroker.eval) avg_profit_pct (EvalMetrics attribute) avg_return_pct (EvalMetrics attribute) avg_trade_bars (EvalMetrics attribute) avg_winning_trade_bars (EvalMetrics attribute)

B

backtest() (Strategy method) backtest_executions() (BacktestMixin method) backtest_executions_loading() (Logger method) backtest_executions_start() (Logger method) BacktestMixin (class in pybroker.strategy) BAR (StopType attribute), [1] bar_data (ExecSignal attribute) bar_data_from_data_columns() (ColumnScope method) BarData (class in pybroker.common) bars (Entry attribute) (ExecContext property) (Portfolio attribute) (Position attribute) (Stop attribute) (StopRecord attribute) (Trade attribute) bars_per_year (StrategyConfig attribute)

BaseContext (class in pybroker.context) bca_boot_conf() (in module pybroker.eval) between_time (CacheDateFields attribute) BootConfIntervals (class in pybroker.eval) bootstrap (EvalResult attribute) (TestResult attribute) bootstrap_sample_size (StrategyConfig attribute) bootstrap_samples (StrategyConfig attribute) BootstrapResult (class in pybroker.eval) buy() (Portfolio method) buy_delay (StrategyConfig attribute) buy_fill_price (ExecContext attribute) (ExecResult attribute) buy_limit_price (ExecContext attribute) (ExecResult attribute) buy_shares (ExecContext attribute) (ExecResult attribute)

C

CacheDateFields (class in pybroker.cache) CachedModel (class in pybroker.model) calc_bootstrap_metrics_completed() (Logger method) calc_bootstrap_metrics_start() (Logger method) calc_target_shares() (BaseContext method) (ExecContext method) calmar (EvalMetrics attribute) calmar_ratio() (in module pybroker.eval) cancel_all_pending_orders() (ExecContext method) cancel_pending_order() (ExecContext method) cancel_stop() (ExecContext method) cancel_stops() (ExecContext method) capture_bar() (Portfolio method) cash (BaseContext property) (Portfolio attribute) (PortfolioBar attribute) check_stops() (Portfolio method) clear() (IndicatorSet method) clear_caches() (in module pybroker.cache) clear_data_source_cache() (in module pybroker.cache) clear_executions() (Strategy method) clear_indicator_cache() (in module pybroker.cache) clear_model_cache() (in module pybroker.cache) CLOSE (DataCol attribute) close (ExecContext property) (Position attribute) (PositionBar attribute)

CLOSE (PriceType attribute), [1] close_minus_ma() (in module pybroker.indicator) (in module pybroker.vect) COLUMNS (AlpacaCrypto attribute) ColumnScope (class in pybroker.scope) compute_indicators() (IndicatorsMixin method) conf (ConfInterval attribute) conf_intervals (BootstrapResult attribute) conf_profit_factor() (in module pybroker.eval) conf_sharpe_ratio() (in module pybroker.eval) config (BaseContext attribute) ConfInterval (class in pybroker.eval) confs (DrawdownMetrics attribute) contains() (PendingOrderScope method) cover (ExecResult attribute), [1] cover_all_shares() (ExecContext method) cover_fill_price (ExecContext property) cover_limit_price (ExecContext property) cover_shares (ExecContext property) created (PendingOrder attribute) cross() (in module pybroker.vect) cubic_deviation() (in module pybroker.indicator) (in module pybroker.vect) cubic_trend() (in module pybroker.indicator) (in module pybroker.vect) curr_bars (StopRecord attribute) curr_value (StopRecord attribute), [1] custom_data_cols (StaticScope attribute)

D

data_source_cache (StaticScope attribute) data_source_cache_ns (StaticScope attribute) DataCol (class in pybroker.common) DataSource (class in pybroker.data) DataSourceCacheKey (class in pybroker.cache) DataSourceCacheMixin (class in pybroker.data) DATE (DataCol attribute) date (Entry attribute) (ExecResult attribute) (Order attribute) (PortfolioBar attribute) (PositionBar attribute) (StopRecord attribute) Day (class in pybroker.common) days (CacheDateFields attribute) debug_buy_shares_exceed_cash() (Logger method) debug_clear_data_source_cache() (Logger method) debug_clear_indicator_cache() (Logger method) debug_clear_model_cache() (Logger method) debug_compute_indicators() (Logger method) debug_disable_data_source_cache() (Logger method) debug_disable_indicator_cache() (Logger method) debug_disable_model_cache() (Logger method) debug_enable_data_source_cache() (Logger method) debug_enable_indicator_cache() (Logger method) debug_enable_model_cache() (Logger method) debug_filled_buy_order() (Logger method) debug_filled_sell_order() (Logger method) debug_get_data_source_cache() (Logger method) debug_get_indicator_cache() (Logger method)

debug_get_model_cache() (Logger method) debug_place_buy_order() (Logger method) debug_place_sell_order() (Logger method) debug_schedule_order() (Logger method) debug_set_data_source_cache() (Logger method) debug_set_indicator_cache() (Logger method) debug_set_model_cache() (Logger method) debug_unfilled_buy_order() (Logger method) debug_unfilled_sell_order() (Logger method) debug_unscheduled_order() (Logger method) default_data_cols (StaticScope attribute) default_parallel() (in module pybroker.common) delta_on_balance_volume() (in module pybroker.indicator) (in module pybroker.vect) detrended_rsi() (in module pybroker.indicator) (in module pybroker.vect) disable() (Logger method) disable_caches() (in module pybroker.cache) disable_data_source_cache() (in module pybroker.cache) disable_indicator_cache() (in module pybroker.cache) disable_logging() (in module pybroker.scope) disable_model_cache() (in module pybroker.cache) disable_progress_bar() (in module pybroker.scope) (Logger method) download_bar_data_completed() (Logger method) download_bar_data_start() (Logger method) drawdown (BootstrapResult attribute) drawdown_conf (BootstrapResult attribute) DrawdownConfs (class in pybroker.eval) DrawdownMetrics (class in pybroker.eval) dt (ExecContext property)

E

enable() (Logger method) enable_caches() (in module pybroker.cache) enable_data_source_cache() (in module pybroker.cache) enable_fractional_shares (Portfolio attribute) (StrategyConfig attribute) enable_indicator_cache() (in module pybroker.cache) enable_logging() (in module pybroker.scope) enable_model_cache() (in module pybroker.cache) enable_progress_bar() (in module pybroker.scope) (Logger method) end_date (CacheDateFields attribute) (TestResult attribute) end_market_value (EvalMetrics attribute) entries (Position attribute) Entry (class in pybroker.portfolio) entry (Trade attribute) entry_date (Trade attribute) equity (Portfolio attribute) (PortfolioBar attribute) (Position attribute) (PositionBar attribute)

equity_r2 (EvalMetrics attribute) EvalMetrics (class in pybroker.eval) EvalResult (class in pybroker.eval) evaluate() (EvaluateMixin method) EvaluateMixin (class in pybroker.eval) exec_date (PendingOrder attribute) ExecContext (class in pybroker.context) ExecResult (class in pybroker.context) ExecSignal (class in pybroker.context) Execution (class in pybroker.strategy) exit (Trade attribute) exit_cover_fill_price (StrategyConfig attribute) exit_date (Trade attribute) exit_on_last_bar (StrategyConfig attribute) exit_position() (Portfolio method) exit_price (Stop attribute) (StopRecord attribute) exit_sell_fill_price (StrategyConfig attribute)

F

fee_amount (Portfolio attribute) (StrategyConfig attribute) fee_mode (StrategyConfig attribute) FeeInfo (class in pybroker.common) FeeMode (class in pybroker.common) fees (Order attribute) (Portfolio attribute) (PortfolioBar attribute) fetch() (ColumnScope method) (IndicatorScope method) (ModelInputScope method) (PredictionScope method) (PriceScope method)

fetch_dict() (ColumnScope method) fill_price (FeeInfo attribute) (Order attribute) (PendingOrder attribute) (Stop attribute) (StopRecord attribute) fn (Execution attribute) foreign() (ExecContext method) freeze_data_cols() (StaticScope method) FRI (Day attribute)

G

get_cached() (DataSourceCacheMixin method) get_indicator() (StaticScope method) get_indicator_names() (StaticScope method)

get_model_source() (StaticScope method) get_signals() (in module pybroker.scope) get_unique_sorted_dates() (in module pybroker.common)

H

has_indicator() (StaticScope method) has_model_source() (StaticScope method) HIGH (DataCol attribute) high (ExecContext property) HIGH (PriceType attribute), [1] high_10 (BootConfIntervals attribute)

high_2p5 (BootConfIntervals attribute) high_5 (BootConfIntervals attribute) highest() (in module pybroker.indicator) highv() (in module pybroker.vect) hold_bars (ExecContext attribute) (ExecResult attribute)

I

id (Entry attribute) (ExecSignal attribute) (Execution attribute) (Order attribute) (PendingOrder attribute) (Stop attribute) (Trade attribute) incr_bars() (Portfolio method) ind_name (IndicatorCacheKey attribute) (IndicatorSymbol attribute) Indicator (class in pybroker.indicator) indicator() (BaseContext method) (ExecContext method) (in module pybroker.indicator) indicator_cache (StaticScope attribute) indicator_cache_ns (StaticScope attribute) indicator_data_loading() (Logger method) indicator_data_start() (Logger method) indicator_names (Execution attribute) IndicatorCacheKey (class in pybroker.cache) IndicatorScope (class in pybroker.scope) IndicatorSet (class in pybroker.indicator) IndicatorsMixin (class in pybroker.indicator) IndicatorSymbol (class in pybroker.common)

info_download_bar_data_start() (Logger method) info_indicator_data_start() (Logger method) info_invalidate_data_source_cache() (Logger method) info_loaded_bar_data() (Logger method) info_loaded_indicator_data() (Logger method) info_loaded_model() (Logger method) info_loaded_models() (Logger method) info_train_model_completed() (Logger method) info_train_model_start() (Logger method) info_train_split_start() (Logger method) info_walkforward_between_time() (Logger method) info_walkforward_on_days() (Logger method) initial_cash (StrategyConfig attribute) initial_market_value (EvalMetrics attribute) input() (BaseContext method) (ExecContext method) input_cols (CachedModel attribute), [1] (TrainedModel attribute), [1] instance (TrainedModel attribute) instance() (StaticScope class method) intraday_intensity() (in module pybroker.indicator) (in module pybroker.vect) inverse_normal_cdf() (in module pybroker.vect) iqr() (in module pybroker.eval) (Indicator method)

L

laguerre_rsi() (in module pybroker.indicator) (in module pybroker.vect) largest_loss (EvalMetrics attribute) largest_loss_bars (EvalMetrics attribute) largest_loss_pct (EvalMetrics attribute) largest_win (EvalMetrics attribute) largest_win_bars (EvalMetrics attribute) largest_win_loss() (in module pybroker.eval) largest_win_pct (EvalMetrics attribute) limit_price (Order attribute) (PendingOrder attribute) (Stop attribute) (StopRecord attribute) linear_deviation() (in module pybroker.indicator) (in module pybroker.vect) linear_trend() (in module pybroker.indicator) (in module pybroker.vect) loaded_bar_data() (Logger method) loaded_indicator_data() (Logger method) loaded_models() (Logger method) log_profit_factor() (in module pybroker.eval)

Logger (class in pybroker.log) logger (StaticScope attribute) long_pos() (ExecContext method) long_positions (Portfolio attribute) long_positions() (BaseContext method) long_shares (PositionBar attribute) long_stops (ExecResult attribute), [1] losing_trades (EvalMetrics attribute) LOSS (StopType attribute), [1] loss_rate (BaseContext property) (EvalMetrics attribute) (Portfolio attribute) LOW (DataCol attribute) low (ExecContext property) LOW (PriceType attribute), [1] low_10 (BootConfIntervals attribute) low_2p5 (BootConfIntervals attribute) low_5 (BootConfIntervals attribute) lower (ConfInterval attribute) lowest() (in module pybroker.indicator) lowv() (in module pybroker.vect)

M

macd() (in module pybroker.indicator) (in module pybroker.vect) mae (Entry attribute), [1] (Trade attribute), [1] margin (Portfolio attribute) (PortfolioBar attribute) (Position attribute) (PositionBar attribute) market_value (Portfolio attribute) (PortfolioBar attribute) (Position attribute) (PositionBar attribute) max_drawdown (EvalMetrics attribute) max_drawdown_pct (EvalMetrics attribute) max_drawdown_percent() (in module pybroker.eval) max_long_positions (StrategyConfig attribute) max_losses (EvalMetrics attribute) max_short_positions (StrategyConfig attribute) max_wins (EvalMetrics attribute) max_wins_losses() (in module pybroker.eval) metrics (EvalResult attribute) (TestResult attribute) metrics_df (TestResult attribute) mfe (Entry attribute), [1] (Trade attribute), [1] MIDDLE (PriceType attribute), [1] model (CachedModel attribute), [1] model() (BaseContext method) (ExecContext method) (in module pybroker.model) model_cache (StaticScope attribute)

model_cache_ns (StaticScope attribute) model_name (ModelCacheKey attribute) (ModelSymbol attribute) model_names (Execution attribute) ModelCacheKey (class in pybroker.cache) ModelInputScope (class in pybroker.scope) ModelLoader (class in pybroker.model) ModelsMixin (class in pybroker.model) ModelSource (class in pybroker.model) ModelSymbol (class in pybroker.common) ModelTrainer (class in pybroker.model) module pybroker pybroker.cache pybroker.common pybroker.config pybroker.context pybroker.data pybroker.eval pybroker.ext.data pybroker.indicator pybroker.log pybroker.model pybroker.portfolio pybroker.scope pybroker.slippage pybroker.strategy pybroker.vect MON (Day attribute) money_flow() (in module pybroker.indicator) (in module pybroker.vect)

N

name (ConfInterval attribute) (TrainedModel attribute) normal_cdf() (in module pybroker.vect) normalized_negative_volume_index() (in module pybroker.indicator) (in module pybroker.vect)

normalized_on_balance_volume() (in module pybroker.indicator) (in module pybroker.vect) normalized_positive_volume_index() (in module pybroker.indicator) (in module pybroker.vect)

O

OPEN (DataCol attribute) open (ExecContext property) OPEN (PriceType attribute), [1] Order (class in pybroker.portfolio) ORDER_PERCENT (FeeMode attribute), [1]

order_type (FeeInfo attribute) orders (Portfolio attribute) (TestResult attribute) orders() (BaseContext method) (PendingOrderScope method)

P

param() (in module pybroker.scope) (StaticScope method) parse_timeframe() (in module pybroker.common) pct_confs (DrawdownMetrics attribute) pending_order_id (ExecResult attribute), [1] pending_orders() (BaseContext method) PendingOrder (class in pybroker.scope) PendingOrderScope (class in pybroker.scope) PER_ORDER (FeeMode attribute), [1] PER_SHARE (FeeMode attribute), [1] percent (Stop attribute) (StopRecord attribute) pnl (Portfolio attribute) (PortfolioBar attribute) (Position attribute) (Trade attribute) pnl_per_bar (Trade attribute) points (Stop attribute) (StopRecord attribute) Portfolio (class in pybroker.portfolio) portfolio (TestResult attribute) PortfolioBar (class in pybroker.portfolio) pos() (BaseContext method) pos_type (Stop attribute) (StopRecord attribute) Position (class in pybroker.portfolio) position_bars (Portfolio attribute) PositionBar (class in pybroker.portfolio) positions (TestResult attribute) positions() (BaseContext method) PosSizeContext (class in pybroker.context) predict_fn (TrainedModel attribute) PredictionScope (class in pybroker.scope) preds() (BaseContext method) (ExecContext method) prepare_input_data() (ModelSource method) price (Entry attribute) price_change_oscillator() (in module pybroker.indicator) (in module pybroker.vect) price_intensity() (in module pybroker.indicator) (in module pybroker.vect)

price_volume_fit() (in module pybroker.indicator) (in module pybroker.vect) PriceScope (class in pybroker.scope) PriceType (class in pybroker.common) PROFIT (StopType attribute), [1] profit_factor (BootstrapResult attribute) (EvalMetrics attribute) pybroker module pybroker.cache module pybroker.common module pybroker.config module pybroker.context module pybroker.data module pybroker.eval module pybroker.ext.data module pybroker.indicator module pybroker.log module pybroker.model module pybroker.portfolio module pybroker.scope module pybroker.slippage module pybroker.strategy module pybroker.vect module

Q

q_001 (DrawdownConfs attribute) q_01 (DrawdownConfs attribute) q_05 (DrawdownConfs attribute) q_10 (DrawdownConfs attribute) quadratic_deviation() (in module pybroker.indicator) (in module pybroker.vect)

quadratic_trend() (in module pybroker.indicator) (in module pybroker.vect) quantize() (in module pybroker.common) query() (Alpaca method) (AlpacaCrypto method) (DataSource method) (YFinance method)

R

r_squared() (in module pybroker.eval) RandomSlippageModel (class in pybroker.slippage) reactivity() (in module pybroker.indicator) (in module pybroker.vect) register_columns() (in module pybroker.scope) register_custom_cols() (StaticScope method) relative_entropy() (in module pybroker.eval) (Indicator method) remove() (IndicatorSet method) (PendingOrderScope method)

remove_all() (PendingOrderScope method) remove_stop() (Portfolio method) remove_stops() (Portfolio method) return_pct (Trade attribute) return_signals (StrategyConfig attribute) return_stops (StrategyConfig attribute) returns() (in module pybroker.indicator) returnv() (in module pybroker.vect) round_fill_price (StrategyConfig attribute) round_test_result (StrategyConfig attribute)

S

SAT (Day attribute) score (ExecContext attribute) (ExecResult attribute) (ExecSignal attribute) sell() (Portfolio method) sell_all_shares() (ExecContext method) sell_delay (StrategyConfig attribute) sell_fill_price (ExecContext attribute) (ExecResult attribute) sell_limit_price (ExecContext attribute) (ExecResult attribute) sell_shares (ExecContext attribute) (ExecResult attribute) session (ExecContext attribute) sessions (PosSizeContext attribute) set_after_exec() (Strategy method) set_before_exec() (Strategy method) set_cached() (DataSourceCacheMixin method) set_exec_ctx_data() (in module pybroker.context) set_indicator() (StaticScope method) set_model_source() (StaticScope method) set_pos_size_ctx_data() (in module pybroker.context) set_pos_size_handler() (Strategy method) set_shares() (PosSizeContext method) set_slippage_model() (Strategy method) shares (Entry attribute) (ExecSignal attribute) (FeeInfo attribute) (Order attribute) (PendingOrder attribute) (Position attribute) (Trade attribute) sharpe (BootstrapResult attribute) (EvalMetrics attribute) sharpe_ratio() (in module pybroker.eval) short_pos() (ExecContext method) short_positions (Portfolio attribute) short_positions() (BaseContext method) short_shares (PositionBar attribute) short_stops (ExecResult attribute), [1] signals (TestResult attribute) signals() (PosSizeContext method) SlippageModel (class in pybroker.slippage) sortino (EvalMetrics attribute) sortino_ratio() (in module pybroker.eval) start_date (CacheDateFields attribute) (TestResult attribute) StaticScope (class in pybroker.scope) std_error (EvalMetrics attribute) stochastic() (in module pybroker.indicator) (in module pybroker.vect)

stochastic_rsi() (in module pybroker.indicator) (in module pybroker.vect) Stop (class in pybroker.portfolio) stop (Trade attribute) stop_id (StopRecord attribute) stop_loss (ExecContext attribute) stop_loss_exit_price (ExecContext attribute) stop_loss_limit (ExecContext attribute) stop_loss_pct (ExecContext attribute) stop_profit (ExecContext attribute) stop_profit_exit_price (ExecContext attribute) stop_profit_limit (ExecContext attribute) stop_profit_pct (ExecContext attribute) stop_trailing (ExecContext attribute) stop_trailing_exit_price (ExecContext attribute) stop_trailing_limit (ExecContext attribute) stop_trailing_pct (ExecContext attribute) stop_type (Stop attribute), [1] (StopRecord attribute), [1] StopRecord (class in pybroker.portfolio) stops (Entry attribute) (TestResult attribute) StopType (class in pybroker.common) Strategy (class in pybroker.strategy) StrategyConfig (class in pybroker.config) subtract_fees (Portfolio attribute) (StrategyConfig attribute) sumv() (in module pybroker.vect) SUN (Day attribute) SYMBOL (DataCol attribute) symbol (DataSourceCacheKey attribute) (Entry attribute) (ExecContext attribute) (ExecResult attribute) (ExecSignal attribute) (FeeInfo attribute) (IndicatorCacheKey attribute) (IndicatorSymbol attribute) (ModelCacheKey attribute) (ModelSymbol attribute) (Order attribute) (PendingOrder attribute) (Position attribute) (PositionBar attribute) (Stop attribute) (StopRecord attribute) (Trade attribute) symbols (Execution attribute) (Portfolio attribute)

T

test_data (WalkforwardWindow attribute) TestResult (class in pybroker.strategy) tf_seconds (CacheDateFields attribute) THURS (Day attribute) to_datetime() (in module pybroker.common) to_decimal() (in module pybroker.common) to_result() (ExecContext method) to_seconds() (in module pybroker.common) total_equity (BaseContext property) total_fees (EvalMetrics attribute) total_loss (EvalMetrics attribute) total_margin (BaseContext property) total_market_value (BaseContext property) total_pnl (EvalMetrics attribute) total_profit (EvalMetrics attribute) total_profit_loss() (in module pybroker.eval) total_return_pct (EvalMetrics attribute) total_return_percent() (in module pybroker.eval)

Trade (class in pybroker.portfolio) TRADE_COUNT (AlpacaCrypto attribute) trade_count (EvalMetrics attribute) trades (TestResult attribute) trades() (BaseContext method) TRAILING (StopType attribute), [1] train_data (WalkforwardWindow attribute) train_models() (ModelsMixin method) train_split_completed() (Logger method) train_split_start() (Logger method) TrainedModel (class in pybroker.common) TUES (Day attribute) type (Entry attribute) (ExecSignal attribute) (Order attribute) (PendingOrder attribute) (Position attribute) (Trade attribute)

U

ulcer_index (EvalMetrics attribute) unfreeze_data_cols() (StaticScope method) unrealized_pnl (EvalMetrics attribute) (PortfolioBar attribute) (PositionBar attribute)

unregister_columns() (in module pybroker.scope) unregister_custom_cols() (StaticScope method) upi (EvalMetrics attribute) upper (ConfInterval attribute)

V

verify_data_source_columns() (in module pybroker.common) verify_date_range() (in module pybroker.common) VOLUME (DataCol attribute) volume (ExecContext property) volume_momentum() (in module pybroker.indicator) (in module pybroker.vect)

volume_weighted_ma_ratio() (in module pybroker.indicator) (in module pybroker.vect) VWAP (DataCol attribute) vwap (ExecContext property)

W

walkforward() (Strategy method) walkforward_completed() (Logger method) walkforward_split() (WalkforwardMixin method) walkforward_start() (Logger method) WalkforwardMixin (class in pybroker.strategy) WalkforwardWindow (class in pybroker.strategy) warn_bootstrap_sample_size() (Logger method)

WEDS (Day attribute) win_loss_rate() (in module pybroker.eval) win_rate (BaseContext property) (EvalMetrics attribute) (Portfolio attribute) winning_losing_trades() (in module pybroker.eval) winning_trades (EvalMetrics attribute)

Y

YFinance (class in pybroker.data)

YQuery (class in pybroker.ext.data)