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Fynance v2.13.0 Reference Guide

Getting Started

  • Installation
  • Quickstart
  • Research workflow
  • Changelog

Reference

  • Core (fynance.core)
    • PriceSeries
    • OHLCV
    • DataSource
    • FeatureTransform
    • SignalModel
    • Allocator
    • CostModel
    • Metric
    • check_conforms
    • assert_causal
  • Data (fynance.data)
    • load
    • CSVSource
    • ParquetSource
    • align
    • resample
    • session_mask
    • session_id
    • session_bounds
    • split_sessions
    • train_test_split
    • walk_forward
    • combinatorial_purged_cv
    • BaseDataSource
    • register
    • get_source
  • Signal (fynance.signal)
    • sign
    • threshold
    • rank
    • vol_target_position
    • ema_smooth
    • deadband
    • min_hold
    • SignalPipeline
  • Portfolio (fynance.portfolio)
    • Portfolio allocation
      • ERC
      • RBP
      • HRP
      • IVP
      • MDP
      • MVP
      • MVP_uc
      • rolling_allocation
    • Risk decomposition
      • marginal_risk
      • risk_contribution
      • roll_risk_contribution
    • Constraint projection
      • project_weights
    • Conditioned covariance
      • sample_cov
      • ledoit_wolf
      • ewma_cov
      • factor_cov
      • denoise_cov
    • Rebalancing & delay
      • rebalance_calendar
      • rebalance_band
      • rebalance_turnover_cap
      • discretize
      • delay
    • Position sizing
      • kelly_fraction
      • vol_target
      • transaction_cost
  • BackTest (fynance.backtest)
    • backtest
    • BacktestResult
    • ProportionalCost
    • MarketImpactCost
    • HoldingCost
    • CompositeCost
    • capacity_curve
    • breakeven_fee
    • set_text_stats
    • BacktestNeuralNet
  • Estimator (fynance.estimator)
    • fit_volatility
    • VolatilityResult
  • Features (fynance.features)
    • Cross-section
      • cs_rank
      • cs_zscore
      • cs_demean
      • cs_winsorize
      • cs_neutralize
    • Feature engineering
      • multi_resolution
      • adaptive_roll
      • adaptive_volatility
      • granger_causality
      • IncrementalMoments
    • Filters
      • kalman_filter
      • rts_smoother
      • kalman_loglikelihood
      • fit_kalman
    • Indicators
      • bollinger_band
      • cci
      • hma
      • macd_hist
      • macd_line
      • realized_volatility
      • roc
      • rolling_autocorr
      • rolling_kurtosis
      • rolling_skewness
      • rsi
      • signal_line
    • Labels
      • triple_barrier
      • meta_labels
      • label_concurrency
      • uniqueness_weights
    • OHLCV indicators
      • atr
      • adx
      • williams_r
      • obv
      • vwap
    • Statistics
      • accuracy
      • directional_accuracy
      • percent_positive
      • tail_ratio
      • z_score
      • roll_z_score
      • mad
      • roll_mad
      • iso_vol
    • Momentums
      • ema
      • sma
      • wma
      • emstd
      • smstd
      • wmstd
    • Market regime
      • detect_regimes
      • regime_features
      • RegimeDetector
    • GARCH volatility
      • garch_volatility
    • Rolling Functions
      • roll_min
      • roll_max
      • roll_cov
      • roll_corr
      • roll_beta
      • cross_corr
    • Scale
      • normalize
      • standardize
      • roll_normalize
      • roll_rank
      • roll_standardize
      • Scale
  • Performance metrics (fynance.metrics)
    • sharpe
    • sortino
    • calmar
    • annual_return
    • annual_volatility
    • diversified_ratio
    • perf_index
    • perf_returns
    • perf_strat
    • returns_strat
    • drawdown
    • mdd
    • var
    • cvar
    • cdar
    • tail_dependence
    • roll_sharpe
    • roll_calmar
    • roll_annual_return
    • roll_annual_volatility
    • roll_drawdown
    • roll_mdd
    • roll_var
    • roll_cvar
    • beta
    • alpha
    • tracking_error
    • information_ratio
    • capture_ratio
    • benchmark_summary
    • roll_beta_benchmark
    • information_coefficient
    • quantile_returns
    • roll_information_coefficient
    • ic_decay
    • ic_summary
    • factor_rank_autocorr
    • QuantileResult
    • turnover_series
    • annual_turnover
    • gross_exposure
    • net_exposure
    • exposure_summary
    • extract_trades
    • trade_summary
    • summary
  • Financial models (fynance.models)
    • Attention
      • ScaledDotProductAttention
      • MultiHeadAttention
    • Conformal prediction intervals
      • ConformalWrapper
      • rolling_conformal
    • Econometric models
      • MA
      • ARMA
      • ARMA_GARCH
      • ARMAX_GARCH
      • get_parameters
    • Ensemble
      • StackingEnsemble
    • Loss functions
      • BaseLoss
      • SharpeLoss
      • SortinoLoss
      • DirectionalAccuracyLoss
      • CalmarLoss
      • OmegaLoss
      • HybridLoss
      • PinballLoss
    • Neural network models
      • BaseNeuralNet
      • MultiLayerPerceptron
      • ObjectiveModel
      • pretrain_pooled
      • QuantileModel
      • RegimeMoE
    • Recurrent neural networks
      • GRUCell
      • LSTMCell
      • RecurrentNeuralNetwork
      • GatedRecurrentUnit
      • LongShortTermMemory
    • Rolling models
      • CVResult
      • _RollingBasis
      • RollMultiLayerPerceptron
    • Temporal Convolutional Network
      • TemporalConvNet
    • Training utilities
      • EarlyStopping
      • exp_sample_weights
    • Transformer
      • Transformer
      • PositionalEncoding
    • Purged walk-forward tuning
      • SearchResult
      • walk_forward_search
    • Uncertainty
      • DeepEnsemble
      • MCDropout
  • Reporting (fynance.plot)
    • tearsheet
    • tearsheet_text
    • plot_equity
    • plot_drawdown
    • plot_returns_hist
    • plot_rolling_sharpe
    • plot_exposure
    • plot_quantile_returns
    • plot_ic_series
    • plot_ic_decay
    • factor_tearsheet
  • Strategy (fynance.strategy)
    • Strategy
  • Research (fynance.research)
    • Experiment
    • Ledger
    • run_experiment
    • write_report
    • compare_report
    • leaderboard
    • permutation_test
    • probabilistic_sharpe_ratio
    • deflated_sharpe_ratio
    • resample_paths
    • bootstrap_metric
    • block_permutation_test
    • ImportanceResult
    • walk_forward_mda
    • PBOResult
    • pbo
    • returns_panel
    • gbm
    • regime_switching

Also by the author

  • DCCD
  • Trading Bot
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Index

M

M

  • METRICS (in module fynance.metrics)
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