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Fynance v2.2.0 Reference Guide

Getting Started

  • Installation
  • Quickstart
  • Changelog

Reference

  • Core (fynance.core)
    • PriceSeries
    • DataSource
    • FeatureTransform
    • SignalModel
    • Allocator
    • CostModel
    • Metric
  • Data (fynance.data)
    • load
    • CSVSource
    • ParquetSource
    • align
    • resample
    • train_test_split
    • walk_forward
  • Signal (fynance.signal)
    • sign
    • threshold
    • rank
    • vol_target_position
    • SignalPipeline
  • Portfolio (fynance.portfolio)
    • Portfolio allocation
      • ERC
      • HRP
      • IVP
      • MDP
      • MVP
      • MVP_uc
      • rolling_allocation
    • Position sizing
      • kelly_fraction
      • vol_target
      • transaction_cost
  • BackTest (fynance.backtest)
    • backtest
    • BacktestResult
    • ProportionalCost
    • set_text_stats
    • BacktestNeuralNet
  • Estimator (fynance.estimator)
  • Features (fynance.features)
    • Feature engineering
      • multi_resolution
      • 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
    • Statistics
      • accuracy
      • directional_accuracy
      • percent_positive
      • tail_ratio
      • z_score
      • roll_z_score
      • mad
      • roll_mad
    • Momentums
      • ema
      • sma
      • wma
      • emstd
      • smstd
      • wmstd
    • Market regime
      • detect_regimes
    • Rolling Functions
      • roll_min
      • roll_max
    • 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
    • roll_sharpe
    • roll_calmar
    • roll_annual_return
    • roll_annual_volatility
    • roll_drawdown
    • roll_mdd
    • summary
  • Financial models (fynance.models)
    • Attention
      • ScaledDotProductAttention
      • MultiHeadAttention
    • Econometric models
      • MA
      • ARMA
      • ARMA_GARCH
      • ARMAX_GARCH
      • get_parameters
    • Ensemble
      • StackingEnsemble
    • Loss functions
      • BaseLoss
      • SharpeLoss
      • SortinoLoss
      • DirectionalAccuracyLoss
      • CalmarLoss
      • OmegaLoss
      • HybridLoss
    • Neural network models
      • BaseNeuralNet
      • MultiLayerPerceptron
    • 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
  • Reporting (fynance.plot)
    • tearsheet
    • tearsheet_text
    • plot_equity
    • plot_drawdown
    • plot_returns_hist
    • plot_rolling_sharpe
  • Strategy (fynance.strategy)
    • Strategy
  • Research (fynance.research)
    • Experiment
    • run_experiment
    • write_report
    • gbm
    • regime_switching

Also by the author

  • DCCD
  • Trading Bot
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