qis.StrategySignalData¶

class qis.StrategySignalData(log_returns=None, ra_carry=None, momentum=None, signal=None, instrument_vols=None, instrument_target_vols=None, instrument_target_signal_vol_weights=None, instrument_portfolio_leverages=None, weights=None, kwargs=None)[source]¶

Bases: object

data class instance applied for output of strategy backtest data

Parameters:

log_returns (DataFrame)
ra_carry (DataFrame)
momentum (DataFrame)
signal (DataFrame)
instrument_vols (DataFrame)
instrument_target_vols (DataFrame)
instrument_target_signal_vol_weights (DataFrame)
instrument_portfolio_leverages (DataFrame)
weights (DataFrame)
kwargs (Dict[str, DataFrame])

__init__(log_returns=None, ra_carry=None, momentum=None, signal=None, instrument_vols=None, instrument_target_vols=None, instrument_target_signal_vol_weights=None, instrument_portfolio_leverages=None, weights=None, kwargs=None)¶

Parameters:

log_returns (DataFrame)
ra_carry (DataFrame)
momentum (DataFrame)
signal (DataFrame)
instrument_vols (DataFrame)
instrument_target_vols (DataFrame)
instrument_target_signal_vol_weights (DataFrame)
instrument_portfolio_leverages (DataFrame)
weights (DataFrame)
kwargs (Dict[str, DataFrame])

Return type:

None

Methods

`__init__`([log_returns, ra_carry, momentum, ...])
`asdiff`([tickers, freq, sample_size, time_period])
`estimate_signal_changes_by_groups`(group_data)	estimate weight change for groups
`estimate_signal_changes_individual`([...])
`estimate_signal_changes_joint`([tickers, ...])
`get_current_signal_by_groups`(group_data[, ...])
`locate_period`(time_period)
`rename_data`(names_map)

Attributes

`instrument_portfolio_leverages`
`instrument_target_signal_vol_weights`
`instrument_target_vols`
`instrument_vols`
`kwargs`
`log_returns`
`momentum`
`ra_carry`
`signal`
`weights`

log_returns: DataFrame = None¶

ra_carry: DataFrame = None¶

momentum: DataFrame = None¶

signal: DataFrame = None¶

instrument_vols: DataFrame = None¶

instrument_target_vols: DataFrame = None¶

instrument_target_signal_vol_weights: DataFrame = None¶

instrument_portfolio_leverages: DataFrame = None¶

weights: DataFrame = None¶

kwargs: Dict[str, DataFrame] = None¶

locate_period(time_period)[source]¶

Parameters:: time_period (TimePeriod)
Return type:: StrategySignalData

rename_data(names_map)[source]¶

Parameters:: names_map (Dict[str, str])
Return type:: StrategySignalData

get_current_signal_by_groups(group_data, group_order=None)[source]¶

Parameters:

group_data (Series)
group_order (List[str])

Return type:

Dict[str, DataFrame]

asdiff(tickers=None, freq=None, sample_size=21, time_period=None)[source]¶

Parameters:

tickers (List[str])
freq (str)
sample_size (int | None)
time_period (TimePeriod)

Return type:

StrategySignalData

estimate_signal_changes_joint(tickers=None, freq=None, sample_size=21, time_period=None)[source]¶

Parameters:

tickers (List[str])
freq (str | None)
sample_size (int | None)
time_period (TimePeriod)

Return type:

Tuple[DataFrame, RegressionResults, TimePeriod]

estimate_signal_changes_by_groups(group_data, group_order=None, freq=None, sample_size=21, time_period=None)[source]¶

estimate weight change for groups

Parameters:

group_data (Series)
group_order (List[str])
freq (str | None)
sample_size (int | None)
time_period (TimePeriod)

Return type:

Tuple[Dict[str, DataFrame], Dict[str, RegressionResults], TimePeriod]

estimate_signal_changes_individual(tickers=None, freq=None, sample_size=21, time_period=None)[source]¶

Parameters:

tickers (List[str])
freq (str | None)
sample_size (int | None)
time_period (TimePeriod)

Return type:

Tuple[DataFrame, Dict[str, RegressionResults]]