Index

A

add_transactions() (yabte.backtest.book.Book method) apply() (yabte.backtest.order.BasketOrder method) (yabte.backtest.order.Order method) (yabte.backtest.order.PositionalBasketOrder method) (yabte.backtest.order.PositionalOrder method) (yabte.backtest.order.SimpleOrder method) Asset (class in yabte.backtest.asset) asset_name (yabte.backtest.order.PositionalOrder attribute) (yabte.backtest.order.SimpleOrder attribute) (yabte.backtest.transaction.Trade attribute)

asset_names (yabte.backtest.order.BasketOrder attribute) (yabte.backtest.order.PositionalBasketOrder attribute) AssetName (in module yabte.backtest.asset) assets (yabte.backtest.strategy.Strategy attribute) (yabte.backtest.strategyrunner.StrategyRunner attribute) (yabte.backtest.strategyrunner.StrategyRunnerResult attribute)

B

BasketOrder (class in yabte.backtest.order) Book (class in yabte.backtest.book) book (yabte.backtest.order.BasketOrder attribute) (yabte.backtest.order.Order attribute) (yabte.backtest.order.PositionalBasketOrder attribute) (yabte.backtest.order.PositionalOrder attribute) (yabte.backtest.order.SimpleOrder attribute)

book_history (yabte.backtest.strategyrunner.StrategyRunnerResult property) BOOK_PERCENT (yabte.backtest.order.OrderSizeType attribute) BookMandate (class in yabte.backtest.book) BookName (in module yabte.backtest.book) books (yabte.backtest.strategy.Strategy attribute) (yabte.backtest.strategyrunner.StrategyRunner attribute) (yabte.backtest.strategyrunner.StrategyRunnerResult attribute)

C

CANCELLED (yabte.backtest.order.OrderStatus attribute) cash (yabte.backtest.book.Book attribute) CashTransaction (class in yabte.backtest.transaction)

check_and_fix_data() (yabte.backtest.asset.Asset method) (yabte.backtest.asset.OHLCAsset method) check_type (yabte.backtest.order.PositionalOrder attribute) COMPLETE (yabte.backtest.order.OrderStatus attribute)

D

data (yabte.backtest.strategy.Strategy property) (yabte.backtest.strategyrunner.StrategyRunner attribute) data_fields() (yabte.backtest.asset.Asset method) (yabte.backtest.asset.OHLCAsset method) data_label (yabte.backtest.asset.Asset attribute) (yabte.backtest.asset.OHLCAsset attribute)

denom (yabte.backtest.asset.Asset attribute) (yabte.backtest.asset.OHLCAsset attribute) (yabte.backtest.book.Book attribute) desc (yabte.backtest.transaction.CashTransaction attribute) (yabte.backtest.transaction.Trade attribute) (yabte.backtest.transaction.Transaction attribute)

E

end_of_day_price() (yabte.backtest.asset.Asset method) (yabte.backtest.asset.OHLCAsset method)

eod_tasks() (yabte.backtest.book.Book method)

G

gbm_simulate_paths() (in module yabte.utilities.simulation.geometric_brownian_motion)

H

heston_simulate_paths() (in module yabte.utilities.simulation.heston)

history (yabte.backtest.book.Book property) hrp() (in module yabte.utilities.portopt.hierarchical_risk_parity)

I

init() (yabte.backtest.strategy.Strategy method) interest_round_dp (yabte.backtest.book.Book attribute)

intraday_traded_price() (yabte.backtest.asset.Asset method) (yabte.backtest.asset.OHLCAsset method) inverse_volatility() (in module yabte.utilities.portopt.inverse_volatility)

K

key (yabte.backtest.order.BasketOrder attribute) (yabte.backtest.order.Order attribute) (yabte.backtest.order.PositionalBasketOrder attribute) (yabte.backtest.order.PositionalOrder attribute) (yabte.backtest.order.SimpleOrder attribute)

L

label (yabte.backtest.order.BasketOrder attribute) (yabte.backtest.order.Order attribute) (yabte.backtest.order.PositionalBasketOrder attribute) (yabte.backtest.order.PositionalOrder attribute) (yabte.backtest.order.SimpleOrder attribute)

M

MANDATE_FAILED (yabte.backtest.order.OrderStatus attribute) mandates (yabte.backtest.book.Book attribute) (yabte.backtest.strategyrunner.StrategyRunner attribute) minimum_variance() (in module yabte.utilities.portopt.minimum_variance) minimum_variance_numeric() (in module yabte.utilities.portopt.minimum_variance) minimum_variance_numeric_slsqp() (in module yabte.utilities.portopt.minimum_variance) module yabte.backtest.asset yabte.backtest.book yabte.backtest.order yabte.backtest.strategy yabte.backtest.strategyrunner yabte.backtest.transaction yabte.utilities.portopt.hierarchical_risk_parity yabte.utilities.portopt.inverse_volatility yabte.utilities.portopt.minimum_variance yabte.utilities.simulation.geometric_brownian_motion yabte.utilities.simulation.heston yabte.utilities.simulation.weiner

N

name (yabte.backtest.asset.Asset attribute) (yabte.backtest.asset.OHLCAsset attribute) (yabte.backtest.book.Book attribute)

NOTIONAL (yabte.backtest.order.OrderSizeType attribute)

O

OHLCAsset (class in yabte.backtest.asset) on_close() (yabte.backtest.strategy.Strategy method) on_open() (yabte.backtest.strategy.Strategy method) OPEN (yabte.backtest.order.OrderStatus attribute) Order (class in yabte.backtest.order) order_label (yabte.backtest.transaction.Trade attribute)

Orders (class in yabte.backtest.order) orders (yabte.backtest.strategy.Strategy attribute) orders_processed (yabte.backtest.strategyrunner.StrategyRunnerResult property) orders_unprocessed (yabte.backtest.strategyrunner.StrategyRunnerResult property) OrderSizeType (class in yabte.backtest.order) OrderStatus (class in yabte.backtest.order)

P

params (yabte.backtest.strategy.Strategy attribute) PositionalBasketOrder (class in yabte.backtest.order) PositionalOrder (class in yabte.backtest.order) PositionalOrderCheckType (class in yabte.backtest.order) positions (yabte.backtest.book.Book attribute) post_complete() (yabte.backtest.order.BasketOrder method) (yabte.backtest.order.Order method) (yabte.backtest.order.PositionalBasketOrder method) (yabte.backtest.order.PositionalOrder method) (yabte.backtest.order.SimpleOrder method)

pre_execute_check() (yabte.backtest.order.PositionalOrder method) (yabte.backtest.order.SimpleOrder method) price (yabte.backtest.transaction.Trade attribute) price_round_dp (yabte.backtest.asset.Asset attribute) (yabte.backtest.asset.OHLCAsset attribute) priority (yabte.backtest.order.BasketOrder attribute) (yabte.backtest.order.Order attribute) (yabte.backtest.order.PositionalBasketOrder attribute) (yabte.backtest.order.PositionalOrder attribute) (yabte.backtest.order.SimpleOrder attribute)

Q

QUANTITY (yabte.backtest.order.OrderSizeType attribute) quantity (yabte.backtest.transaction.Trade attribute)

quantity_round_dp (yabte.backtest.asset.Asset attribute) (yabte.backtest.asset.OHLCAsset attribute)

R

rate (yabte.backtest.book.Book attribute) remove_duplicate_keys() (yabte.backtest.order.Orders method) REPLACED (yabte.backtest.order.OrderStatus attribute)

round_quantity() (yabte.backtest.asset.Asset method) (yabte.backtest.asset.OHLCAsset method) run() (yabte.backtest.strategyrunner.StrategyRunner method) run_batch() (yabte.backtest.strategyrunner.StrategyRunner method)

S

SimpleOrder (class in yabte.backtest.order) size (yabte.backtest.order.BasketOrder attribute) (yabte.backtest.order.PositionalBasketOrder attribute) (yabte.backtest.order.PositionalOrder attribute) (yabte.backtest.order.SimpleOrder attribute) size_type (yabte.backtest.order.BasketOrder attribute) (yabte.backtest.order.PositionalBasketOrder attribute) (yabte.backtest.order.PositionalOrder attribute) (yabte.backtest.order.SimpleOrder attribute) sort_by_priority() (yabte.backtest.order.Orders method) status (yabte.backtest.order.BasketOrder attribute) (yabte.backtest.order.Order attribute) (yabte.backtest.order.PositionalBasketOrder attribute) (yabte.backtest.order.PositionalOrder attribute) (yabte.backtest.order.SimpleOrder attribute)

strategies (yabte.backtest.strategyrunner.StrategyRunner attribute) (yabte.backtest.strategyrunner.StrategyRunnerResult attribute) Strategy (class in yabte.backtest.strategy) StrategyRunner (class in yabte.backtest.strategyrunner) StrategyRunnerResult (class in yabte.backtest.strategyrunner) suborders (yabte.backtest.order.BasketOrder attribute) (yabte.backtest.order.Order attribute) (yabte.backtest.order.PositionalBasketOrder attribute) (yabte.backtest.order.PositionalOrder attribute) (yabte.backtest.order.SimpleOrder attribute)

T

test_trades() (yabte.backtest.book.Book method) total (yabte.backtest.transaction.CashTransaction attribute) (yabte.backtest.transaction.Trade attribute) (yabte.backtest.transaction.Transaction attribute) Trade (class in yabte.backtest.transaction) Transaction (class in yabte.backtest.transaction)

transaction_history (yabte.backtest.strategyrunner.StrategyRunnerResult property) transactions (yabte.backtest.book.Book attribute) ts (yabte.backtest.strategy.Strategy property) (yabte.backtest.transaction.CashTransaction attribute) (yabte.backtest.transaction.Trade attribute) (yabte.backtest.transaction.Transaction attribute)

W

weights (yabte.backtest.order.BasketOrder attribute) (yabte.backtest.order.PositionalBasketOrder attribute)

weiner_simulate_paths() (in module yabte.utilities.simulation.weiner)

Y

yabte.backtest.asset module yabte.backtest.book module yabte.backtest.order module yabte.backtest.strategy module yabte.backtest.strategyrunner module yabte.backtest.transaction module

yabte.utilities.portopt.hierarchical_risk_parity module yabte.utilities.portopt.inverse_volatility module yabte.utilities.portopt.minimum_variance module yabte.utilities.simulation.geometric_brownian_motion module yabte.utilities.simulation.heston module yabte.utilities.simulation.weiner module