Index

A

account() (quantlab.backtest.base.BaseBacktester method) AccountRecord (class in quantlab.runs.run_metrics) acquirer_payments() (in module quantlab.factor.predefined.daily_anomaly_alpha) AcquisitionConfig (class in quantlab.acquisition.config) AcquisitionResult (class in quantlab.acquisition.symbol_batch) ActiveRiskConfig (class in quantlab.portfolio.config) ActiveRiskOptimizer (class in quantlab.portfolio.predefined.active_risk) add() (in module quantlab.execution.rules) add_converted_day() (quantlab.dataset.massive.trade_bars.MassiveTradeBarDataset method) add_max_workers_arg() (in module quantlab.utils.cli) add_output_dir_args() (in module quantlab.utils.cli) ADDED_TICKER_HEADER (quantlab.universe.IndexMembershipFetcher attribute) adjustment_path (quantlab.dataset.massive.mapped_bars.MappedDayBarDataset property) all() (quantlab.acquisition.base.DataSourceRegistry class method) AlpacaAcquisition (class in quantlab.acquisition.alpaca) Alpha101SpotKline (class in quantlab.factor.predefined.alpha101) Alpha101Stock (class in quantlab.factor.predefined.alpha101) Alpha158SpotKline (class in quantlab.factor.predefined.alpha158) Alpha158Stock (class in quantlab.factor.predefined.alpha158) ALSTMNet (class in quantlab.model.predefined.rnn) ALSTMRegressor (class in quantlab.model.predefined.rnn) AlternativeAlpha (class in quantlab.factor.predefined.alternative_alpha) AlternativeAlphaParameters (class in quantlab.factor.predefined.alternative_alpha) ambiguous (quantlab.dataset.sharadar.permatickers.PermatickerResolver attribute) analyze() (quantlab.factor.base.Factor method) analyze_factors() (in module quantlab.api) analyze_many() (quantlab.analysis.factor_report.FactorAnalyzer method) analyze_pair() (quantlab.analysis.factor_report.FactorAnalyzer method) analyze_panels() (quantlab.analysis.factor_report.FactorAnalyzer method) annotate() (quantlab.dataset.sharadar.permatickers.PermatickerResolver method) annual_return (quantlab.portfolio.config.ReturnViewConfig attribute) annual_return_at() (quantlab.portfolio.predefined.black_litterman.ReturnView method) Annualization (class in quantlab.runs.backtest_run) annualized_log_growth() (in module quantlab.runs.backtest_attribution) append() (quantlab.backend.ranged.RangedStore method) (quantlab.backend.zarr.XrBackend method) (quantlab.dataset.massive.ticker_map.TickerMap method) (quantlab.runs.live_predictions.LivePredictionStore method)

APPEND_DIM_CHUNK (quantlab.backend.zarr.XrBackend attribute) append_rows() (quantlab.factor.base.Factor method) (quantlab.factor.view.FactorView method) ApproximateAccount (class in quantlab.backtest.approximate) ApproximateBacktest (class in quantlab.backtest.approximate) ApproximateBacktestConfig (class in quantlab.backtest.config) array() (quantlab.model.collected_panel.CollectedPanel method) as_feature_dtype() (in module quantlab.model.collected_panel) as_label() (in module quantlab.utils.date_range) as_of (quantlab.dataset.config.ConstituentDatasetConfig attribute) as_of() (in module quantlab.dataset.sharadar.point_in_time) (quantlab.dataset.crsp.tickers.CrspTickerLookup method) as_record() (quantlab.dataset.nbbo.bars.NbboBarsRequest method) ASOF_NO_MAPPING (quantlab.acquisition.alpaca.AlpacaAcquisition attribute) assemble() (quantlab.model.collected_panel.CollectedPanel class method) (quantlab.model.ensemble.BaseEnsemble method) assemble_cv() (quantlab.model.ensemble.BaseEnsemble method) assert_coarser() (in module quantlab.utils.resample) assert_entitled() (quantlab.acquisition.wrds.crsp.CrspQueries class method) (quantlab.acquisition.wrds.taq.WrdsSession method) assert_recorded() (quantlab.dataset.nbbo.bars.NbboBarsRequest method) attach() (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition method) attention() (quantlab.model.predefined.gats.GATsNet method) AttentionBlock (class in quantlab.model.predefined.master) ATTRIBUTION_GROUPS (quantlab.backtest.base.BaseBacktester attribute) attribution_metrics() (in module quantlab.runs.backtest_attribution) attribution_score_label() (in module quantlab.backtest.base) attribution_summary() (in module quantlab.risk.attribution) attrs() (quantlab.runs.live_predictions.LivePredictionStore method) average_predictions() (in module quantlab.model.ensemble) axis_factors() (quantlab.portfolio.base.PortfolioConstructor method) (quantlab.portfolio.predefined.active_risk.ActiveRiskOptimizer method) (quantlab.portfolio.predefined.black_litterman.BlackLittermanOptimizer method)

B

backtest() (in module quantlab.api) backtest_report_figure() (in module quantlab.runs.backtest_report) BacktestConfig (class in quantlab.backtest.config) backtester_class (quantlab.runs.backtest_run.BacktestRun property) BacktestResult (class in quantlab.backtest.base) BacktestRun (class in quantlab.runs.backtest_run) bad_prints() (quantlab.dataset.bad_prints.BadPrintMaskedDataset method) BadPrintMaskedDataset (class in quantlab.dataset.bad_prints) BadPrintMaskedDatasetConfig (class in quantlab.dataset.config) bar_after() (quantlab.dataset.base.BaseDataset method) (quantlab.factor.base.Factor method) (quantlab.factor.predefined.intraday.IntradayAverage method) (quantlab.factor.predefined.intraday.IntradayComposite method) (quantlab.factor.predefined.neutralized.NeutralizedFactor method) (quantlab.factor.view.FactorView method) bar_after_on() (in module quantlab.dataset.base) bar_before() (quantlab.dataset.base.BaseDataset method) (quantlab.factor.base.Factor method) (quantlab.factor.predefined.intraday.IntradayAverage method) (quantlab.factor.predefined.intraday.IntradayComposite method) (quantlab.factor.predefined.neutralized.NeutralizedFactor method) (quantlab.factor.view.FactorView method) bar_before_on() (in module quantlab.dataset.base) bar_interval (quantlab.dataset.config.MassiveTradeBarsDatasetConfig attribute) (quantlab.dataset.config.NbboDatasetConfig attribute) bar_label() (in module quantlab.utils.date_range) bar_seconds (quantlab.dataset.nbbo.bars.NbboBarsRequest property) BarExecution (class in quantlab.execution.rules) BarraStyle (class in quantlab.factor.predefined.barra) BarraStyleParameters (class in quantlab.factor.predefined.barra) bars() (quantlab.runs.live_predictions.LivePredictionStore method) BaseBacktester (class in quantlab.backtest.base) BaseDataset (class in quantlab.dataset.base) BaseDatasetConfig (class in quantlab.dataset.config) BaseEnsemble (class in quantlab.model.ensemble) BaseFactorConfig (class in quantlab.factor.config) BaseModel (class in quantlab.model.base) Batch (class in quantlab.model.torch_data) BATCH_DAYS (quantlab.dataset.massive.mapped_bars.MappedDayBarDataset attribute) (quantlab.dataset.massive.mapped_bars.MappedPermatickerDataset attribute) (quantlab.dataset.massive.mapped_bars.MappedTradeBarDataset attribute) batch_loader() (in module quantlab.model.torch_data) BatchOutcome (class in quantlab.acquisition.symbol_batch) benchmark (quantlab.factor.config.BenchmarkBetaConfig attribute) (quantlab.portfolio.config.ActiveRiskConfig attribute)

benchmark_dataset (quantlab.backtest.config.ApproximateBacktestConfig attribute) (quantlab.backtest.config.BacktestConfig attribute) benchmark_display_name() (in module quantlab.backtest.base) benchmark_source (quantlab.runs.backtest_run.BacktestRun property) benchmark_weight (quantlab.portfolio.config.ActiveRiskConfig attribute) BenchmarkBeta (class in quantlab.factor.predefined.benchmark_beta) BenchmarkBetaConfig (class in quantlab.factor.config) BenchmarkRecord (class in quantlab.runs.run_metrics) beside_store() (quantlab.dataset.crsp.tickers.CrspTickerLookup class method) bias_statistics() (in module quantlab.risk.bias) BinanceCSVHeaders (class in quantlab.enums.data) BinaryReturn (class in quantlab.label.predefined.fret) bind() (quantlab.portfolio.base.ExpectedReturnModel method) (quantlab.portfolio.base.PortfolioConstructor method) (quantlab.portfolio.predefined.black_litterman.BlackLittermanOptimizer method) (quantlab.portfolio.predefined.expected_return.RawExpectedReturn method) (quantlab.portfolio.predefined.mean_variance.MeanVarianceOptimizer method) (quantlab.portfolio.predefined.top_n.TopNConstructor method) (quantlab.portfolio.predefined.topk_dropout.TopkDropoutConstructor method) BlackLittermanConfig (class in quantlab.portfolio.config) BlackLittermanOptimizer (class in quantlab.portfolio.predefined.black_litterman) blending_min_observations (quantlab.risk.config.Use4RiskConfig attribute) blending_outlier_bound (quantlab.risk.config.Use4RiskConfig attribute) blending_ramp (quantlab.risk.config.Use4RiskConfig attribute) book() (quantlab.portfolio.predefined.topk_dropout.TopkDropoutConstructor method) boosters_on_cpu() (in module quantlab.model.predefined.xgb) build() (quantlab.backend.ranged.RangedStore method) (quantlab.factor.base.Factor method) (quantlab.factor.chunking.ChunkedBuilder method) (quantlab.factor.view.FactorView method) (quantlab.label.forward.Forward method) (quantlab.label.predefined.membership_mask.MembershipMaskedLabel method) (quantlab.risk.base.RiskStore method) (quantlab.universe.UniverseCatalog method) build_config() (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition class method) (quantlab.acquisition.wrds.taq.WrdsTaqNbboAcquisition class method) (quantlab.acquisition.wrds.taq_bars.WrdsTaqNbboBarsAcquisition class method) build_intervals() (quantlab.universe.IndexMembershipFetcher method) build_stores() (in module quantlab.dataset.sharadar.stores) BUILT (quantlab.dataset.sharadar.stores.StoreState attribute) built (quantlab.dataset.sharadar.stores.StoreUpdate property) BuiltFrom (class in quantlab.core.store_uses) bulk_file() (in module quantlab.dataset.sharadar.tables) bulk_table() (quantlab.acquisition.sharadar.client.SharadarClient method)

C

cache_dir (quantlab.dataset.config.FileConstituentDatasetConfig attribute) (quantlab.universe.UniverseConfig attribute) cache_dir() (in module quantlab.factor.kunquant_compile) cal_stream() (quantlab.factor.kunquant.FactorKunQuant method) (quantlab.factor.predefined.literature_alpha.LiteratureAlpha method) (quantlab.factor.predefined.residual_momentum.ResidualMomentumFF3 method) calendar() (quantlab.dataset.base.BaseDataset method) (quantlab.dataset.nbbo.bars.NbboBarsRequest method) (quantlab.factor.base.Factor method) (quantlab.factor.predefined.intraday.IntradayAverage method) (quantlab.factor.predefined.intraday.IntradayComposite method) (quantlab.factor.predefined.neutralized.NeutralizedFactor method) (quantlab.factor.view.FactorView method) CallbackProgressReporter (class in quantlab.utils.progress) cancel() (quantlab.utils.progress.CancelToken method) cancelled (quantlab.dataset.raw.ConversionResult attribute) CancelToken (class in quantlab.utils.progress) candidate_top_k (quantlab.portfolio.config.MeanVarianceConfig attribute) cap_column (quantlab.factor.config.MembershipCapWeightConfig attribute) capabilities_for() (quantlab.acquisition.base.SourceDescriptor method) Capability (class in quantlab.acquisition.base) CapWeightedStandardize (class in quantlab.factor.kunquant_cs) cast() (quantlab.dataset.crsp.reference.ReferenceTableSpec method) CATALOG_COLUMNS (quantlab.universe.UniverseCatalog attribute) CatBoostRegressor (class in quantlab.model.predefined.catboost_model) CATEGORY (quantlab.universe.IndexMembershipFetcher attribute) (quantlab.universe.Nasdaq100MembershipFetcher attribute) (quantlab.universe.NasdaqUniverseFetcher attribute) (quantlab.universe.SP500MembershipFetcher attribute) (quantlab.universe.TiingoRosterFetcher attribute) (quantlab.universe.USEquityUniverseFetcher attribute) category_filter (quantlab.dataset.config.SharadarDatasetConfig attribute) ccc_loss_metric() (in module quantlab.model.predefined.xgb) ccc_objective() (in module quantlab.model.predefined.xgb) cell_bytes() (quantlab.factor.base.Factor method) (quantlab.factor.view.FactorView method) changes() (in module quantlab.dataset.sharadar.history) CHANGES_TABLE_ATTRS (quantlab.universe.IndexMembershipFetcher attribute) (quantlab.universe.SP500MembershipFetcher attribute) check_checkpoint() (quantlab.model.base.BaseModel method) (quantlab.model.ensemble.BaseEnsemble method) (quantlab.model.view.PredictorView method) check_covers() (quantlab.backend.ranged.RangedStore method) check_frequency() (quantlab.analysis.factor_report.FactorAnalyzer static method) check_header() (quantlab.runs.live_predictions.LivePredictionStore method) check_hyperparameters() (quantlab.model.base.BaseModel method) (quantlab.model.ensemble.BaseEnsemble method) (quantlab.model.library_model.LibraryModel method) (quantlab.model.torch_model.TorchModel method) (quantlab.model.walk_forward_training.WalkForwardTrainable method) check_minute_bars() (in module quantlab.dataset.massive.vendor_check) check_path (quantlab.dataset.massive.mapped_bars.MappedDayBarDataset property) check_range() (in module quantlab.utils.date_range) check_reload() (quantlab.model.base.BaseModel method) check_tolerance (quantlab.dataset.config.MappedDayBarsConfig attribute) checkpoint (quantlab.backtest.config.BacktestConfig attribute) checkpoint_suffix (quantlab.model.base.BaseModel property) child_components() (in module quantlab.core.component) Chomp1d (class in quantlab.model.predefined.tcn) chunk_bars (quantlab.backtest.config.ApproximateBacktestConfig attribute) ChunkedBuilder (class in quantlab.factor.chunking) class_name (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition property) (quantlab.backtest.base.BaseBacktester property) (quantlab.dataset.base.BaseDataset property) (quantlab.factor.base.Factor property) (quantlab.factor.chunking.ChunkedBuilder property) (quantlab.label.forward.Forward property) (quantlab.label.predefined.membership_mask.MembershipMaskedLabel property) (quantlab.model.base.BaseModel property) (quantlab.model.ensemble.BaseEnsemble property) (quantlab.risk.base.FactorRiskModel property) clock_labels() (in module quantlab.utils.resample) close (quantlab.dataset.nbbo.bars.NbboBarsSession attribute) close() (quantlab.acquisition.wrds.taq.WrdsSession method) (quantlab.utils.progress.ProgressReporter method) (quantlab.utils.progress.TqdmProgressReporter method) close_clock (quantlab.dataset.nbbo.bars.NbboBarsSession attribute) close_shared() (quantlab.acquisition.wrds.taq.WrdsSession class method) cluster_summary() (quantlab.analysis.factor_correlation.FactorCorrelation method) cluster_table() (quantlab.analysis.factor_correlation.FactorCorrelation method) CMRA (class in quantlab.factor.kunquant_ts) code_of() (in module quantlab.runs.record) code_record() (in module quantlab.runs.record) collect() (quantlab.model.base.BaseModel method) (quantlab.model.ensemble.BaseEnsemble method) (quantlab.model.view.PredictorView method) CollectedPanel (class in quantlab.model.collected_panel) COLUMN_MAP (quantlab.dataset.base.BaseDataset attribute) (quantlab.dataset.sharadar.fundamentals.SharadarFundamentalsDataset attribute) (quantlab.dataset.spot.SpotKlineDataset attribute) columns() (quantlab.dataset.massive.permaticker_bars.PermatickerDataset method) columns_query() (quantlab.acquisition.wrds.crsp.CrspQueries class method) CommonStockConstituentDataset (class in quantlab.dataset.common_stock) company (quantlab.dataset.base.SymbolName attribute) compare() (in module quantlab.runs.record) compile_graphs() (in module quantlab.factor.kunquant_compile) Component (class in quantlab.core.component) component() (in module quantlab.core.component) component_fields() (in module quantlab.core.component) CompositePart (class in quantlab.factor.predefined.intraday) composites (quantlab.factor.config.IntradayCompositeConfig attribute) compound_onto_bars() (in module quantlab.factor.predefined.residual_momentum) CompustatNasdaq100ConstituentDataset (class in quantlab.dataset.constituent) compute() (quantlab.analysis.factor_correlation.FactorCorrelation class method) (quantlab.factor.base.Factor method) (quantlab.factor.chunking.ChunkedBuilder method) (quantlab.factor.kunquant.FactorKunQuant method) (quantlab.factor.predefined.intraday.IntradayAverage method) (quantlab.factor.predefined.intraday.IntradayComposite method) (quantlab.factor.predefined.neutralized.NeutralizedFactor method) (quantlab.factor.predefined.start_clipped.StartClippedFactor method) (quantlab.factor.view.FactorView method) (quantlab.label.forward.Forward method) (quantlab.label.predefined.membership_mask.MembershipMaskedLabel method) (quantlab.risk.base.RiskStore method) compute_factors() (in module quantlab.api) condition_table() (quantlab.acquisition.massive.client.MassiveClient method) conditions_file() (in module quantlab.dataset.massive.raw) confidence (quantlab.portfolio.config.BlackLittermanConfig attribute) (quantlab.portfolio.config.ReturnViewConfig attribute) config (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition property) (quantlab.backtest.base.BaseBacktester property) (quantlab.core.component.Component attribute) (quantlab.dataset.base.BaseDataset property) (quantlab.factor.base.Factor property) (quantlab.factor.predefined.intraday.IntradayAverage property) (quantlab.factor.predefined.intraday.IntradayComposite property) (quantlab.factor.view.FactorView property) (quantlab.label.predefined.membership_mask.MembershipMaskedLabel property) (quantlab.model.base.BaseModel property) (quantlab.model.predefined.model_ensemble.ModelEnsemble property) (quantlab.model.predefined.seed_ensemble.SeedEnsemble property) (quantlab.model.view.PredictorView property) (quantlab.risk.base.FactorRiskModel property) (quantlab.runs.trained_run.TrainedRun property) (quantlab.tracking.base.Tracker property) config_cls (quantlab.backtest.approximate.ApproximateBacktest attribute) (quantlab.backtest.base.BaseBacktester property) (quantlab.backtest.predefined.us_equity.USEquityCrossectionSelectStockVectorBt attribute) (quantlab.backtest.predefined.weights.WeightsVectorBt attribute) (quantlab.core.component.Component attribute) (quantlab.dataset.bad_prints.BadPrintMaskedDataset attribute) (quantlab.dataset.base.MarketDataset attribute) (quantlab.dataset.constituent.CompustatNasdaq100ConstituentDataset attribute) (quantlab.dataset.constituent.CrspMarketConstituentDataset attribute) (quantlab.dataset.constituent.CrspSP500ConstituentDataset attribute) (quantlab.dataset.constituent.Nasdaq100ConstituentDataset attribute) (quantlab.dataset.constituent.SP500ConstituentDataset attribute) (quantlab.dataset.crsp.CrspStockDataset attribute) (quantlab.dataset.fred.FredRateDataset attribute) (quantlab.dataset.massive.day_bars.MassiveDayBarDataset attribute) (quantlab.dataset.massive.disclosures.MassiveDisclosureDataset attribute) (quantlab.dataset.massive.dividends.MassiveDividendDataset attribute) (quantlab.dataset.massive.ipos.MassiveIpoDataset attribute) (quantlab.dataset.massive.mapped_bars.MappedDayBarDataset attribute) (quantlab.dataset.massive.mapped_bars.MappedTradeBarDataset attribute) (quantlab.dataset.massive.news.MassiveNewsDataset attribute) (quantlab.dataset.massive.permaticker_bars.PermatickerDayBarDataset attribute) (quantlab.dataset.massive.permaticker_bars.PermatickerTradeBarDataset attribute) (quantlab.dataset.massive.short_interest.MassiveShortInterestDataset attribute) (quantlab.dataset.massive.short_volume.MassiveShortVolumeDataset attribute) (quantlab.dataset.massive.ten_k.MassiveTenKChangesDataset attribute) (quantlab.dataset.massive.ticker_map.TickerMap attribute) (quantlab.dataset.massive.trade_bars.MassiveTradeBarDataset attribute) (quantlab.dataset.memory.FrameDataset attribute) (quantlab.dataset.merged.MergedDataset attribute) (quantlab.dataset.nbbo.bars.NbboBarsDataset attribute) (quantlab.dataset.nbbo.panel.NbboPanelBase attribute) (quantlab.dataset.raw.IndexConstituentDataset attribute) (quantlab.dataset.roster.RosterDataset attribute) (quantlab.dataset.sharadar.actions.SharadarActionsDataset attribute) (quantlab.dataset.sharadar.daily.SharadarDailyDataset attribute) (quantlab.dataset.sharadar.events.SharadarEventsDataset attribute) (quantlab.dataset.sharadar.fiscal_years.SharadarFiscalYearsDataset attribute) (quantlab.dataset.sharadar.fundamentals.SharadarFundamentalsDataset attribute) (quantlab.dataset.sharadar.holdings.SharadarHoldingsDataset attribute) (quantlab.dataset.sharadar.industry.SharadarIndustryDataset attribute) (quantlab.dataset.sharadar.insiders.SharadarInsidersDataset attribute) (quantlab.dataset.sharadar.listing.SharadarListingDataset attribute) (quantlab.dataset.sharadar.membership.SharadarSP500ConstituentDataset attribute) (quantlab.dataset.sharadar.share_class.SharadarShareClassDataset attribute) (quantlab.dataset.sharadar.stock.SharadarStockDataset attribute) (quantlab.factor.kunquant.FactorKunQuant attribute) (quantlab.factor.polars.FactorPolars attribute) (quantlab.factor.predefined.benchmark_beta.BenchmarkBeta attribute) (quantlab.factor.predefined.intraday.IntradayAverage attribute) (quantlab.factor.predefined.intraday.IntradayComposite attribute) (quantlab.factor.predefined.market.MarketFeatures attribute) (quantlab.factor.predefined.membership_cap_weight.MembershipCapWeight attribute) (quantlab.factor.predefined.membership_mask.MembershipMaskedFactor attribute) (quantlab.factor.predefined.neutralized.NeutralizedFactor attribute) (quantlab.factor.predefined.roster.RosterFactor attribute) (quantlab.factor.predefined.start_clipped.StartClippedFactor attribute) (quantlab.factor.view.FactorView attribute) (quantlab.label.forward.Forward attribute) (quantlab.label.predefined.membership_mask.MembershipMaskedLabel attribute) (quantlab.model.base.BaseModel attribute) (quantlab.model.predefined.membership_mask.MembershipMaskedPredictor attribute) (quantlab.model.predefined.model_ensemble.ModelEnsemble attribute) (quantlab.model.predefined.recorded.RecordedPredictor attribute) (quantlab.model.predefined.seed_ensemble.SeedEnsemble attribute) (quantlab.model.predefined.smoothed.SmoothedPredictor attribute) (quantlab.model.view.PredictorView attribute) (quantlab.portfolio.predefined.active_risk.ActiveRiskOptimizer attribute) (quantlab.portfolio.predefined.black_litterman.BlackLittermanOptimizer attribute) (quantlab.portfolio.predefined.black_litterman.FactorReturnView attribute) (quantlab.portfolio.predefined.black_litterman.MarketReturnView attribute) (quantlab.portfolio.predefined.black_litterman.RelativeFactorReturnView attribute) (quantlab.portfolio.predefined.expected_return.GrinoldExpectedReturn attribute) (quantlab.portfolio.predefined.expected_return.PredictionExpectedReturn attribute) (quantlab.portfolio.predefined.expected_return.RawExpectedReturn attribute) (quantlab.portfolio.predefined.expected_return.UnscaledZScoreExpectedReturn attribute) (quantlab.portfolio.predefined.expected_return.ZScoreExpectedReturn attribute) (quantlab.portfolio.predefined.factor_risk.FactorRiskStoreEstimator attribute) (quantlab.portfolio.predefined.ledoit_wolf.LedoitWolfEstimator attribute) (quantlab.portfolio.predefined.mean_variance.MeanVarianceOptimizer attribute) (quantlab.portfolio.predefined.top_n.TopNConstructor attribute) (quantlab.portfolio.predefined.topk_dropout.TopkDropoutConstructor attribute) (quantlab.risk.base.FactorRiskModel attribute) (quantlab.risk.predefined.use4.Use4RiskModel attribute) (quantlab.tracking.base.NullTracker attribute) (quantlab.tracking.mlflow.MlflowTracker attribute) (quantlab.tracking.wandb.WandbTracker attribute)

config_cls_of() (in module quantlab.core.component) config_factory_for() (quantlab.acquisition.base.SourceDescriptor method) config_to_dict() (in module quantlab.core.component) ConstituentDatasetConfig (class in quantlab.dataset.config) construct() (quantlab.portfolio.base.PortfolioConstructor method) (quantlab.portfolio.predefined.mean_variance.MeanVarianceOptimizer method) (quantlab.portfolio.predefined.top_n.TopNConstructor method) (quantlab.portfolio.predefined.topk_dropout.TopkDropoutConstructor method) constructor (quantlab.backtest.config.CrossSectionBacktestConfig attribute) context() (quantlab.portfolio.decision_inputs.DecisionInputs method) ConversionResult (class in quantlab.dataset.raw) convert() (in module quantlab.acquisition.registry) convert_day() (quantlab.dataset.massive.trade_bars.MassiveTradeBarDataset method) converted_through() (quantlab.dataset.massive.trade_bars.MassiveTradeBarDataset method) ConvertedTradeDay (class in quantlab.dataset.massive.trade_bars) copy() (quantlab.acquisition.wrds.crsp.CrspQueries class method) (quantlab.dataset.bad_prints.BadPrintMaskedDataset method) (quantlab.dataset.base.BaseDataset method) (quantlab.dataset.massive.mapped_bars.MappedPermatickerDataset method) (quantlab.dataset.massive.permaticker_bars.PermatickerDataset method) (quantlab.dataset.memory.FrameDataset method) (quantlab.dataset.merged.MergedDataset method) (quantlab.dataset.raw.RawDataset method) (quantlab.dataset.roster.RosterDataset method) (quantlab.factor.base.Factor method) (quantlab.factor.kunquant.FactorKunQuant method) copy_csv() (quantlab.acquisition.wrds.taq.WrdsSession method) copy_nbbo_bars_csv() (quantlab.acquisition.wrds.taq.WrdsSession method) copy_nbbo_csv() (quantlab.acquisition.wrds.taq.WrdsSession method) copy_query() (quantlab.acquisition.wrds.crsp.CrspQueries class method) (quantlab.acquisition.wrds.taq.WrdsSession class method) COPY_SPOOL_BYTES (quantlab.acquisition.wrds.taq.WrdsSession attribute) corrections_path() (quantlab.dataset.sharadar.stock.SharadarStockDataset method) correlation_half_life (quantlab.risk.config.Use4RiskConfig attribute) correlation_lags (quantlab.risk.config.Use4RiskConfig attribute) correlation_window (quantlab.risk.config.Use4RiskConfig attribute) cost (quantlab.backtest.config.ApproximateBacktestConfig attribute) count() (quantlab.acquisition.wrds.crsp.CrspQueries class method) count_query() (quantlab.acquisition.wrds.crsp.CrspQueries class method) (quantlab.acquisition.wrds.taq.WrdsSession class method) count_rows() (quantlab.acquisition.wrds.taq.WrdsSession method) counterparties_path (quantlab.dataset.sharadar.actions.SharadarActionsDataset property) country (quantlab.risk.config.Use4RiskConfig attribute) covariance (quantlab.portfolio.base.LowRankCovarianceEstimate property) (quantlab.portfolio.config.MeanVarianceConfig attribute) (quantlab.portfolio.predefined.mean_variance.MeanVarianceInputs property) (quantlab.risk.base.FactorRiskForecast property) CovarianceEstimate (class in quantlab.portfolio.base) CovarianceEstimator (class in quantlab.portfolio.base) coverage_report() (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition method) covered_factors() (in module quantlab.risk.base) covers() (quantlab.dataset.sharadar.permatickers.HolderSpan method) create() (quantlab.backend.zarr.XrBackend method) CREDENTIAL_ENV_VARS (quantlab.acquisition.alpaca.AlpacaAcquisition attribute) (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition attribute) (quantlab.acquisition.tiingo.TiingoAcquisition attribute) (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition attribute) (quantlab.acquisition.wrds.taq.WrdsTaqNbboAcquisition attribute) credential_status() (in module quantlab.acquisition.registry) cross_sectional_ic() (in module quantlab.model.evaluation) cross_sectional_ic_series() (in module quantlab.model.evaluation) cross_sectional_rank_ic() (in module quantlab.model.evaluation) cross_sectional_rank_ic_series() (in module quantlab.model.evaluation) cross_sectional_zscore() (in module quantlab.utils.cross_section) CrossSectionalIndustrySizeFill (class in quantlab.factor.kunquant_cs) CrossSectionalNeutralize (class in quantlab.factor.kunquant_cs) CrossSectionalSigmaClip (class in quantlab.factor.kunquant_cs) CrossSectionalTopN (class in quantlab.factor.kunquant_cs) CrossSectionalTrim (class in quantlab.factor.kunquant_cs) CrossSectionalWeightedMean (class in quantlab.factor.kunquant_cs) CrossSectionalWinsorize (class in quantlab.factor.kunquant_cs) CrossSectionalWLSResidual (class in quantlab.factor.kunquant_cs) CrossSectionalZScore (class in quantlab.factor.kunquant_cs) CrossSectionBacktestConfig (class in quantlab.backtest.config) CrossSectionDataset (class in quantlab.model.torch_data) CRSP_COLUMNS (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition attribute) CrspDatasetConfig (class in quantlab.dataset.config) CrspMarketConstituentDataset (class in quantlab.dataset.constituent) CrspMarketRoster (class in quantlab.dataset.crsp.market) CrspMembership (class in quantlab.dataset.crsp.membership) CrspQueries (class in quantlab.acquisition.wrds.crsp) CrspReference (class in quantlab.dataset.crsp.reference) CrspReferenceTables (class in quantlab.acquisition.wrds.crsp_reference) CrspSP500ConstituentDataset (class in quantlab.dataset.constituent) CrspStockDataset (class in quantlab.dataset.crsp) CrspStoreRebuilder (class in quantlab.acquisition.wrds.rebuild) CrspSymbology (class in quantlab.dataset.crsp.symbology) CrspTickerLookup (class in quantlab.dataset.crsp.tickers) cs_rank_norm() (in module quantlab.model.torch_training) cs_zscore() (in module quantlab.model.torch_training) cumulative_ic (quantlab.analysis.factor_report.PairAnalysis property) cv_mean_metrics() (in module quantlab.model.walk_forward_training) cv_project_dir (quantlab.backtest.config.BacktestConfig attribute) CVBacktestResult (class in quantlab.backtest.base)

D

DAILY_TABLE (quantlab.acquisition.wrds.crsp.CrspQueries attribute) daily_where() (quantlab.acquisition.wrds.crsp.CrspQueries class method) DailyAnomalyAlpha (class in quantlab.factor.predefined.daily_anomaly_alpha) data (quantlab.backend.base.DataBackend property) (quantlab.model.collected_panel.CollectedPanel property) data_columns (quantlab.factor.config.FactorConfig attribute) data_fingerprint (quantlab.backtest.base.BaseBacktester property) DATA_TYPE (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition attribute) (quantlab.acquisition.wrds.taq_bars.WrdsTaqNbboBarsAcquisition attribute) (quantlab.dataset.crsp.CrspStockDataset attribute) (quantlab.dataset.massive.day_bars.MassiveDayBarDataset attribute) (quantlab.dataset.massive.trade_bars.MassiveTradeBarDataset attribute) (quantlab.dataset.nbbo.bars.NbboBarsDataset attribute) (quantlab.dataset.nbbo.NbboPanelDataset attribute) (quantlab.dataset.nbbo.panel.NbboPanelBase attribute) DataBackend (class in quantlab.backend.base) DataRecorder (class in quantlab.runs.record) dataset (quantlab.dataset.config.RosterDatasetConfig attribute) (quantlab.dataset.roster.RosterDataset property) (quantlab.factor.config.BaseFactorConfig attribute) (quantlab.factor.config.FactorViewConfig attribute) (quantlab.factor.config.IntradayAverageConfig attribute) (quantlab.factor.config.IntradayCompositeConfig attribute) (quantlab.risk.config.FactorRiskConfig attribute) dataset() (quantlab.dataset.sharadar.stores.SharadarStore method) DatasetConfig (class in quantlab.dataset.config) datasets (quantlab.dataset.config.MergedDatasetConfig attribute) (quantlab.dataset.merged.MergedDataset property) DataSourceRegistry (class in quantlab.acquisition.base) Date (class in quantlab.enums.constant) DATE_HEADER (quantlab.universe.IndexMembershipFetcher attribute) (quantlab.universe.Nasdaq100MembershipFetcher attribute) (quantlab.universe.SP500MembershipFetcher attribute) day (quantlab.dataset.nbbo.bars.NbboBarsSession attribute) day_bar_events() (in module quantlab.dataset.massive.day_bar_events) day_bars (quantlab.dataset.config.PermatickerDayBarsConfig attribute) (quantlab.dataset.massive.permaticker_bars.PermatickerDayBarDataset property) day_digests() (in module quantlab.dataset.massive.mapped_bars) day_file() (quantlab.dataset.massive.ticker_map.TickerMap static method) DayDownload (class in quantlab.acquisition.massive.client) days() (quantlab.dataset.massive.ticker_map.TickerMap method) days_in() (quantlab.dataset.sharadar.point_in_time.TradingCalendar method) days_per_year (quantlab.dataset.config.FredRateConfig attribute) decay_of() (quantlab.analysis.factor_report.FactorAnalysis method) decide() (in module quantlab.dataset.massive.ticker_map) (in module quantlab.portfolio.predefined.approximate.black_litterman) (in module quantlab.portfolio.predefined.approximate.mean_variance) (in module quantlab.portfolio.predefined.approximate.top_n) (in module quantlab.portfolio.predefined.approximate.topk_dropout) (quantlab.portfolio.base.PortfolioConstructor method) decided_bars() (in module quantlab.runs.run_metrics) decided_weights (quantlab.backtest.approximate.ApproximateAccount property) Decision (class in quantlab.portfolio.base) decision_symbols() (quantlab.portfolio.decision_inputs.DecisionInputs method) DecisionInputs (class in quantlab.portfolio.decision_inputs) DecisionPanel (class in quantlab.portfolio.base) declared_inputs() (quantlab.portfolio.base.CovarianceEstimator method) (quantlab.portfolio.base.PortfolioConstructor method) (quantlab.portfolio.predefined.active_risk.ActiveRiskOptimizer method) (quantlab.portfolio.predefined.black_litterman.BlackLittermanOptimizer method) (quantlab.portfolio.predefined.factor_risk.FactorRiskStoreEstimator method) (quantlab.portfolio.predefined.ledoit_wolf.LedoitWolfEstimator method) (quantlab.portfolio.predefined.mean_variance.MeanVarianceOptimizer method) decompose() (quantlab.factor.kunquant_cs.RenormalizedCombine method) (quantlab.factor.kunquant_ts.CMRA method) (quantlab.factor.kunquant_ts.EWAlpha method) (quantlab.factor.kunquant_ts.EWBeta method) (quantlab.factor.kunquant_ts.EWCov method) (quantlab.factor.kunquant_ts.EWMean method) (quantlab.factor.kunquant_ts.EWResidualStd method) (quantlab.factor.kunquant_ts.EWSum method) (quantlab.factor.kunquant_ts.EWVar method) (quantlab.factor.kunquant_ts.WindowedZScore method)

DEFAULT_BATCH_SIZE (quantlab.acquisition.alpaca.AlpacaAcquisition attribute) (quantlab.acquisition.fred.FredAcquisition attribute) (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition attribute) (quantlab.acquisition.tiingo.TiingoAcquisition attribute) (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition attribute) (quantlab.acquisition.wrds.taq.WrdsTaqNbboAcquisition attribute) (quantlab.acquisition.wrds.taq_bars.WrdsTaqNbboBarsAcquisition attribute) DEFAULT_MAX_WORKERS (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition attribute) (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition attribute) (quantlab.acquisition.wrds.taq.WrdsTaqNbboAcquisition attribute) DEFAULT_PARAMS (quantlab.model.predefined.realmlp.RealMLPRegressor attribute) (quantlab.model.predefined.xgb_td.XGBTDRegressor attribute) DEFAULT_QUOTA_MAX_WAITS (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition attribute) DEFAULT_QUOTA_WAIT_SECONDS (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition attribute) DEFAULT_REQUEST_RETRIES (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition attribute) DEFAULT_RESAMPLE_HOW (quantlab.dataset.base.BaseDataset attribute) (quantlab.dataset.massive.day_bars.MassiveDayBarDataset attribute) (quantlab.dataset.massive.mapped_bars.MappedDayBarDataset attribute) (quantlab.dataset.massive.mapped_bars.MappedTradeBarDataset attribute) (quantlab.dataset.massive.permaticker_bars.PermatickerDayBarDataset attribute) (quantlab.dataset.massive.permaticker_bars.PermatickerTradeBarDataset attribute) (quantlab.dataset.massive.trade_bars.MassiveTradeBarDataset attribute) DEFAULT_RETRY_BACKOFF_SECONDS (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition attribute) DEFAULT_SUBDIR (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition attribute) (quantlab.acquisition.wrds.taq.WrdsTaqNbboAcquisition attribute) default_transport() (in module quantlab.acquisition.sharadar.client) DEFAULT_VERIFY_PAGE_COUNTS (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition attribute) (quantlab.acquisition.wrds.taq.WrdsTaqNbboAcquisition attribute) DEFAULT_WAIT_FOR_QUOTA (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition attribute) DEFAULTS (quantlab.model.predefined.catboost_model.CatBoostRegressor attribute) (quantlab.model.predefined.double_ensemble.DoubleEnsembleRegressor attribute) (quantlab.model.predefined.gats.GATsRegressor attribute) (quantlab.model.predefined.lgbm.LGBMRegressor attribute) (quantlab.model.predefined.linear.LinearRegressor attribute) (quantlab.model.predefined.master.MASTERRegressor attribute) (quantlab.model.predefined.mlp.MLPRegressor attribute) (quantlab.model.predefined.rnn.ALSTMRegressor attribute) (quantlab.model.predefined.rnn.GRURegressor attribute) (quantlab.model.predefined.rnn.LSTMRegressor attribute) (quantlab.model.predefined.tcn.TCNRegressor attribute) (quantlab.model.predefined.transformer.TransformerRegressor attribute) delay (quantlab.label.config.ForwardConfig attribute) delay_bars() (quantlab.label.forward.Forward method) (quantlab.label.predefined.membership_mask.MembershipMaskedLabel method) delisting_bars() (quantlab.dataset.base.MarketDataset method) (quantlab.dataset.roster.RosterDataset method) DERIVED_HIVE_KEYS (quantlab.dataset.stock.StockDataset attribute) device (quantlab.model.torch_model.TorchModel property) diff() (quantlab.dataset.sharadar.stock.SharadarStockDataset method) diff_path() (quantlab.dataset.sharadar.stock.SharadarStockDataset method) dimension (quantlab.dataset.config.SharadarFundamentalsConfig attribute) direction (quantlab.backtest.config.WeightsBacktestConfig attribute) (quantlab.portfolio.config.MeanVarianceConfig attribute) (quantlab.portfolio.config.TopkDropoutConfig attribute) (quantlab.portfolio.config.TopNConfig attribute) disagreements() (quantlab.dataset.massive.mapped_bars.MappedDayBarDataset method) DoubleEnsembleBoosters (class in quantlab.model.predefined.double_ensemble) DoubleEnsembleRegressor (class in quantlab.model.predefined.double_ensemble) download() (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition method) download_day() (quantlab.acquisition.massive.client.MassiveClient method) download_days() (quantlab.acquisition.massive.client.MassiveClient method) download_symbols() (in module quantlab.acquisition.registry) drawdown_span() (in module quantlab.runs.backtest_stats) drop_crossed (quantlab.dataset.config.NbboBarsDatasetConfig attribute) (quantlab.dataset.config.NbboDatasetConfig attribute) drop_extreme() (in module quantlab.model.torch_training) drop_locked (quantlab.dataset.config.NbboBarsDatasetConfig attribute) (quantlab.dataset.config.NbboDatasetConfig attribute) drop_nonpositive_price (quantlab.dataset.config.NbboBarsDatasetConfig attribute) (quantlab.dataset.config.NbboDatasetConfig attribute)

E

EARLIEST (quantlab.dataset.massive.disclosures.MassiveDisclosureDataset attribute) (quantlab.dataset.massive.dividends.MassiveDividendDataset attribute) (quantlab.dataset.massive.ipos.MassiveIpoDataset attribute) (quantlab.dataset.massive.news.MassiveNewsDataset attribute) (quantlab.dataset.massive.rest_panel.MassiveRestPanel attribute) (quantlab.dataset.massive.short_interest.MassiveShortInterestDataset attribute) (quantlab.dataset.massive.short_volume.MassiveShortVolumeDataset attribute) early_stop (quantlab.model.predefined.gats.GATsRegressor property) early_stopping (quantlab.model.library_model.LibraryModel property) EARLY_STOPPING_METRIC (quantlab.model.predefined.xgb.XGBoostRegressor attribute) early_stopping_patience (quantlab.model.library_model.LibraryModel property) eigen_fit_skip (quantlab.risk.config.Use4RiskConfig attribute) eigen_scale (quantlab.risk.config.Use4RiskConfig attribute) eigen_seed (quantlab.risk.config.Use4RiskConfig attribute) eigen_simulations (quantlab.risk.config.Use4RiskConfig attribute) emit() (quantlab.utils.progress.CallbackProgressReporter method) (quantlab.utils.progress.NullProgressReporter method) (quantlab.utils.progress.ProgressReporter method) (quantlab.utils.progress.TqdmProgressReporter method) empty_sidecar_payload() (quantlab.dataset.crsp.symbology.CrspSymbology static method) end (quantlab.analysis.factor_report.PairAnalysis property) end_date (quantlab.acquisition.config.AcquisitionConfig attribute) (quantlab.backtest.config.ApproximateBacktestConfig attribute) (quantlab.backtest.config.BacktestConfig attribute) (quantlab.dataset.config.BaseDatasetConfig attribute) (quantlab.model.config.ModelConfig attribute) ENDPOINT_MAP (quantlab.acquisition.alpaca.AlpacaAcquisition attribute) entry_prices() (in module quantlab.execution.approximate) epochs (quantlab.model.predefined.gats.GATsRegressor property) (quantlab.model.predefined.master.MASTERRegressor property) (quantlab.model.torch_model.TorchModel property) equity() (quantlab.runs.backtest_run.BacktestRun method) estimate (quantlab.risk.base.FactorRiskModel property) estimate() (quantlab.portfolio.base.CovarianceEstimator method) (quantlab.portfolio.predefined.factor_risk.FactorRiskStoreEstimator method) (quantlab.portfolio.predefined.ledoit_wolf.LedoitWolfEstimator method) estimate_all() (in module quantlab.portfolio.approximate) estimate_path (quantlab.risk.config.FactorRiskConfig attribute) estimate_warmup_bars (quantlab.risk.base.FactorRiskModel property) (quantlab.risk.predefined.use4.Use4RiskModel property) estu_name (quantlab.risk.config.FactorRiskConfig attribute) (quantlab.risk.config.Use4RiskConfig attribute) EstuConstituentDataset (class in quantlab.dataset.estu) etag() (quantlab.acquisition.massive.client.ObjectStore method) (quantlab.acquisition.massive.client.S3ObjectStore method) etf_benchmark() (quantlab.dataset.config.CrspDatasetConfig class method) (quantlab.dataset.config.SharadarDatasetConfig class method) evaluate() (in module quantlab.model.evaluation) evaluation_paths() (in module quantlab.runs.trained_run) evaluation_segments() (quantlab.model.base.BaseModel method) EWAlpha (class in quantlab.factor.kunquant_ts) EWBeta (class in quantlab.factor.kunquant_ts) EWCov (class in quantlab.factor.kunquant_ts)

EWMean (class in quantlab.factor.kunquant_ts) EWResidualStd (class in quantlab.factor.kunquant_ts) EWSum (class in quantlab.factor.kunquant_ts) EWVar (class in quantlab.factor.kunquant_ts) excess_decomposition() (in module quantlab.runs.backtest_attribution) EXCHANGE_FILTER (quantlab.universe.NasdaqUniverseFetcher attribute) (quantlab.universe.TiingoRosterFetcher attribute) (quantlab.universe.USEquityUniverseFetcher attribute) EXCLUDE_NON_COMMON_SECURITY_TYPES (quantlab.universe.TiingoRosterFetcher attribute) (quantlab.universe.USEquityUniverseFetcher attribute) execution (quantlab.backtest.config.BacktestConfig property) (quantlab.runs.backtest_run.BacktestRun property) ExecutionBook (class in quantlab.execution.rules) ExecutionReplay (class in quantlab.execution.rules) ExecutionSettings (class in quantlab.execution.rules) exists (quantlab.runs.live_predictions.LivePredictionStore property) expected_return (quantlab.portfolio.config.BlackLittermanConfig attribute) (quantlab.portfolio.config.MeanVarianceConfig attribute) (quantlab.portfolio.predefined.approximate.mean_variance.PanelProblem attribute) expected_return_label (quantlab.portfolio.config.BlackLittermanConfig attribute) (quantlab.portfolio.config.MeanVarianceConfig attribute) expected_returns() (quantlab.portfolio.base.ExpectedReturnModel method) (quantlab.portfolio.predefined.expected_return.GrinoldExpectedReturn method) (quantlab.portfolio.predefined.expected_return.PredictionExpectedReturn method) (quantlab.portfolio.predefined.expected_return.UnscaledZScoreExpectedReturn method) (quantlab.portfolio.predefined.expected_return.ZScoreExpectedReturn method) EXPECTED_SOURCE_HEADER (quantlab.universe.IndexMembershipFetcher attribute) (quantlab.universe.Nasdaq100MembershipFetcher attribute) (quantlab.universe.SP500MembershipFetcher attribute) ExpectedReturnModel (class in quantlab.portfolio.base) exposure() (quantlab.risk.base.FactorRiskForecast method) exposure_bounds (quantlab.portfolio.config.MeanVarianceConfig attribute) exposure_data_strategy (quantlab.risk.config.FactorRiskConfig attribute) exposure_factors (quantlab.portfolio.config.MeanVarianceConfig attribute) exposure_matrix() (quantlab.risk.base.FactorRiskModel method) (quantlab.risk.predefined.use4.Use4RiskModel method) exposure_names (quantlab.risk.base.FactorRiskModel property) (quantlab.risk.predefined.use4.Use4RiskModel property) exposure_stats() (in module quantlab.runs.backtest_stats) exposures (quantlab.risk.config.FactorRiskConfig attribute) exposures() (quantlab.risk.base.FactorRiskModel method) extend() (quantlab.backend.ranged.RangedStore method) (quantlab.core.store_uses.RangedStoreHandle method) (quantlab.factor.base.Factor method) (quantlab.factor.chunking.ChunkedBuilder method) (quantlab.factor.view.FactorView method) (quantlab.label.forward.Forward method) (quantlab.label.predefined.membership_mask.MembershipMaskedLabel method) (quantlab.risk.base.RiskStore method) extend_symbol_axis() (quantlab.backend.zarr.XrBackend method) extendable_range() (quantlab.backend.ranged.RangedStore method) (quantlab.factor.base.Factor method) (quantlab.factor.view.FactorView method) EXTRA_VARIABLES (quantlab.dataset.crsp.CrspStockDataset attribute)

F

Factor (class in quantlab.factor.base) factor (quantlab.factor.chunking.ChunkedBuilder property) (quantlab.factor.config.FactorViewConfig attribute) (quantlab.factor.config.IntradayAverageConfig attribute) (quantlab.factor.config.IntradayCompositeConfig attribute) (quantlab.factor.config.NeutralizedConfig attribute) (quantlab.label.config.ForwardConfig attribute) (quantlab.portfolio.config.FactorReturnViewConfig attribute) factor_attribution() (in module quantlab.risk.attribution) (quantlab.runs.backtest_run.BacktestRun method) factor_attribution_section() (in module quantlab.runs.factor_attribution_report) factor_data_strategy (quantlab.model.config.ModelConfig attribute) factor_exposure() (quantlab.portfolio.base.CovarianceEstimate method) (quantlab.portfolio.base.LowRankCovarianceEstimate method) (quantlab.risk.base.FactorRiskForecast method) (quantlab.risk.base.ReturnCovariance method) factor_form() (quantlab.portfolio.base.CovarianceEstimate method) (quantlab.portfolio.base.LowRankCovarianceEstimate method) (quantlab.risk.base.FactorRiskForecast method) (quantlab.risk.base.ReturnCovariance method) factor_groups() (quantlab.risk.base.FactorRiskModel method) (quantlab.risk.predefined.use4.Use4RiskModel method) factor_labels() (quantlab.risk.base.FactorRiskModel method) (quantlab.risk.predefined.use4.Use4RiskModel method) factor_names (quantlab.factor.config.BaseFactorConfig attribute) (quantlab.risk.base.FactorRiskModel property) (quantlab.risk.predefined.use4.Use4RiskModel property) factor_risk() (in module quantlab.portfolio.predefined.approximate.covariance) factor_views (quantlab.portfolio.config.BlackLittermanConfig attribute) FactorAnalysis (class in quantlab.analysis.factor_report) FactorAnalyzer (class in quantlab.analysis.factor_report) FactorConfig (class in quantlab.factor.config) FactorCorrelation (class in quantlab.analysis.factor_correlation) FactorCorrelationFigure (class in quantlab.analysis.factor_correlation) FactorKunQuant (class in quantlab.factor.kunquant) FactorPolars (class in quantlab.factor.polars) FactorReportFigure (class in quantlab.analysis.factor_report) FactorReturnView (class in quantlab.portfolio.predefined.black_litterman) FactorReturnViewConfig (class in quantlab.portfolio.config) FactorRiskConfig (class in quantlab.risk.config) FactorRiskForecast (class in quantlab.risk.base) FactorRiskModel (class in quantlab.risk.base) FactorRiskStoreEstimator (class in quantlab.portfolio.predefined.factor_risk) FactorRiskStoreEstimatorConfig (class in quantlab.portfolio.config) factors (quantlab.model.config.ModelConfig attribute) FactorView (class in quantlab.factor.view) FactorViewConfig (class in quantlab.factor.config) failed (quantlab.acquisition.refresh.RawTierRefreshResult property) FAILED (quantlab.dataset.sharadar.stores.StoreState attribute) failed (quantlab.dataset.sharadar.stores.StoreUpdate property) failure() (quantlab.acquisition.refresh.RefreshedPart class method) FAILURE_MANIFEST_NAME (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition attribute) FEED_VALUES (quantlab.acquisition.alpaca.AlpacaAcquisition attribute) fees (quantlab.backtest.config.BacktestConfig attribute) fetch() (quantlab.universe.TiingoRosterFetcher method) fetch_anchor() (quantlab.universe.IndexMembershipFetcher method) (quantlab.universe.Nasdaq100MembershipFetcher method) (quantlab.universe.SP500MembershipFetcher method) fetch_changes() (quantlab.universe.IndexMembershipFetcher method) fetch_rows() (quantlab.acquisition.wrds.taq.WrdsSession method) ff3_columns (quantlab.factor.predefined.literature_alpha.LiteratureAlphaParameters property) ffill() (in module quantlab.execution.approximate) FIELD_MAP (quantlab.acquisition.alpaca.AlpacaAcquisition attribute) FIELD_MAP_BY_DATA_TYPE (quantlab.acquisition.alpaca.AlpacaAcquisition attribute) file_path (quantlab.factor.config.BaseFactorConfig attribute) FileConstituentDatasetConfig (class in quantlab.dataset.config) FilingPanelDataset (class in quantlab.dataset.sharadar.filings) fill_delay_bars (quantlab.backtest.engine_vectorbt.VectorBtBacktester attribute) fill_flows() (in module quantlab.factor.predefined.fundamental_alpha) fill_price_column (quantlab.backtest.config.WeightsBacktestConfig attribute) FILL_VALUE (quantlab.dataset.massive.news.MassiveNewsDataset attribute) (quantlab.dataset.massive.rest_panel.MassiveRestEventPanel attribute) filter_by_date() (quantlab.backend.base.DataBackend method) (quantlab.backend.parquet.PlBackend method) (quantlab.backend.zarr.XrBackend method) filter_by_symbol() (quantlab.backend.base.DataBackend method) (quantlab.backend.parquet.PlBackend method) (quantlab.backend.zarr.XrBackend method)

filter_report_path() (quantlab.dataset.crsp.CrspStockDataset method) filter_stats_path (quantlab.dataset.nbbo.panel.NbboPanelBase property) firm_value_columns (quantlab.factor.predefined.barra.BarraStyleParameters property) fitted_train_bounds (quantlab.model.base.BaseModel property) (quantlab.model.ensemble.BaseEnsemble property) (quantlab.model.view.PredictorView property) flatten_metrics() (in module quantlab.tracking.base) Fold (class in quantlab.model.split) fold_config() (in module quantlab.model.walk_forward_training) fold_directory() (in module quantlab.runs.trained_run) fold_tickers_history() (in module quantlab.acquisition.sharadar.raw_tier) FoldArtifacts (class in quantlab.runs.backtest_run) forecast() (quantlab.risk.base.FactorRiskModel method) forecast_window() (quantlab.risk.base.FactorRiskModel method) FORMAT_VERSION (quantlab.runs.live_predictions.LivePredictionStore attribute) (quantlab.runs.prediction_panel.PredictionPanel attribute) formation_window (quantlab.factor.predefined.residual_momentum.ResidualMomentumParameters property) Forward (class in quantlab.label.forward) forward() (quantlab.model.predefined.gats.GATsNet method) (quantlab.model.predefined.master.AttentionBlock method) (quantlab.model.predefined.master.Gate method) (quantlab.model.predefined.master.MASTERNet method) (quantlab.model.predefined.master.PositionalEncoding method) (quantlab.model.predefined.master.TemporalAttention method) (quantlab.model.predefined.mlp.MLPNet method) (quantlab.model.predefined.rnn.ALSTMNet method) (quantlab.model.predefined.rnn.RNNNet method) (quantlab.model.predefined.tcn.Chomp1d method) (quantlab.model.predefined.tcn.TCNNet method) (quantlab.model.predefined.tcn.TemporalBlock method) (quantlab.model.predefined.transformer.LocalformerEncoder method) (quantlab.model.predefined.transformer.LocalformerNet method) (quantlab.model.predefined.transformer.PositionalEncoding method) (quantlab.model.predefined.transformer.TransformerNet method) forward_returns() (in module quantlab.api) ForwardConfig (class in quantlab.label.config) FoundStoreUse (class in quantlab.core.store_uses) FrameDataset (class in quantlab.dataset.memory) FrameDatasetConfig (class in quantlab.dataset.config) FredAcquisition (class in quantlab.acquisition.fred) FredRateConfig (class in quantlab.dataset.config) FredRateDataset (class in quantlab.dataset.fred) frequency (quantlab.acquisition.config.AcquisitionConfig attribute) (quantlab.dataset.config.CrspDatasetConfig attribute) (quantlab.dataset.config.DatasetConfig attribute) (quantlab.dataset.config.FredRateConfig attribute) (quantlab.dataset.config.MassiveDayBarsDatasetConfig attribute) (quantlab.dataset.config.MassiveTradeBarsDatasetConfig attribute) (quantlab.dataset.config.NbboBarsDatasetConfig attribute) (quantlab.dataset.config.NbboDatasetConfig attribute) (quantlab.dataset.config.SharadarDatasetConfig attribute) Fret (class in quantlab.analysis.factor_report) from_arrays() (quantlab.model.torch_data.TrainingPanel class method) from_config() (quantlab.backtest.base.BaseBacktester class method) (quantlab.core.component.Component class method) (quantlab.dataset.base.BaseDataset class method) (quantlab.dataset.nbbo.bars.NbboBarsRequest class method) (quantlab.dataset.nbbo.resample.NbboFilterPolicy class method) (quantlab.factor.predefined.alternative_alpha.AlternativeAlphaParameters class method) (quantlab.factor.predefined.barra.BarraStyleParameters class method) (quantlab.factor.predefined.fundamental_alpha.FundamentalAlphaParameters class method) (quantlab.factor.predefined.literature_alpha.LiteratureAlphaParameters class method) (quantlab.factor.predefined.residual_momentum.ResidualMomentumParameters class method) (quantlab.label.predefined.membership_mask.MembershipMaskedLabel class method) (quantlab.model.predefined.model_ensemble.ModelEnsemble class method) (quantlab.model.predefined.seed_ensemble.SeedEnsemble class method) (quantlab.model.view.PredictorView class method) (quantlab.tracking.base.Tracker class method) from_data_root() (quantlab.dataset.massive.rest_panel.MassiveRestPanel class method) from_env() (quantlab.acquisition.massive.client.MassiveCredentials class method) from_kwargs() (quantlab.factor.predefined.intraday.IntradayParameters class method) from_raw_data() (quantlab.dataset.raw.RawDataset method) from_raw_data_chunked() (quantlab.dataset.raw.RawDataset method) from_record() (quantlab.dataset.nbbo.bars.NbboBarsRequest class method) from_run() (quantlab.portfolio.decision_inputs.DecisionInputs class method) FrozenConfig (class in quantlab.core.config) FundamentalAlpha (class in quantlab.factor.predefined.fundamental_alpha) FundamentalAlphaParameters (class in quantlab.factor.predefined.fundamental_alpha)

G

Gate (class in quantlab.model.predefined.master) gate() (quantlab.model.predefined.master.MASTERNet method) gate_columns (quantlab.model.predefined.master.MASTERRegressor property) GATsNet (class in quantlab.model.predefined.gats) GATsRegressor (class in quantlab.model.predefined.gats) generate_body() (quantlab.factor.kunquant_cs.CapWeightedStandardize method) (quantlab.factor.kunquant_cs.CrossSectionalIndustrySizeFill method) (quantlab.factor.kunquant_cs.CrossSectionalNeutralize method) (quantlab.factor.kunquant_cs.CrossSectionalSigmaClip method) (quantlab.factor.kunquant_cs.CrossSectionalTopN method) (quantlab.factor.kunquant_cs.CrossSectionalWeightedMean method) (quantlab.factor.kunquant_cs.CrossSectionalWLSResidual method) (quantlab.factor.kunquant_cs.CrossSectionalZScore method) generate_head() (quantlab.factor.kunquant_cs.CapWeightedStandardize method) (quantlab.factor.kunquant_cs.CrossSectionalSigmaClip method) (quantlab.factor.kunquant_cs.CrossSectionalTopN method) (quantlab.factor.kunquant_cs.CrossSectionalWeightedMean method) (quantlab.factor.kunquant_cs.CrossSectionalWLSResidual method) (quantlab.factor.kunquant_cs.CrossSectionalZScore method) get() (quantlab.acquisition.base.DataSourceRegistry class method) get_cls_from_path() (in module quantlab.core.component) get_config() (quantlab.core.component.Component method) (quantlab.model.walk_forward_training.WalkForwardTrainable method) get_data_root() (in module quantlab.config) get_factor_names() (quantlab.factor.base.Factor method) (quantlab.label.forward.Forward method) (quantlab.label.predefined.membership_mask.MembershipMaskedLabel method) (quantlab.model.base.BaseModel method)

get_label_names() (quantlab.model.base.BaseModel method) get_lazyframe() (quantlab.backend.base.DataBackend method) (quantlab.backend.parquet.PlBackend method) (quantlab.backend.zarr.XrBackend method) (quantlab.dataset.raw.RawDataset method) get_symbols_as_of() (quantlab.universe.UniverseCatalog method) get_symbols_in_range() (quantlab.universe.UniverseCatalog method) get_xarray_dataset() (quantlab.backend.base.DataBackend method) (quantlab.backend.parquet.PlBackend method) (quantlab.backend.zarr.XrBackend method) (quantlab.dataset.raw.RawDataset method) GLOBAL_STOP_ERRORS (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition attribute) (quantlab.acquisition.wrds.taq.WrdsTaqNbboAcquisition attribute) grad_clip_value (quantlab.model.predefined.mlp.MLPRegressor attribute) (quantlab.model.torch_model.TorchModel attribute) gram() (in module quantlab.model.predefined.linear) granularity (quantlab.dataset.raw.ConversionResult attribute) (quantlab.factor.chunking.ChunkedBuilder property) graph_key() (in module quantlab.factor.kunquant_compile) GrinoldExpectedReturn (class in quantlab.portfolio.predefined.expected_return) GrinoldExpectedReturnConfig (class in quantlab.portfolio.config) GRURegressor (class in quantlab.model.predefined.rnn)

H

halflife_bars (quantlab.model.predefined.smoothed.SmoothedPredictorConfig attribute) handle (quantlab.core.store_uses.FoundStoreUse property) has() (quantlab.runs.live_predictions.LivePredictionStore method) has_decay() (quantlab.analysis.factor_report.FactorAnalysis method) has_predictions (quantlab.runs.backtest_run.BacktestRun property) has_raw_data() (quantlab.dataset.massive.day_bars.MassiveDayBarDataset method) (quantlab.dataset.massive.trade_bars.MassiveTradeBarDataset method) (quantlab.dataset.stock.StockDataset method) has_schema_usage() (quantlab.acquisition.wrds.taq.WrdsSession method) head() (quantlab.backend.base.DataBackend method) (quantlab.backend.parquet.PlBackend method) (quantlab.backend.zarr.XrBackend method) (quantlab.dataset.base.BaseDataset method) (quantlab.dataset.memory.FrameDataset method) (quantlab.dataset.merged.MergedDataset method) (quantlab.dataset.roster.RosterDataset method)

head_hyperparameters() (quantlab.model.base.BaseModel method) header() (quantlab.runs.live_predictions.LivePredictionStore static method) held_at_pull() (quantlab.dataset.sharadar.permatickers.HolderSpan method) history (quantlab.model.predefined.recorded.RecordedPredictorConfig attribute) history_columns() (quantlab.factor.predefined.barra.BarraStyleParameters method) history_prices() (quantlab.portfolio.decision_inputs.DecisionInputs method) HIVE_KEYS (quantlab.acquisition.wrds.taq_bars.WrdsTaqNbboBarsAcquisition attribute) HIVE_SCHEMA (quantlab.dataset.nbbo.bars.NbboBarsDataset attribute) HIVE_SCHEMA_BY_FREQUENCY (quantlab.dataset.stock.StockDataset attribute) HolderSpan (class in quantlab.dataset.sharadar.permatickers) holdings() (in module quantlab.portfolio.predefined.approximate.topk_dropout) (quantlab.runs.backtest_run.BacktestRun method) holds() (in module quantlab.utils.watermark) horizon (quantlab.factor.predefined.momentum.Momentum property) hyperparameters (quantlab.model.config.ModelConfig attribute)

I

ic (quantlab.portfolio.config.GrinoldExpectedReturnConfig attribute) (quantlab.portfolio.config.ZScoreExpectedReturnConfig attribute) ic_decay_table() (quantlab.analysis.factor_report.FactorAnalysis method) ic_panel_metrics() (in module quantlab.model.evaluation) ic_table() (quantlab.analysis.factor_report.FactorAnalysis method) implementation() (in module quantlab.portfolio.approximate) import_path (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition property) (quantlab.core.component.Component property) in_ranges() (in module quantlab.runs.backtest_stats) in_sample_window() (in module quantlab.model.split) INDEX (quantlab.dataset.constituent.CompustatNasdaq100ConstituentDataset attribute) (quantlab.dataset.constituent.CrspSP500ConstituentDataset attribute) IndexBatches (class in quantlab.model.torch_data) IndexConstituentDataset (class in quantlab.dataset.raw) INDEXES (quantlab.dataset.crsp.membership.CrspMembership attribute) IndexMembershipFetcher (class in quantlab.universe) indicators (quantlab.dataset.config.SharadarFiscalYearsConfig attribute) industries (quantlab.risk.config.Use4RiskConfig attribute) industry_column (quantlab.factor.config.NeutralizedConfig attribute) industry_merge (quantlab.dataset.config.SharadarIndustryConfig attribute) industry_name (quantlab.risk.config.Use4RiskConfig attribute) information_ratio() (in module quantlab.model.evaluation) init_cash (quantlab.backtest.config.BacktestConfig attribute) (quantlab.runs.backtest_run.BacktestRun property)

init_stream() (quantlab.factor.kunquant.FactorKunQuant method) (quantlab.factor.predefined.alternative_alpha.AlternativeAlpha method) (quantlab.factor.predefined.barra.BarraStyle method) (quantlab.factor.predefined.daily_anomaly_alpha.DailyAnomalyAlpha method) (quantlab.factor.predefined.fundamental_alpha.FundamentalAlpha method) input_columns (quantlab.factor.predefined.residual_momentum.ResidualMomentumParameters property) input_stores() (in module quantlab.backtest.live) InputDeclaration (class in quantlab.portfolio.base) inputs() (quantlab.dataset.base.BaseDataset method) (quantlab.dataset.massive.permaticker_bars.PermatickerDataset method) (quantlab.dataset.merged.MergedDataset method) (quantlab.dataset.roster.RosterDataset method) inside_repository() (in module quantlab.utils.cli) intrabar_variables (quantlab.dataset.config.BadPrintMaskedDatasetConfig attribute) INTRADAY_START_SUFFIX (quantlab.acquisition.alpaca.AlpacaAcquisition attribute) IntradayAverage (class in quantlab.factor.predefined.intraday) IntradayAverageConfig (class in quantlab.factor.config) IntradayComposite (class in quantlab.factor.predefined.intraday) IntradayCompositeConfig (class in quantlab.factor.config) IntradayParameters (class in quantlab.factor.predefined.intraday) IntradayStats (class in quantlab.factor.predefined.intraday) is_cancelled() (quantlab.utils.progress.CancelToken method) is_close() (in module quantlab.execution.rules) is_configured() (in module quantlab.acquisition.registry) is_member_at() (quantlab.dataset.raw.IndexConstituentDataset method)

J

JsonSidecar (class in quantlab.utils.sidecar)

jump (quantlab.dataset.config.BadPrintMaskedDatasetConfig attribute)

K

keep_compiled() (quantlab.factor.base.Factor method) (quantlab.factor.kunquant.FactorKunQuant method) (quantlab.factor.predefined.neutralized.NeutralizedFactor method) (quantlab.factor.view.FactorView method) keep_qu_cond (quantlab.dataset.config.NbboBarsDatasetConfig attribute) (quantlab.dataset.config.NbboDatasetConfig attribute) keeps_every_symbol() (quantlab.portfolio.base.PortfolioConstructor method) (quantlab.portfolio.predefined.mean_variance.MeanVarianceOptimizer method) key (quantlab.analysis.factor_report.PairAnalysis property)

KEY (quantlab.dataset.sharadar.events.SharadarEventsDataset attribute) (quantlab.dataset.sharadar.filings.FilingPanelDataset attribute) kind (quantlab.label.forward.Forward attribute) (quantlab.label.predefined.fret.Volatility attribute) (quantlab.label.predefined.membership_mask.MembershipMaskedLabel property) known_categories() (quantlab.universe.UniverseCatalog method) kwargs (quantlab.acquisition.config.AcquisitionConfig attribute) (quantlab.dataset.config.BaseDatasetConfig attribute) (quantlab.factor.config.BaseFactorConfig attribute) (quantlab.universe.UniverseConfig attribute)

L

label (quantlab.label.predefined.membership_mask.MembershipMaskedLabelConfig attribute) label() (quantlab.dataset.base.TickerLookup method) label_data_strategy (quantlab.model.config.ModelConfig attribute) label_delays (quantlab.model.base.BaseModel property) (quantlab.model.ensemble.BaseEnsemble property) (quantlab.model.view.PredictorView property) label_ns() (in module quantlab.utils.date_range) label_scales (quantlab.model.base.BaseModel property) (quantlab.model.ensemble.BaseEnsemble property) (quantlab.model.predefined.smoothed.SmoothedPredictor property) (quantlab.model.training_target.TrainingTargetMixin property) (quantlab.model.view.PredictorView property) label_specs() (in module quantlab.backtest.base) labels (quantlab.model.base.BaseModel property) (quantlab.model.config.ModelConfig attribute) (quantlab.model.ensemble.BaseEnsemble property) (quantlab.model.view.PredictorView property) labels() (quantlab.dataset.massive.resample.TradeBarResampler method) (quantlab.dataset.nbbo.resample.NbboResampler method) (quantlab.runs.live_predictions.LivePredictionStore method) LabelSpec (class in quantlab.runs.prediction_panel) lags() (quantlab.factor.predefined.fundamental_alpha.FundamentalAlphaParameters method) lasso_gram() (in module quantlab.model.predefined.linear) last_bar() (in module quantlab.backtest.live) last_filter_stats (quantlab.dataset.nbbo.panel.NbboPanelBase attribute) last_moment() (in module quantlab.utils.date_range) latest_conditions() (in module quantlab.dataset.massive.raw) leave_out() (quantlab.dataset.massive.placement.TickerPlacement method) ledger_path (quantlab.dataset.raw.ConversionResult attribute) ledoit_wolf() (in module quantlab.portfolio.predefined.approximate.covariance) LedoitWolfEstimator (class in quantlab.portfolio.predefined.ledoit_wolf) LedoitWolfEstimatorConfig (class in quantlab.portfolio.config) left_out() (quantlab.dataset.massive.placement.TickerPlacement method) (quantlab.dataset.sharadar.permatickers.PermatickerResolver method) LGBMRegressor (class in quantlab.model.predefined.lgbm)

LIBRARY_DEFAULTS (quantlab.model.predefined.double_ensemble.DoubleEnsembleRegressor attribute) (quantlab.model.predefined.linear.LinearRegressor attribute) LibraryModel (class in quantlab.model.library_model) line (quantlab.acquisition.refresh.RefreshedPart property) LinearRegressor (class in quantlab.model.predefined.linear) lines() (quantlab.dataset.sharadar.stores.StoreUpdate method) LINK_GAP_TOLERANCE_DAYS (quantlab.dataset.crsp.membership.CrspMembership attribute) LINK_TYPES (quantlab.dataset.crsp.membership.CrspMembership attribute) LiteratureAlpha (class in quantlab.factor.predefined.literature_alpha) LiteratureAlphaParameters (class in quantlab.factor.predefined.literature_alpha) LivePrediction (class in quantlab.backtest.live) LivePredictionStore (class in quantlab.runs.live_predictions) load() (quantlab.model.base.BaseModel method) (quantlab.model.ensemble.BaseEnsemble method) (quantlab.model.predefined.recorded.RecordedPredictor method) (quantlab.model.view.PredictorView method) (quantlab.universe.UniverseCatalog class method) load_component() (in module quantlab.core.store_folder) LocalformerEncoder (class in quantlab.model.predefined.transformer) LocalformerNet (class in quantlab.model.predefined.transformer) LocalformerRegressor (class in quantlab.model.predefined.transformer) locked (quantlab.portfolio.base.PortfolioContext property) log() (quantlab.tracking.base.TrackingRun method) log_file() (quantlab.tracking.base.TrackingRun method) log_report() (quantlab.runs.backtest_run.BacktestRun method) log_table() (quantlab.tracking.base.TrackingRun method) long_short_statistics() (in module quantlab.analysis.factor_report) lookahead_bars() (quantlab.label.forward.Forward method) (quantlab.label.predefined.membership_mask.MembershipMaskedLabel method) lookback (quantlab.dataset.config.BadPrintMaskedDatasetConfig attribute) lookback_bars (quantlab.factor.config.BenchmarkBetaConfig attribute) (quantlab.portfolio.config.LedoitWolfEstimatorConfig attribute) low_rank (quantlab.portfolio.predefined.approximate.mean_variance.PanelProblem attribute) LowRankCovariance (class in quantlab.portfolio.approximate) LowRankCovarianceEstimate (class in quantlab.portfolio.base) LSTMRegressor (class in quantlab.model.predefined.rnn)

M

mae() (in module quantlab.model.evaluation) manifest (quantlab.dataset.crsp.reference.CrspReference property) manifest_path (quantlab.acquisition.wrds.crsp_reference.CrspReferenceTables property) map_days() (in module quantlab.dataset.massive.mapped_bars) (quantlab.dataset.massive.ticker_map.TickerMap method) map_permatickers() (in module quantlab.dataset.sharadar.tables) map_raw_table() (in module quantlab.dataset.sharadar.permatickers) MappedDayBarDataset (class in quantlab.dataset.massive.mapped_bars) MappedDayBarsConfig (class in quantlab.dataset.config) MappedPermatickerDataset (class in quantlab.dataset.massive.mapped_bars) MappedTradeBarDataset (class in quantlab.dataset.massive.mapped_bars) MappedTradeBarsConfig (class in quantlab.dataset.config) mapping_labels (quantlab.dataset.sharadar.tables.SharadarTable property) mark_book() (in module quantlab.execution.approximate) Market (class in quantlab.runs.backtest_run) market (quantlab.acquisition.config.AcquisitionConfig attribute) MARKET (quantlab.backtest.approximate.ApproximateBacktest attribute) (quantlab.backtest.predefined.us_equity.USEquityApproximateBacktest attribute) market (quantlab.dataset.config.CrspDatasetConfig attribute) (quantlab.dataset.config.DatasetConfig attribute) (quantlab.dataset.config.FredRateConfig attribute) (quantlab.dataset.config.MassiveDayBarsDatasetConfig attribute) (quantlab.dataset.config.MassiveTradeBarsDatasetConfig attribute) (quantlab.dataset.config.NbboBarsDatasetConfig attribute) (quantlab.dataset.config.NbboDatasetConfig attribute) (quantlab.dataset.config.SharadarDatasetConfig attribute) (quantlab.portfolio.config.BlackLittermanConfig attribute) market_cap_column (quantlab.risk.config.FactorRiskConfig attribute) market_exposures() (quantlab.portfolio.predefined.black_litterman.BlackLittermanOptimizer method) market_views (quantlab.portfolio.config.BlackLittermanConfig attribute) market_weight (quantlab.portfolio.config.BlackLittermanConfig attribute) market_weights() (quantlab.portfolio.predefined.black_litterman.BlackLittermanOptimizer method) MarketDataset (class in quantlab.dataset.base) MarketFeatureConfig (class in quantlab.factor.config) MarketFeatures (class in quantlab.factor.predefined.market) MarketReturnView (class in quantlab.portfolio.predefined.black_litterman) MarketReturnViewConfig (class in quantlab.portfolio.config) MarketSpec (class in quantlab.backtest.base) mask (quantlab.model.torch_data.Batch attribute) mask() (quantlab.dataset.raw.IndexConstituentDataset method) masked_mse() (in module quantlab.model.torch_training) masked_variables (quantlab.dataset.config.BadPrintMaskedDatasetConfig attribute) massive_dir (quantlab.dataset.config.MassiveRestPanelConfig attribute) (quantlab.dataset.config.MassiveTenKChangesConfig attribute) (quantlab.dataset.config.TickerMapConfig attribute) MassiveClient (class in quantlab.acquisition.massive.client) MassiveCredentials (class in quantlab.acquisition.massive.client) MassiveDayBarDataset (class in quantlab.dataset.massive.day_bars) MassiveDayBarsDatasetConfig (class in quantlab.dataset.config) MassiveDisclosureDataset (class in quantlab.dataset.massive.disclosures) MassiveDisclosuresConfig (class in quantlab.dataset.config) MassiveDividendDataset (class in quantlab.dataset.massive.dividends) MassiveDividendsConfig (class in quantlab.dataset.config) MassiveIpoDataset (class in quantlab.dataset.massive.ipos) MassiveIposConfig (class in quantlab.dataset.config) MassiveNewsConfig (class in quantlab.dataset.config) MassiveNewsDataset (class in quantlab.dataset.massive.news) MassiveRestEventPanel (class in quantlab.dataset.massive.rest_panel) MassiveRestPanel (class in quantlab.dataset.massive.rest_panel) MassiveRestPanelConfig (class in quantlab.dataset.config) MassiveShortInterestConfig (class in quantlab.dataset.config) MassiveShortInterestDataset (class in quantlab.dataset.massive.short_interest) MassiveShortVolumeConfig (class in quantlab.dataset.config) MassiveShortVolumeDataset (class in quantlab.dataset.massive.short_volume) MassiveTenKChangesConfig (class in quantlab.dataset.config) MassiveTenKChangesDataset (class in quantlab.dataset.massive.ten_k) MassiveTradeBarDataset (class in quantlab.dataset.massive.trade_bars) MassiveTradeBarsDatasetConfig (class in quantlab.dataset.config) MASTERNet (class in quantlab.model.predefined.master) MASTERRegressor (class in quantlab.model.predefined.master) MAX_CONNECTIONS (quantlab.acquisition.wrds.taq.WrdsSession attribute) max_iterations (quantlab.backtest.config.ApproximateBacktestConfig attribute) max_names (quantlab.portfolio.config.MeanVarianceConfig attribute) MAX_REFERENCE_ROWS (quantlab.acquisition.wrds.crsp_reference.CrspReferenceTables attribute) max_stale_bars (quantlab.portfolio.config.LedoitWolfEstimatorConfig attribute) MAX_WIDEN_BYTES (quantlab.backend.zarr.XrBackend attribute) MAX_WORKERS (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition attribute) (quantlab.acquisition.wrds.taq.WrdsTaqNbboAcquisition attribute) MeanVarianceConfig (class in quantlab.portfolio.config) MeanVarianceInputs (class in quantlab.portfolio.predefined.mean_variance) MeanVarianceOptimizer (class in quantlab.portfolio.predefined.mean_variance) member_correlation() (in module quantlab.model.ensemble) member_directory() (in module quantlab.runs.trained_run) members (quantlab.model.predefined.model_ensemble.ModelEnsembleConfig attribute) membership (quantlab.factor.config.MembershipCapWeightConfig attribute) (quantlab.factor.config.MembershipMaskedFactorConfig attribute) (quantlab.label.predefined.membership_mask.MembershipMaskedLabelConfig attribute) (quantlab.model.predefined.membership_mask.MembershipMaskConfig attribute) MEMBERSHIP_FETCHERS (quantlab.universe.UniverseCatalog attribute) MembershipCapWeight (class in quantlab.factor.predefined.membership_cap_weight) MembershipCapWeightConfig (class in quantlab.factor.config) MembershipMaskConfig (class in quantlab.model.predefined.membership_mask) MembershipMaskedFactor (class in quantlab.factor.predefined.membership_mask) MembershipMaskedFactorConfig (class in quantlab.factor.config) MembershipMaskedLabel (class in quantlab.label.predefined.membership_mask) MembershipMaskedLabelConfig (class in quantlab.label.predefined.membership_mask) MembershipMaskedPredictor (class in quantlab.model.predefined.membership_mask) memory_budget() (in module quantlab.factor.chunking) merged() (quantlab.portfolio.base.InputDeclaration method) MergedDataset (class in quantlab.dataset.merged) MergedDatasetConfig (class in quantlab.dataset.config) metric_splits (quantlab.model.config.ModelConfig attribute) metrics() (quantlab.runs.backtest_run.BacktestRun method) min_bars (quantlab.factor.config.BenchmarkBetaConfig attribute) min_count (quantlab.factor.config.IntradayAverageConfig attribute) (quantlab.factor.predefined.intraday.CompositePart property) min_industry_members (quantlab.risk.config.Use4RiskConfig attribute) min_observations (quantlab.risk.config.Use4RiskConfig attribute) MIN_ROSTER_ROWS (quantlab.universe.NasdaqUniverseFetcher attribute) (quantlab.universe.TiingoRosterFetcher attribute) (quantlab.universe.USEquityUniverseFetcher attribute) min_trade (quantlab.portfolio.config.MeanVarianceConfig attribute) mip_gap (quantlab.portfolio.config.MeanVarianceConfig attribute) mirror_new_bars() (in module quantlab.backtest.live) missing_stores() (in module quantlab.dataset.sharadar.stores) MlflowRun (class in quantlab.tracking.mlflow) MlflowTracker (class in quantlab.tracking.mlflow) MLPNet (class in quantlab.model.predefined.mlp) MLPRegressor (class in quantlab.model.predefined.mlp) mode (quantlab.factor.config.FactorConfig attribute) model (quantlab.backtest.config.BacktestConfig attribute) (quantlab.model.predefined.seed_ensemble.SeedEnsembleConfig attribute) model_mode (quantlab.backtest.config.BacktestConfig attribute) model_save_dir (quantlab.model.base.BaseModel property) (quantlab.model.config.ModelConfig attribute) (quantlab.model.ensemble.BaseEnsemble property) ModelConfig (class in quantlab.model.config) ModelEnsemble (class in quantlab.model.predefined.model_ensemble) ModelEnsembleConfig (class in quantlab.model.predefined.model_ensemble) module quantlab.acquisition quantlab.acquisition.alpaca quantlab.acquisition.base quantlab.acquisition.config quantlab.acquisition.fred quantlab.acquisition.massive quantlab.acquisition.massive.client quantlab.acquisition.massive.raw_tier quantlab.acquisition.massive.refresh quantlab.acquisition.massive.rest quantlab.acquisition.refresh quantlab.acquisition.registry quantlab.acquisition.sharadar quantlab.acquisition.sharadar.client quantlab.acquisition.sharadar.raw_tier quantlab.acquisition.sharadar.refresh quantlab.acquisition.symbol_batch quantlab.acquisition.tiingo quantlab.acquisition.wrds quantlab.acquisition.wrds.crsp quantlab.acquisition.wrds.crsp_reference quantlab.acquisition.wrds.nbbo_bars_sql quantlab.acquisition.wrds.rebuild quantlab.acquisition.wrds.taq quantlab.acquisition.wrds.taq_bars quantlab.analysis quantlab.analysis.factor_correlation quantlab.analysis.factor_report quantlab.api quantlab.backend quantlab.backend.base quantlab.backend.parquet quantlab.backend.ranged quantlab.backend.resample quantlab.backend.zarr quantlab.backtest quantlab.backtest.approximate quantlab.backtest.base quantlab.backtest.config quantlab.backtest.engine_vectorbt quantlab.backtest.live quantlab.backtest.predefined quantlab.backtest.predefined.us_equity quantlab.backtest.predefined.weights quantlab.config quantlab.core quantlab.core.component quantlab.core.config quantlab.core.store_folder quantlab.core.store_uses quantlab.dataset quantlab.dataset.bad_prints quantlab.dataset.base quantlab.dataset.common_stock quantlab.dataset.config quantlab.dataset.constituent quantlab.dataset.crsp quantlab.dataset.crsp.market quantlab.dataset.crsp.membership quantlab.dataset.crsp.reference quantlab.dataset.crsp.symbology quantlab.dataset.crsp.tickers quantlab.dataset.estu quantlab.dataset.fred quantlab.dataset.massive quantlab.dataset.massive.day_bar_events quantlab.dataset.massive.day_bars quantlab.dataset.massive.disclosures quantlab.dataset.massive.dividends quantlab.dataset.massive.ipos quantlab.dataset.massive.mapped_bars quantlab.dataset.massive.news quantlab.dataset.massive.permaticker_bars quantlab.dataset.massive.placement quantlab.dataset.massive.raw quantlab.dataset.massive.resample quantlab.dataset.massive.rest_panel quantlab.dataset.massive.short_interest quantlab.dataset.massive.short_volume quantlab.dataset.massive.ten_k quantlab.dataset.massive.ticker_map quantlab.dataset.massive.trade_bars quantlab.dataset.massive.vendor_check quantlab.dataset.memory quantlab.dataset.merged quantlab.dataset.nbbo quantlab.dataset.nbbo.bars quantlab.dataset.nbbo.panel quantlab.dataset.nbbo.resample quantlab.dataset.raw quantlab.dataset.roster quantlab.dataset.sharadar quantlab.dataset.sharadar.actions quantlab.dataset.sharadar.daily quantlab.dataset.sharadar.events quantlab.dataset.sharadar.filings quantlab.dataset.sharadar.fiscal_years quantlab.dataset.sharadar.fundamentals quantlab.dataset.sharadar.history quantlab.dataset.sharadar.holdings quantlab.dataset.sharadar.industry quantlab.dataset.sharadar.insiders quantlab.dataset.sharadar.listing quantlab.dataset.sharadar.membership quantlab.dataset.sharadar.permatickers quantlab.dataset.sharadar.point_in_time quantlab.dataset.sharadar.share_class quantlab.dataset.sharadar.spells quantlab.dataset.sharadar.stock quantlab.dataset.sharadar.stores quantlab.dataset.sharadar.tables quantlab.dataset.sharadar.tickers quantlab.dataset.sharadar.universe quantlab.dataset.spot quantlab.dataset.stock quantlab.enums quantlab.enums.constant quantlab.enums.data quantlab.execution quantlab.execution.approximate quantlab.execution.rules quantlab.factor quantlab.factor.base quantlab.factor.chunking quantlab.factor.config quantlab.factor.kunquant quantlab.factor.kunquant_compile quantlab.factor.kunquant_cs quantlab.factor.kunquant_ts quantlab.factor.polars quantlab.factor.predefined quantlab.factor.predefined.alpha101 quantlab.factor.predefined.alpha158 quantlab.factor.predefined.alternative_alpha quantlab.factor.predefined.barra quantlab.factor.predefined.benchmark_beta quantlab.factor.predefined.daily_anomaly_alpha quantlab.factor.predefined.fundamental_alpha quantlab.factor.predefined.intraday quantlab.factor.predefined.literature_alpha quantlab.factor.predefined.market quantlab.factor.predefined.membership_cap_weight quantlab.factor.predefined.membership_mask quantlab.factor.predefined.momentum quantlab.factor.predefined.neutralized quantlab.factor.predefined.residual_momentum quantlab.factor.predefined.roster quantlab.factor.predefined.short_horizon quantlab.factor.predefined.start_clipped quantlab.factor.view quantlab.label quantlab.label.config quantlab.label.forward quantlab.label.predefined quantlab.label.predefined.fret quantlab.label.predefined.membership_mask quantlab.model quantlab.model.base quantlab.model.collected_panel quantlab.model.config quantlab.model.ensemble quantlab.model.evaluation quantlab.model.library_model quantlab.model.predefined quantlab.model.predefined.catboost_model quantlab.model.predefined.double_ensemble quantlab.model.predefined.gats quantlab.model.predefined.lgbm quantlab.model.predefined.linear quantlab.model.predefined.master quantlab.model.predefined.membership_mask quantlab.model.predefined.mlp quantlab.model.predefined.model_ensemble quantlab.model.predefined.realmlp quantlab.model.predefined.recorded quantlab.model.predefined.rnn quantlab.model.predefined.seed_ensemble quantlab.model.predefined.smoothed quantlab.model.predefined.tcn quantlab.model.predefined.transformer quantlab.model.predefined.xgb quantlab.model.predefined.xgb_td quantlab.model.split quantlab.model.torch_data quantlab.model.torch_model quantlab.model.torch_training quantlab.model.training_target quantlab.model.view quantlab.model.walk_forward_training quantlab.portfolio quantlab.portfolio.approximate quantlab.portfolio.base quantlab.portfolio.config quantlab.portfolio.decision_inputs quantlab.portfolio.predefined quantlab.portfolio.predefined.active_risk quantlab.portfolio.predefined.approximate quantlab.portfolio.predefined.approximate.black_litterman quantlab.portfolio.predefined.approximate.covariance quantlab.portfolio.predefined.approximate.mean_variance quantlab.portfolio.predefined.approximate.top_n quantlab.portfolio.predefined.approximate.topk_dropout quantlab.portfolio.predefined.black_litterman quantlab.portfolio.predefined.expected_return quantlab.portfolio.predefined.factor_risk quantlab.portfolio.predefined.ledoit_wolf quantlab.portfolio.predefined.mean_variance quantlab.portfolio.predefined.top_n quantlab.portfolio.predefined.topk_dropout quantlab.risk quantlab.risk.attribution quantlab.risk.base quantlab.risk.bias quantlab.risk.config quantlab.risk.predefined quantlab.risk.predefined.use4 quantlab.runs quantlab.runs.backtest_attribution quantlab.runs.backtest_report quantlab.runs.backtest_run quantlab.runs.backtest_stats quantlab.runs.directory quantlab.runs.factor_attribution_report quantlab.runs.live_predictions quantlab.runs.prediction_panel quantlab.runs.record quantlab.runs.run_metrics quantlab.runs.trained_run quantlab.tracking quantlab.tracking.base quantlab.tracking.mlflow quantlab.tracking.wandb quantlab.universe quantlab.utils quantlab.utils.atomic quantlab.utils.cli quantlab.utils.cross_section quantlab.utils.date_range quantlab.utils.jsonable quantlab.utils.progress quantlab.utils.resample quantlab.utils.returns quantlab.utils.sidecar quantlab.utils.symbol_axis quantlab.utils.timer quantlab.utils.watermark

moments() (quantlab.portfolio.predefined.black_litterman.BlackLittermanOptimizer method) Momentum (class in quantlab.factor.predefined.momentum) monthly_ic_table() (quantlab.analysis.factor_report.FactorAnalysis method) most_common_spacing() (in module quantlab.analysis.factor_report) mse() (in module quantlab.model.evaluation)

N

n_bars (quantlab.dataset.nbbo.bars.NbboBarsSession attribute) n_drop (quantlab.portfolio.config.TopkDropoutConfig attribute) name (quantlab.acquisition.config.AcquisitionConfig attribute) (quantlab.backtest.config.BacktestConfig attribute) (quantlab.dataset.config.BaseDatasetConfig attribute) (quantlab.dataset.config.MappedDayBarsConfig attribute) (quantlab.dataset.config.MappedTradeBarsConfig attribute) (quantlab.dataset.config.MergedDatasetConfig attribute) (quantlab.dataset.config.PermatickerDayBarsConfig attribute) (quantlab.dataset.config.PermatickerTradeBarsConfig attribute) (quantlab.dataset.config.RosterDatasetConfig attribute) (quantlab.dataset.sharadar.stores.StoreResult property) (quantlab.factor.config.BaseFactorConfig attribute) (quantlab.label.config.ForwardConfig attribute) (quantlab.model.config.ModelConfig attribute) (quantlab.risk.config.FactorRiskConfig attribute) (quantlab.universe.UniverseConfig attribute) names() (quantlab.dataset.base.TickerLookup method) (quantlab.dataset.crsp.tickers.CrspTickerLookup method) (quantlab.dataset.sharadar.tickers.SharadarTickerLookup method) NASDAQ100 (quantlab.dataset.crsp.membership.CrspMembership attribute) NASDAQ100_TABLES (quantlab.acquisition.wrds.crsp_reference.CrspReferenceTables attribute) Nasdaq100ConstituentDataset (class in quantlab.dataset.constituent) Nasdaq100MembershipFetcher (class in quantlab.universe) NasdaqUniverseFetcher (class in quantlab.universe) NbboBarsDataset (class in quantlab.dataset.nbbo.bars) NbboBarsDatasetConfig (class in quantlab.dataset.config) NbboBarsQuery (class in quantlab.acquisition.wrds.nbbo_bars_sql) NbboBarsRequest (class in quantlab.dataset.nbbo.bars) NbboBarsSession (class in quantlab.dataset.nbbo.bars) NbboDatasetConfig (class in quantlab.dataset.config) NbboFilterPolicy (class in quantlab.dataset.nbbo.resample) NbboPanelBase (class in quantlab.dataset.nbbo.panel) NbboPanelDataset (class in quantlab.dataset.nbbo) NbboResampler (class in quantlab.dataset.nbbo.resample) NDX_GVKEYX (quantlab.acquisition.wrds.crsp_reference.CrspReferenceTables attribute) (quantlab.dataset.crsp.membership.CrspMembership attribute)

needs_sigma (quantlab.portfolio.base.ExpectedReturnModel attribute) (quantlab.portfolio.predefined.expected_return.PredictionExpectedReturn attribute) (quantlab.portfolio.predefined.expected_return.UnscaledZScoreExpectedReturn attribute) net_cls (quantlab.model.predefined.rnn.ALSTMRegressor attribute) (quantlab.model.predefined.transformer.LocalformerRegressor attribute) (quantlab.model.predefined.transformer.TransformerRegressor attribute) NeutralizedConfig (class in quantlab.factor.config) NeutralizedFactor (class in quantlab.factor.predefined.neutralized) NEW_LISTING_REPORT_LIMIT (quantlab.dataset.raw.RawDataset attribute) NEW_LISTING_STRATEGIES (quantlab.dataset.massive.day_bars.MassiveDayBarDataset attribute) (quantlab.dataset.massive.trade_bars.MassiveTradeBarDataset attribute) (quantlab.dataset.raw.RawDataset attribute) new_trial_directory() (in module quantlab.runs.trained_run) newey_west_lags() (in module quantlab.analysis.factor_report) newey_west_t_stat() (in module quantlab.analysis.factor_report) njobs (quantlab.factor.config.FactorConfig attribute) (quantlab.factor.config.IntradayAverageConfig attribute) (quantlab.factor.config.IntradayCompositeConfig attribute) (quantlab.factor.config.NeutralizedConfig attribute) (quantlab.risk.config.Use4RiskConfig attribute) no_bar_fills() (quantlab.dataset.massive.permaticker_bars.PermatickerDataset method) no_trade_fills() (in module quantlab.dataset.massive.trade_bars) normalize_to_axis_dtype() (in module quantlab.utils.symbol_axis) normalize_universe() (in module quantlab.dataset.sharadar.universe) NullProgressReporter (class in quantlab.utils.progress) NullRun (class in quantlab.tracking.base) NullTracker (class in quantlab.tracking.base) num_factors (quantlab.factor.base.Factor property) (quantlab.model.base.BaseModel property) num_labels (quantlab.model.base.BaseModel property) num_null (quantlab.model.base.BaseModel property) num_symbols (quantlab.dataset.raw.RawDataset property) (quantlab.factor.kunquant.FactorKunQuant property) (quantlab.model.base.BaseModel property) num_times (quantlab.model.base.BaseModel property)

O

ObjectStore (class in quantlab.acquisition.massive.client) of_sep() (quantlab.dataset.sharadar.point_in_time.TradingCalendar class method) ok (quantlab.acquisition.refresh.RefreshedPart property) omega (quantlab.portfolio.config.BlackLittermanConfig attribute) on_grid() (in module quantlab.dataset.sharadar.point_in_time) on_roster() (in module quantlab.utils.symbol_axis) one_bar_returns() (in module quantlab.utils.returns) open (quantlab.dataset.nbbo.bars.NbboBarsSession attribute) open() (quantlab.runs.backtest_run.BacktestRun class method) (quantlab.runs.trained_run.TrainedRun class method) open_clock (quantlab.dataset.nbbo.bars.NbboBarsSession attribute) open_run() (in module quantlab.runs.directory) OPTIONAL_COLUMNS_BY_DATA_TYPE (quantlab.acquisition.alpaca.AlpacaAcquisition attribute) options (quantlab.factor.predefined.market.MarketFeatures property) OrderPlan (class in quantlab.execution.rules)

outperformer (quantlab.portfolio.config.RelativeFactorReturnViewConfig attribute) output_dir (quantlab.backtest.config.BacktestConfig attribute) output_path (quantlab.universe.UniverseConfig attribute) output_symbols() (quantlab.factor.base.Factor method) (quantlab.factor.predefined.intraday.IntradayAverage method) (quantlab.factor.predefined.intraday.IntradayComposite method) (quantlab.factor.predefined.neutralized.NeutralizedFactor method) (quantlab.factor.view.FactorView method) own (quantlab.dataset.sharadar.permatickers.PermatickerResolver attribute) own_names() (quantlab.dataset.base.BaseDataset method) (quantlab.dataset.merged.MergedDataset method) (quantlab.dataset.roster.RosterDataset method) owns_store() (quantlab.factor.base.Factor method) (quantlab.factor.view.FactorView method) (quantlab.risk.base.RiskStore method)

P

pair_cumulative_ic() (in module quantlab.analysis.factor_report) pair_to_symbol() (quantlab.acquisition.wrds.taq.WrdsTaqNbboAcquisition class method) PairAnalysis (class in quantlab.analysis.factor_report) pairs_table() (quantlab.analysis.factor_correlation.FactorCorrelation method) panel() (quantlab.dataset.bad_prints.BadPrintMaskedDataset method) (quantlab.dataset.base.BaseDataset method) (quantlab.dataset.massive.permaticker_bars.PermatickerDataset method) (quantlab.dataset.merged.MergedDataset method) (quantlab.dataset.roster.RosterDataset method) (quantlab.portfolio.decision_inputs.DecisionInputs method) panel_columns (quantlab.factor.predefined.barra.BarraStyleParameters property) (quantlab.factor.predefined.residual_momentum.ResidualMomentumParameters property) PANEL_DEVICES (quantlab.model.torch_model.TorchModel attribute) PANEL_DTYPES (quantlab.model.torch_model.TorchModel attribute) PANEL_GPU_BUDGET (quantlab.model.torch_model.TorchModel attribute) panel_reads() (quantlab.portfolio.decision_inputs.DecisionInputs method) panel_scheduled() (quantlab.portfolio.decision_inputs.DecisionInputs method) PanelPrices (class in quantlab.portfolio.approximate) PanelProblem (class in quantlab.portfolio.predefined.approximate.mean_variance) PanelReads (class in quantlab.portfolio.decision_inputs) PanelSolution (class in quantlab.portfolio.approximate) parallel_workers() (quantlab.factor.chunking.ChunkedBuilder method) parse() (quantlab.factor.predefined.intraday.CompositePart class method) parse_csv() (in module quantlab.acquisition.fred) path (quantlab.core.store_uses.FoundStoreUse property) (quantlab.dataset.config.TickerMapConfig attribute) (quantlab.dataset.massive.ticker_map.TickerMap property) path() (quantlab.dataset.sharadar.stores.SharadarStore method) path_for() (quantlab.acquisition.wrds.crsp_reference.CrspReferenceTables method) (quantlab.dataset.crsp.reference.CrspReference method) payload (quantlab.dataset.crsp.tickers.CrspTickerLookup property) pct_rank() (in module quantlab.model.predefined.double_ensemble) PEAK_COPIES (quantlab.factor.base.Factor attribute) (quantlab.factor.kunquant.FactorKunQuant attribute) (quantlab.factor.polars.FactorPolars attribute) (quantlab.factor.predefined.intraday.IntradayStats attribute) peak_window_bytes (quantlab.dataset.raw.ConversionResult attribute) permaticker_mapping() (in module quantlab.dataset.sharadar.tables) PermatickerDataset (class in quantlab.dataset.massive.permaticker_bars) PermatickerDayBarDataset (class in quantlab.dataset.massive.permaticker_bars) PermatickerDayBarsConfig (class in quantlab.dataset.config) PermatickerResolver (class in quantlab.dataset.sharadar.permatickers) permatickers (quantlab.dataset.config.SharadarDatasetConfig attribute) PermatickerTradeBarDataset (class in quantlab.dataset.massive.permaticker_bars) PermatickerTradeBarsConfig (class in quantlab.dataset.config) permno_intervals() (quantlab.dataset.crsp.market.CrspMarketRoster method) (quantlab.dataset.crsp.membership.CrspMembership method) permnos (quantlab.dataset.config.CrspDatasetConfig attribute) (quantlab.dataset.config.NbboBarsDatasetConfig attribute) (quantlab.dataset.config.NbboDatasetConfig attribute) permnos_in_range() (quantlab.dataset.crsp.market.CrspMarketRoster method) (quantlab.dataset.crsp.membership.CrspMembership method) persist_with_run() (quantlab.dataset.base.BaseDataset method) (quantlab.dataset.memory.FrameDataset method) PGPASS_LINE_HINT (quantlab.acquisition.wrds.taq.WrdsSession attribute) pin_memory() (quantlab.model.torch_data.Batch method) pinned_symbols (quantlab.dataset.raw.ConversionResult attribute) PIT_COVERAGE_START (quantlab.dataset.constituent.CrspMarketConstituentDataset attribute) (quantlab.dataset.crsp.membership.CrspMembership attribute) place() (quantlab.dataset.massive.placement.TickerPlacement method) (quantlab.dataset.sharadar.point_in_time.TradingCalendar method) place_downloads() (in module quantlab.utils.cli) plan() (quantlab.factor.chunking.ChunkedBuilder method)

plan_orders() (in module quantlab.execution.rules) PlBackend (class in quantlab.backend.parquet) PolarsFactorConfig (class in quantlab.factor.config) pooled_ccc_loss() (in module quantlab.model.predefined.xgb) pools_symbols (quantlab.portfolio.base.CovarianceEstimator attribute) (quantlab.portfolio.predefined.ledoit_wolf.LedoitWolfEstimator attribute) portfolio_variance() (quantlab.risk.base.FactorRiskForecast method) PortfolioConstructor (class in quantlab.portfolio.base) PortfolioContext (class in quantlab.portfolio.base) PositionalEncoding (class in quantlab.model.predefined.master) (class in quantlab.model.predefined.transformer) posterior() (quantlab.portfolio.predefined.black_litterman.BlackLittermanOptimizer method) (quantlab.portfolio.predefined.mean_variance.MeanVarianceOptimizer method) predict() (quantlab.model.base.BaseModel method) (quantlab.model.predefined.double_ensemble.DoubleEnsembleBoosters method) predict_live_bar() (in module quantlab.backtest.live) predict_panel() (quantlab.model.base.BaseModel method) predict_scored() (quantlab.model.base.BaseModel method) predict_window() (quantlab.model.base.BaseModel method) (quantlab.model.ensemble.BaseEnsemble method) (quantlab.model.predefined.recorded.RecordedPredictor method) (quantlab.model.predefined.smoothed.SmoothedPredictor method) (quantlab.model.view.PredictorView method) predicted (quantlab.portfolio.predefined.approximate.mean_variance.PanelProblem attribute) predicted_peak_bytes (quantlab.dataset.raw.ConversionResult attribute) PredictionExpectedReturn (class in quantlab.portfolio.predefined.expected_return) PredictionExpectedReturnConfig (class in quantlab.portfolio.config) PredictionPanel (class in quantlab.runs.prediction_panel) predictions() (quantlab.runs.backtest_run.BacktestRun method) Predictor (class in quantlab.backtest.base) predictor (quantlab.model.config.PredictorViewConfig attribute) PredictorView (class in quantlab.model.view) PredictorViewConfig (class in quantlab.model.config) prefetch() (in module quantlab.model.torch_data) preloaded() (quantlab.portfolio.decision_inputs.DecisionInputs method) price_column (quantlab.factor.config.BenchmarkBetaConfig attribute) (quantlab.risk.config.FactorRiskConfig attribute) price_dataset (quantlab.backtest.config.ApproximateBacktestConfig attribute) (quantlab.backtest.config.BacktestConfig attribute) price_relative() (in module quantlab.execution.approximate) price_variable (quantlab.dataset.config.BadPrintMaskedDatasetConfig attribute) prices() (quantlab.risk.base.FactorRiskModel method) print_conversion_result() (in module quantlab.utils.cli) problem_inputs() (quantlab.portfolio.predefined.mean_variance.MeanVarianceOptimizer method) product_end (quantlab.dataset.crsp.reference.CrspReference property) (quantlab.dataset.crsp.tickers.CrspTickerLookup property) product_end() (quantlab.acquisition.wrds.crsp.CrspQueries class method) product_end_query() (quantlab.acquisition.wrds.crsp.CrspQueries class method) ProgressEvent (class in quantlab.utils.progress) ProgressReporter (class in quantlab.utils.progress) provenance() (quantlab.model.base.BaseModel method) (quantlab.model.ensemble.BaseEnsemble method) (quantlab.model.walk_forward_training.WalkForwardTrainable method) prune_tickers_snapshots() (in module quantlab.acquisition.sharadar.raw_tier) published (quantlab.acquisition.massive.client.DayDownload property) published_size() (quantlab.acquisition.massive.client.MassiveClient method) pull() (quantlab.acquisition.massive.client.MassiveClient method) (quantlab.acquisition.wrds.crsp_reference.CrspReferenceTables method) pull_day() (in module quantlab.dataset.sharadar.tables) pull_time() (in module quantlab.dataset.sharadar.tables) purge_bars (quantlab.model.base.BaseModel property) (quantlab.model.ensemble.BaseEnsemble property) purge_segments() (in module quantlab.model.split)

Q

qqq_benchmark() (quantlab.dataset.config.CrspDatasetConfig class method) quantile_returns_table() (quantlab.analysis.factor_report.FactorAnalysis method) quantlab.acquisition module quantlab.acquisition.alpaca module quantlab.acquisition.base module quantlab.acquisition.config module quantlab.acquisition.fred module quantlab.acquisition.massive module quantlab.acquisition.massive.client module quantlab.acquisition.massive.raw_tier module quantlab.acquisition.massive.refresh module quantlab.acquisition.massive.rest module quantlab.acquisition.refresh module quantlab.acquisition.registry module quantlab.acquisition.sharadar module quantlab.acquisition.sharadar.client module quantlab.acquisition.sharadar.raw_tier module quantlab.acquisition.sharadar.refresh module quantlab.acquisition.symbol_batch module quantlab.acquisition.tiingo module quantlab.acquisition.wrds module quantlab.acquisition.wrds.crsp module quantlab.acquisition.wrds.crsp_reference module quantlab.acquisition.wrds.nbbo_bars_sql module quantlab.acquisition.wrds.rebuild module quantlab.acquisition.wrds.taq module quantlab.acquisition.wrds.taq_bars module quantlab.analysis module quantlab.analysis.factor_correlation module quantlab.analysis.factor_report module quantlab.api module quantlab.backend module quantlab.backend.base module quantlab.backend.parquet module quantlab.backend.ranged module quantlab.backend.resample module quantlab.backend.zarr module quantlab.backtest module quantlab.backtest.approximate module quantlab.backtest.base module quantlab.backtest.config module quantlab.backtest.engine_vectorbt module quantlab.backtest.live module quantlab.backtest.predefined module quantlab.backtest.predefined.us_equity module quantlab.backtest.predefined.weights module quantlab.config module quantlab.core module quantlab.core.component module quantlab.core.config module quantlab.core.store_folder module quantlab.core.store_uses module quantlab.dataset module quantlab.dataset.bad_prints module quantlab.dataset.base module quantlab.dataset.common_stock module quantlab.dataset.config module quantlab.dataset.constituent module quantlab.dataset.crsp module quantlab.dataset.crsp.market module quantlab.dataset.crsp.membership module quantlab.dataset.crsp.reference module quantlab.dataset.crsp.symbology module quantlab.dataset.crsp.tickers module quantlab.dataset.estu module quantlab.dataset.fred module quantlab.dataset.massive module quantlab.dataset.massive.day_bar_events module quantlab.dataset.massive.day_bars module quantlab.dataset.massive.disclosures module quantlab.dataset.massive.dividends module quantlab.dataset.massive.ipos module quantlab.dataset.massive.mapped_bars module quantlab.dataset.massive.news module quantlab.dataset.massive.permaticker_bars module quantlab.dataset.massive.placement module quantlab.dataset.massive.raw module quantlab.dataset.massive.resample module quantlab.dataset.massive.rest_panel module quantlab.dataset.massive.short_interest module quantlab.dataset.massive.short_volume module quantlab.dataset.massive.ten_k module quantlab.dataset.massive.ticker_map module quantlab.dataset.massive.trade_bars module quantlab.dataset.massive.vendor_check module quantlab.dataset.memory module quantlab.dataset.merged module quantlab.dataset.nbbo module quantlab.dataset.nbbo.bars module quantlab.dataset.nbbo.panel module quantlab.dataset.nbbo.resample module quantlab.dataset.raw module quantlab.dataset.roster module quantlab.dataset.sharadar module quantlab.dataset.sharadar.actions module quantlab.dataset.sharadar.daily module quantlab.dataset.sharadar.events module quantlab.dataset.sharadar.filings module quantlab.dataset.sharadar.fiscal_years module quantlab.dataset.sharadar.fundamentals module quantlab.dataset.sharadar.history module quantlab.dataset.sharadar.holdings module quantlab.dataset.sharadar.industry module quantlab.dataset.sharadar.insiders module quantlab.dataset.sharadar.listing module quantlab.dataset.sharadar.membership module quantlab.dataset.sharadar.permatickers module quantlab.dataset.sharadar.point_in_time module quantlab.dataset.sharadar.share_class module quantlab.dataset.sharadar.spells module quantlab.dataset.sharadar.stock module quantlab.dataset.sharadar.stores module quantlab.dataset.sharadar.tables module quantlab.dataset.sharadar.tickers module quantlab.dataset.sharadar.universe module quantlab.dataset.spot module quantlab.dataset.stock module quantlab.enums module quantlab.enums.constant module quantlab.enums.data module quantlab.execution module quantlab.execution.approximate module quantlab.execution.rules module quantlab.factor module quantlab.factor.base module

quantlab.factor.chunking module quantlab.factor.config module quantlab.factor.kunquant module quantlab.factor.kunquant_compile module quantlab.factor.kunquant_cs module quantlab.factor.kunquant_ts module quantlab.factor.polars module quantlab.factor.predefined module quantlab.factor.predefined.alpha101 module quantlab.factor.predefined.alpha158 module quantlab.factor.predefined.alternative_alpha module quantlab.factor.predefined.barra module quantlab.factor.predefined.benchmark_beta module quantlab.factor.predefined.daily_anomaly_alpha module quantlab.factor.predefined.fundamental_alpha module quantlab.factor.predefined.intraday module quantlab.factor.predefined.literature_alpha module quantlab.factor.predefined.market module quantlab.factor.predefined.membership_cap_weight module quantlab.factor.predefined.membership_mask module quantlab.factor.predefined.momentum module quantlab.factor.predefined.neutralized module quantlab.factor.predefined.residual_momentum module quantlab.factor.predefined.roster module quantlab.factor.predefined.short_horizon module quantlab.factor.predefined.start_clipped module quantlab.factor.view module quantlab.label module quantlab.label.config module quantlab.label.forward module quantlab.label.predefined module quantlab.label.predefined.fret module quantlab.label.predefined.membership_mask module quantlab.model module quantlab.model.base module quantlab.model.collected_panel module quantlab.model.config module quantlab.model.ensemble module quantlab.model.evaluation module quantlab.model.library_model module quantlab.model.predefined module quantlab.model.predefined.catboost_model module quantlab.model.predefined.double_ensemble module quantlab.model.predefined.gats module quantlab.model.predefined.lgbm module quantlab.model.predefined.linear module quantlab.model.predefined.master module quantlab.model.predefined.membership_mask module quantlab.model.predefined.mlp module quantlab.model.predefined.model_ensemble module quantlab.model.predefined.realmlp module quantlab.model.predefined.recorded module quantlab.model.predefined.rnn module quantlab.model.predefined.seed_ensemble module quantlab.model.predefined.smoothed module quantlab.model.predefined.tcn module quantlab.model.predefined.transformer module quantlab.model.predefined.xgb module quantlab.model.predefined.xgb_td module quantlab.model.split module quantlab.model.torch_data module quantlab.model.torch_model module quantlab.model.torch_training module quantlab.model.training_target module quantlab.model.view module quantlab.model.walk_forward_training module quantlab.portfolio module quantlab.portfolio.approximate module quantlab.portfolio.base module quantlab.portfolio.config module quantlab.portfolio.decision_inputs module quantlab.portfolio.predefined module quantlab.portfolio.predefined.active_risk module quantlab.portfolio.predefined.approximate module quantlab.portfolio.predefined.approximate.black_litterman module quantlab.portfolio.predefined.approximate.covariance module quantlab.portfolio.predefined.approximate.mean_variance module quantlab.portfolio.predefined.approximate.top_n module quantlab.portfolio.predefined.approximate.topk_dropout module quantlab.portfolio.predefined.black_litterman module quantlab.portfolio.predefined.expected_return module quantlab.portfolio.predefined.factor_risk module quantlab.portfolio.predefined.ledoit_wolf module quantlab.portfolio.predefined.mean_variance module quantlab.portfolio.predefined.top_n module quantlab.portfolio.predefined.topk_dropout module quantlab.risk module quantlab.risk.attribution module quantlab.risk.base module quantlab.risk.bias module quantlab.risk.config module quantlab.risk.predefined module quantlab.risk.predefined.use4 module quantlab.runs module quantlab.runs.backtest_attribution module quantlab.runs.backtest_report module quantlab.runs.backtest_run module quantlab.runs.backtest_stats module quantlab.runs.directory module quantlab.runs.factor_attribution_report module quantlab.runs.live_predictions module quantlab.runs.prediction_panel module quantlab.runs.record module quantlab.runs.run_metrics module quantlab.runs.trained_run module quantlab.tracking module quantlab.tracking.base module quantlab.tracking.mlflow module quantlab.tracking.wandb module quantlab.universe module quantlab.utils module quantlab.utils.atomic module quantlab.utils.cli module quantlab.utils.cross_section module quantlab.utils.date_range module quantlab.utils.jsonable module quantlab.utils.progress module quantlab.utils.resample module quantlab.utils.returns module quantlab.utils.sidecar module quantlab.utils.symbol_axis module quantlab.utils.timer module quantlab.utils.watermark module QUOTA_MESSAGE_TOKEN (quantlab.acquisition.tiingo.TiingoAcquisition attribute) QUOTA_STATUS_CODES (quantlab.acquisition.tiingo.TiingoAcquisition attribute) QUOTE_FIELD_MAP (quantlab.acquisition.alpaca.AlpacaAcquisition attribute)

R

r2() (in module quantlab.model.evaluation) random_seed (quantlab.model.config.ModelConfig attribute) range_path (quantlab.backend.ranged.RangedStore property) RANGE_SUFFIX (quantlab.backend.ranged.RangedStore attribute) range_text() (in module quantlab.utils.date_range) ranged (quantlab.core.store_uses.FoundStoreUse property) (quantlab.core.store_uses.StoreUse property) ranged_stores() (in module quantlab.backtest.live) RangedStore (class in quantlab.backend.ranged) RangedStoreHandle (class in quantlab.core.store_uses) rank_autocorrelation_series() (in module quantlab.model.evaluation) ranking_label() (quantlab.portfolio.base.PortfolioConstructor method) (quantlab.portfolio.predefined.black_litterman.BlackLittermanOptimizer method) (quantlab.portfolio.predefined.mean_variance.MeanVarianceOptimizer method) (quantlab.portfolio.predefined.top_n.TopNConstructor method) (quantlab.portfolio.predefined.topk_dropout.TopkDropoutConstructor method) RATE_LIMIT_HEADERS (quantlab.acquisition.alpaca.AlpacaAcquisition attribute) RAW_COLUMNS (quantlab.acquisition.alpaca.AlpacaAcquisition property) (quantlab.acquisition.fred.FredAcquisition attribute) (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition attribute) (quantlab.acquisition.tiingo.TiingoAcquisition attribute) (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition attribute) (quantlab.acquisition.wrds.taq.WrdsTaqNbboAcquisition attribute) (quantlab.acquisition.wrds.taq_bars.WrdsTaqNbboBarsAcquisition attribute) RAW_COLUMNS_BY_DATA_TYPE (quantlab.acquisition.alpaca.AlpacaAcquisition attribute) raw_data_dir_path (quantlab.acquisition.config.AcquisitionConfig attribute) (quantlab.dataset.config.DatasetConfig attribute) raw_days() (in module quantlab.dataset.massive.raw) raw_file() (in module quantlab.dataset.massive.raw) raw_files() (in module quantlab.dataset.sharadar.tables) RAW_SCHEMA (quantlab.acquisition.alpaca.AlpacaAcquisition property) (quantlab.acquisition.tiingo.TiingoAcquisition attribute) (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition attribute) RAW_SCHEMA_BY_DATA_TYPE (quantlab.acquisition.alpaca.AlpacaAcquisition attribute) RAW_SHARD_SUFFIX (quantlab.dataset.stock.StockDataset attribute) raw_table_dir() (in module quantlab.dataset.sharadar.tables) RAW_TABLES (quantlab.dataset.massive.ten_k.MassiveTenKChangesDataset attribute) (quantlab.dataset.sharadar.fiscal_years.SharadarFiscalYearsDataset attribute) (quantlab.dataset.sharadar.fundamentals.SharadarFundamentalsDataset attribute) (quantlab.dataset.sharadar.holdings.SharadarHoldingsDataset attribute) (quantlab.dataset.sharadar.industry.SharadarIndustryDataset attribute) (quantlab.dataset.sharadar.listing.SharadarListingDataset attribute) (quantlab.dataset.sharadar.point_in_time.ReleasePanelDataset attribute) (quantlab.dataset.sharadar.spells.SpellPanelDataset attribute) raw_through() (in module quantlab.dataset.sharadar.tables) RawDataset (class in quantlab.dataset.raw) RawExpectedReturn (class in quantlab.portfolio.predefined.expected_return) RawExpectedReturnConfig (class in quantlab.portfolio.config) RawMarketDataset (class in quantlab.dataset.raw) RawTierRefresh (class in quantlab.acquisition.refresh) RawTierRefreshResult (class in quantlab.acquisition.refresh) read (quantlab.dataset.sharadar.actions.Variable property) read() (quantlab.acquisition.massive.client.ObjectStore method) (quantlab.acquisition.massive.client.S3ObjectStore method) (quantlab.backend.base.DataBackend method) (quantlab.backend.parquet.PlBackend method) (quantlab.backend.zarr.XrBackend method) (quantlab.dataset.massive.ticker_map.TickerMap method) (quantlab.dataset.nbbo.bars.NbboBarsRequest class method) (quantlab.factor.base.Factor method) (quantlab.factor.predefined.start_clipped.StartClippedFactor method) (quantlab.factor.view.FactorView method) (quantlab.label.forward.Forward method) (quantlab.label.predefined.membership_mask.MembershipMaskedLabel method) (quantlab.risk.base.RiskStore method) (quantlab.runs.prediction_panel.PredictionPanel class method) read_aggregates() (in module quantlab.dataset.massive.raw) read_conditions() (in module quantlab.dataset.massive.raw) read_days() (quantlab.dataset.massive.ticker_map.TickerMap method) read_fama_french() (in module quantlab.factor.predefined.residual_momentum) read_labels() (quantlab.runs.prediction_panel.PredictionPanel class method) read_manifest() (quantlab.acquisition.wrds.crsp_reference.CrspReferenceTables method) read_record() (in module quantlab.runs.directory) read_rest_as_of() (in module quantlab.dataset.massive.raw) read_rest_records() (in module quantlab.dataset.massive.raw) read_rest_snapshot() (in module quantlab.dataset.massive.raw) read_rest_watermark() (in module quantlab.dataset.massive.raw) read_trades() (in module quantlab.dataset.massive.raw) read_watermark() (in module quantlab.dataset.massive.raw) (in module quantlab.dataset.sharadar.tables) (in module quantlab.utils.watermark) RealMLPRegressor (class in quantlab.model.predefined.realmlp) reason() (quantlab.dataset.nbbo.resample.NbboFilterPolicy method) rebalance_fill_bars() (in module quantlab.runs.backtest_stats) rebalance_periods (quantlab.backtest.config.ApproximateBacktestConfig attribute) (quantlab.backtest.config.BacktestConfig attribute) (quantlab.runs.backtest_run.BacktestRun property) rebalanced_group_values() (in module quantlab.runs.backtest_attribution) rebalances() (quantlab.portfolio.decision_inputs.DecisionInputs method) rebuild() (in module quantlab.core.component) (quantlab.dataset.massive.ticker_map.TickerMap method) (quantlab.runs.backtest_run.BacktestRun method) rebuild_backtester() (quantlab.runs.backtest_run.BacktestRun method) rebuild_rolled_back (quantlab.dataset.raw.ConversionResult attribute) REBUILT (quantlab.dataset.sharadar.stores.StoreState attribute) rebuilt (quantlab.dataset.sharadar.stores.StoreUpdate property) rechunk_index_coordinates() (in module quantlab.backend.zarr) recipe() (quantlab.runs.backtest_run.BacktestRun method) reconstruct_intervals() (quantlab.universe.IndexMembershipFetcher method) record (quantlab.model.collected_panel.CollectedPanel property) record() (quantlab.dataset.nbbo.bars.NbboBarsRequest method) (quantlab.runs.live_predictions.LivePredictionStore method) record_feature_importance() (in module quantlab.model.predefined.xgb) record_path() (in module quantlab.runs.directory) (quantlab.dataset.nbbo.bars.NbboBarsRequest static method) record_read() (in module quantlab.runs.record) record_training_reads() (in module quantlab.model.base) recorded_configs() (in module quantlab.core.component) recorded_path() (in module quantlab.runs.directory) RecordedPredictor (class in quantlab.model.predefined.recorded) RecordedPredictorConfig (class in quantlab.model.predefined.recorded) records() (quantlab.runs.live_predictions.LivePredictionStore method) RECORDS_SUFFIX (quantlab.runs.live_predictions.LivePredictionStore attribute) reference (quantlab.portfolio.predefined.approximate.mean_variance.PanelProblem attribute) reference_dir (quantlab.dataset.config.CrspDatasetConfig attribute) (quantlab.dataset.config.NbboBarsDatasetConfig attribute) (quantlab.dataset.config.NbboDatasetConfig attribute) reference_dir_for() (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition class method) REFERENCE_DIR_NAME (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition attribute) reference_weights() (quantlab.portfolio.predefined.active_risk.ActiveRiskOptimizer method) (quantlab.portfolio.predefined.mean_variance.MeanVarianceOptimizer method) ReferenceTableSpec (class in quantlab.dataset.crsp.reference) refresh() (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition method) refresh_raw_tier() (in module quantlab.acquisition.fred) (in module quantlab.acquisition.massive.refresh) (in module quantlab.acquisition.registry) (in module quantlab.acquisition.sharadar.refresh) RefreshedPart (class in quantlab.acquisition.refresh) refuse_unless_owner() (quantlab.factor.base.Factor method) (quantlab.factor.view.FactorView method) REFUSED_ENV (quantlab.acquisition.wrds.taq.WrdsSession attribute) register_source() (in module quantlab.acquisition.base) regression (quantlab.risk.base.FactorRiskModel property) regression_panel_metrics() (in module quantlab.model.evaluation) regression_path (quantlab.risk.config.FactorRiskConfig attribute) regression_warmup_bars (quantlab.risk.base.FactorRiskModel property) (quantlab.risk.predefined.use4.Use4RiskModel property) regressors (quantlab.factor.config.NeutralizedConfig attribute) related_spans() (in module quantlab.dataset.sharadar.permatickers) relation (quantlab.core.store_uses.FoundStoreUse property) relative_name() (in module quantlab.runs.directory) relative_stats() (in module quantlab.runs.backtest_stats) RelativeFactorReturnView (class in quantlab.portfolio.predefined.black_litterman) RelativeFactorReturnViewConfig (class in quantlab.portfolio.config) release_lag_bars (quantlab.dataset.config.MassiveShortInterestConfig attribute) release_memory() (in module quantlab.factor.chunking) ReleasePanelDataset (class in quantlab.dataset.sharadar.point_in_time) ReleaseSpec (class in quantlab.dataset.sharadar.point_in_time)

render() (quantlab.analysis.factor_correlation.FactorCorrelationFigure method) (quantlab.analysis.factor_report.FactorReportFigure method) RenormalizedCombine (class in quantlab.factor.kunquant_cs) replay() (in module quantlab.execution.rules) report (quantlab.dataset.crsp.market.CrspMarketRoster attribute) (quantlab.dataset.crsp.membership.CrspMembership attribute) report() (quantlab.runs.backtest_run.BacktestRun method) report_figure() (quantlab.backtest.base.BaseBacktester method) report_lags() (in module quantlab.factor.predefined.fundamental_alpha) ReportExtras (class in quantlab.runs.backtest_report) request (quantlab.acquisition.wrds.taq_bars.WrdsTaqNbboBarsAcquisition attribute) requested_tables() (quantlab.acquisition.wrds.crsp_reference.CrspReferenceTables method) require_window() (quantlab.risk.base.FactorRiskModel method) required_panel_columns() (quantlab.factor.predefined.alternative_alpha.AlternativeAlphaParameters static method) (quantlab.factor.predefined.fundamental_alpha.FundamentalAlphaParameters method) (quantlab.factor.predefined.literature_alpha.LiteratureAlphaParameters method) resample() (quantlab.backend.base.DataBackend method) (quantlab.backend.parquet.PlBackend method) (quantlab.backend.zarr.XrBackend method) (quantlab.dataset.base.BaseDataset method) (quantlab.dataset.massive.mapped_bars.MappedPermatickerDataset method) (quantlab.dataset.massive.permaticker_bars.PermatickerDataset method) (quantlab.dataset.memory.FrameDataset method) (quantlab.dataset.nbbo.resample.NbboResampler method) (quantlab.dataset.raw.RawDataset method) (quantlab.factor.base.Factor method) resample_freq (quantlab.dataset.config.BaseDatasetConfig attribute) (quantlab.dataset.config.MappedDayBarsConfig attribute) (quantlab.dataset.config.MappedTradeBarsConfig attribute) (quantlab.dataset.config.PermatickerDayBarsConfig attribute) (quantlab.dataset.config.PermatickerTradeBarsConfig attribute) (quantlab.factor.config.BaseFactorConfig attribute) resample_how (quantlab.dataset.config.BaseDatasetConfig attribute) (quantlab.dataset.config.MappedDayBarsConfig attribute) (quantlab.dataset.config.MappedTradeBarsConfig attribute) (quantlab.dataset.config.PermatickerDayBarsConfig attribute) (quantlab.dataset.config.PermatickerTradeBarsConfig attribute) (quantlab.factor.config.BaseFactorConfig attribute) resample_labels() (quantlab.dataset.base.BaseDataset method) (quantlab.dataset.massive.mapped_bars.MappedPermatickerDataset method) (quantlab.dataset.massive.permaticker_bars.PermatickerDataset method) (quantlab.dataset.massive.trade_bars.MassiveTradeBarDataset method) (quantlab.dataset.merged.MergedDataset method) (quantlab.dataset.nbbo.panel.NbboPanelBase method) (quantlab.dataset.roster.RosterDataset method) resample_on_read() (in module quantlab.backend.resample) resample_padding() (in module quantlab.utils.date_range) resample_panel() (in module quantlab.backend.resample) resample_seconds() (in module quantlab.utils.resample) resample_store_path() (in module quantlab.utils.resample) resample_with_stats() (quantlab.dataset.massive.resample.TradeBarResampler method) (quantlab.dataset.nbbo.resample.NbboResampler method) reserved_hyperparameters (quantlab.model.base.BaseModel attribute) (quantlab.model.library_model.LibraryModel attribute) (quantlab.model.torch_model.TorchModel attribute) reset() (quantlab.utils.progress.CancelToken method) ResidualMomentumFF3 (class in quantlab.factor.predefined.residual_momentum) ResidualMomentumParameters (class in quantlab.factor.predefined.residual_momentum) resolve() (quantlab.dataset.crsp.symbology.CrspSymbology method) (quantlab.dataset.sharadar.permatickers.PermatickerResolver method) resolve_on() (quantlab.dataset.sharadar.permatickers.PermatickerResolver method) resolve_output_dirs() (in module quantlab.utils.cli) resolve_resample_how() (in module quantlab.utils.resample) resolve_run_config() (quantlab.dataset.base.BaseDataset class method) (quantlab.dataset.memory.FrameDataset class method) resolve_security_filter() (in module quantlab.dataset.crsp) resolve_window() (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition class method) rest_as_of_days() (in module quantlab.dataset.massive.raw) rest_as_of_dir() (in module quantlab.dataset.massive.raw) rest_dir() (in module quantlab.dataset.massive.raw) REST_ENDPOINTS (quantlab.dataset.massive.disclosures.MassiveDisclosureDataset attribute) (quantlab.dataset.massive.dividends.MassiveDividendDataset attribute) (quantlab.dataset.massive.ipos.MassiveIpoDataset attribute) (quantlab.dataset.massive.news.MassiveNewsDataset attribute) (quantlab.dataset.massive.rest_panel.MassiveRestPanel attribute) (quantlab.dataset.massive.short_interest.MassiveShortInterestDataset attribute) (quantlab.dataset.massive.short_volume.MassiveShortVolumeDataset attribute) rest_frame() (in module quantlab.dataset.massive.raw) rest_page_file() (in module quantlab.dataset.massive.raw) rest_page_files() (in module quantlab.dataset.massive.raw) rest_pending_dir() (in module quantlab.dataset.massive.raw) rest_snapshots() (in module quantlab.dataset.massive.raw) rest_transport() (in module quantlab.acquisition.massive.client) rest_watermark_file() (in module quantlab.dataset.massive.raw) RestEndpoint (class in quantlab.acquisition.massive.rest) RestPull (class in quantlab.acquisition.massive.client) resume_from() (in module quantlab.utils.watermark) resumed (quantlab.dataset.raw.ConversionResult attribute) RETRY_STATUS_CODES (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition attribute) RETRY_STATUSES (quantlab.acquisition.sharadar.client.SharadarClient attribute) Return (class in quantlab.label.predefined.fret) return_outlier_sigma (quantlab.risk.config.Use4RiskConfig attribute) return_stats() (in module quantlab.runs.backtest_stats) return_windows() (quantlab.portfolio.base.DecisionPanel method) ReturnCovariance (class in quantlab.risk.base) returns (quantlab.backtest.approximate.ApproximateAccount property) ReturnView (class in quantlab.portfolio.predefined.black_litterman) ReturnViewConfig (class in quantlab.portfolio.config) rewind() (quantlab.backend.ranged.RangedStore method) (quantlab.core.store_uses.RangedStoreHandle method) (quantlab.factor.base.Factor method) (quantlab.factor.view.FactorView method) (quantlab.risk.base.RiskStore method) risk_aversion (quantlab.portfolio.config.MeanVarianceConfig attribute) risk_constraints() (quantlab.portfolio.predefined.active_risk.ActiveRiskOptimizer method) (quantlab.portfolio.predefined.mean_variance.MeanVarianceOptimizer method) risk_contributions() (quantlab.risk.base.FactorRiskForecast method) risk_factors (quantlab.portfolio.predefined.black_litterman.FactorReturnView property) (quantlab.portfolio.predefined.black_litterman.RelativeFactorReturnView property) (quantlab.portfolio.predefined.black_litterman.ReturnView property) risk_free_column (quantlab.risk.config.FactorRiskConfig attribute) risk_free_symbol (quantlab.risk.config.FactorRiskConfig attribute) risk_model (quantlab.backtest.config.BacktestConfig attribute) (quantlab.portfolio.config.FactorRiskStoreEstimatorConfig attribute) risk_model_bias_statistics() (in module quantlab.risk.bias) RiskStore (class in quantlab.risk.base) rmse() (in module quantlab.model.evaluation) rnn_type (quantlab.model.predefined.rnn.ALSTMRegressor attribute) (quantlab.model.predefined.rnn.GRURegressor attribute) RNNNet (class in quantlab.model.predefined.rnn) rolling_beta() (in module quantlab.factor.predefined.benchmark_beta) roster (quantlab.dataset.config.RosterDatasetConfig attribute) (quantlab.factor.config.RosterConfig attribute) ROSTER_FETCHERS (quantlab.universe.UniverseCatalog attribute) roster_universe (quantlab.dataset.config.CrspDatasetConfig attribute) (quantlab.dataset.config.SharadarDatasetConfig attribute) RosterConfig (class in quantlab.factor.config) RosterDataset (class in quantlab.dataset.roster) RosterDatasetConfig (class in quantlab.dataset.config) RosterFactor (class in quantlab.factor.predefined.roster) round_trip_stats() (in module quantlab.runs.backtest_stats) round_trips() (in module quantlab.runs.backtest_stats) row() (quantlab.portfolio.predefined.black_litterman.FactorReturnView method) (quantlab.portfolio.predefined.black_litterman.MarketReturnView method) (quantlab.portfolio.predefined.black_litterman.RelativeFactorReturnView method) (quantlab.portfolio.predefined.black_litterman.ReturnView method) (quantlab.runs.live_predictions.LivePredictionStore method) Rows (class in quantlab.model.library_model) rows_written (quantlab.dataset.raw.ConversionResult attribute) run() (quantlab.analysis.factor_report.FactorAnalyzer method) (quantlab.backtest.approximate.ApproximateBacktest method) (quantlab.backtest.base.BaseBacktester method) run_batch_graph() (in module quantlab.factor.kunquant) run_cv() (quantlab.backtest.base.BaseBacktester method) run_dir (quantlab.model.predefined.recorded.RecordedPredictorConfig attribute) run_directory() (in module quantlab.runs.directory) run_metrics() (in module quantlab.runs.run_metrics) run_weights() (quantlab.backtest.base.BaseBacktester method)

S

s3_key() (in module quantlab.dataset.massive.raw) S3ObjectStore (class in quantlab.acquisition.massive.client) SAMPLE_LIMIT (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition attribute) sample_weights() (in module quantlab.model.predefined.double_ensemble) save() (quantlab.analysis.factor_report.FactorAnalysis method) (quantlab.dataset.raw.RawDataset method) (quantlab.universe.UniverseCatalog method) save_component() (in module quantlab.core.store_folder) scaled() (quantlab.portfolio.approximate.LowRankCovariance method) (quantlab.portfolio.base.CovarianceEstimate method) (quantlab.portfolio.base.LowRankCovarianceEstimate method) (quantlab.risk.base.FactorRiskForecast method) (quantlab.risk.base.ReturnCovariance method) scan_raw_table() (in module quantlab.dataset.sharadar.tables) scheduled() (quantlab.portfolio.decision_inputs.DecisionInputs method) schema_usable() (quantlab.acquisition.wrds.taq.WrdsSession method) score_label (quantlab.portfolio.config.TopkDropoutConfig attribute) (quantlab.portfolio.config.TopNConfig attribute) scores_volatility_level() (in module quantlab.model.evaluation) section_changes() (in module quantlab.dataset.massive.ten_k) security_filter (quantlab.dataset.config.CrspDatasetConfig attribute) SeedEnsemble (class in quantlab.model.predefined.seed_ensemble) SeedEnsembleConfig (class in quantlab.model.predefined.seed_ensemble) seeds (quantlab.model.predefined.seed_ensemble.SeedEnsembleConfig attribute) SeenSpan (class in quantlab.dataset.sharadar.permatickers) Segments (class in quantlab.model.evaluation) select_features() (in module quantlab.model.predefined.double_ensemble) selectable (quantlab.portfolio.predefined.approximate.mean_variance.PanelProblem attribute) sep (quantlab.dataset.config.MappedDayBarsConfig attribute) sep_securities() (in module quantlab.dataset.sharadar.history) series (quantlab.dataset.config.FredRateConfig attribute) (quantlab.factor.config.MarketFeatureConfig attribute) session() (quantlab.dataset.nbbo.bars.NbboBarsRequest method) SESSION_DATE_SLACK (quantlab.dataset.stock.StockDataset attribute) session_days() (in module quantlab.dataset.massive.day_bar_events) session_end (quantlab.dataset.config.MassiveTradeBarsDatasetConfig attribute) (quantlab.dataset.config.NbboBarsDatasetConfig attribute) (quantlab.dataset.config.NbboDatasetConfig attribute) session_inputs() (in module quantlab.factor.predefined.intraday) session_labels() (in module quantlab.utils.resample) session_minutes_per_day (quantlab.backtest.config.WeightsBacktestConfig attribute) session_start (quantlab.dataset.config.MassiveTradeBarsDatasetConfig attribute) (quantlab.dataset.config.NbboBarsDatasetConfig attribute) (quantlab.dataset.config.NbboDatasetConfig attribute) SESSION_TIME_ZONE (quantlab.acquisition.alpaca.AlpacaAcquisition attribute) (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition attribute) (quantlab.acquisition.wrds.taq.WrdsTaqNbboAcquisition attribute) set_data_root() (in module quantlab.config) settle() (quantlab.dataset.sharadar.permatickers.PermatickerResolver method) settlements() (quantlab.runs.backtest_run.BacktestRun method) several_permatickers() (quantlab.dataset.sharadar.permatickers.PermatickerResolver method) sharadar_dir (quantlab.dataset.config.TickerMapConfig attribute) SharadarActionsConfig (class in quantlab.dataset.config) SharadarActionsDataset (class in quantlab.dataset.sharadar.actions) SharadarClient (class in quantlab.acquisition.sharadar.client) SharadarDailyConfig (class in quantlab.dataset.config) SharadarDailyDataset (class in quantlab.dataset.sharadar.daily) SharadarDatasetConfig (class in quantlab.dataset.config) SharadarEventsConfig (class in quantlab.dataset.config) SharadarEventsDataset (class in quantlab.dataset.sharadar.events) SharadarFiscalYearsConfig (class in quantlab.dataset.config) SharadarFiscalYearsDataset (class in quantlab.dataset.sharadar.fiscal_years) SharadarFundamentalsConfig (class in quantlab.dataset.config) SharadarFundamentalsDataset (class in quantlab.dataset.sharadar.fundamentals) SharadarHoldingsConfig (class in quantlab.dataset.config) SharadarHoldingsDataset (class in quantlab.dataset.sharadar.holdings) SharadarIndustryConfig (class in quantlab.dataset.config) SharadarIndustryDataset (class in quantlab.dataset.sharadar.industry) SharadarInsidersConfig (class in quantlab.dataset.config) SharadarInsidersDataset (class in quantlab.dataset.sharadar.insiders) SharadarListingConfig (class in quantlab.dataset.config) SharadarListingDataset (class in quantlab.dataset.sharadar.listing) SharadarShareClassConfig (class in quantlab.dataset.config) SharadarShareClassDataset (class in quantlab.dataset.sharadar.share_class) SharadarSP500ConstituentDataset (class in quantlab.dataset.sharadar.membership) SharadarStockDataset (class in quantlab.dataset.sharadar.stock) SharadarStore (class in quantlab.dataset.sharadar.stores) SharadarTable (class in quantlab.dataset.sharadar.tables) SharadarTickerLookup (class in quantlab.dataset.sharadar.tickers) shared() (quantlab.acquisition.wrds.taq.WrdsSession class method) shared_executor() (in module quantlab.factor.kunquant) shared_name_map() (quantlab.dataset.base.BaseDataset method) (quantlab.dataset.roster.RosterDataset method) shorten_axis() (quantlab.backend.zarr.XrBackend method) ShortHorizonAlpha (class in quantlab.factor.predefined.short_horizon) shown_symbols() (in module quantlab.dataset.sharadar.point_in_time) shrinkage (quantlab.risk.config.Use4RiskConfig attribute) shrinkage_groups (quantlab.risk.config.Use4RiskConfig attribute) shrunk_low_rank() (in module quantlab.portfolio.predefined.ledoit_wolf) sic_history() (in module quantlab.dataset.sharadar.history) sidecar_path (quantlab.dataset.massive.mapped_bars.MappedPermatickerDataset property) sidecar_payload() (quantlab.dataset.crsp.symbology.CrspSymbology method) SIDECAR_SUFFIXES (quantlab.acquisition.wrds.rebuild.CrspStoreRebuilder attribute) simulate() (in module quantlab.execution.approximate) SimulationResult (class in quantlab.backtest.base) size() (quantlab.acquisition.massive.client.ObjectStore method) (quantlab.acquisition.massive.client.S3ObjectStore method) size_column (quantlab.factor.config.NeutralizedConfig attribute) sizing_basis (quantlab.backtest.config.BacktestConfig attribute) slice_ranges() (in module quantlab.runs.run_metrics) slippage (quantlab.backtest.config.BacktestConfig attribute) slot_name() (in module quantlab.dataset.sharadar.fiscal_years) smooth() (quantlab.model.predefined.smoothed.SmoothedPredictor method) SmoothedPredictor (class in quantlab.model.predefined.smoothed) SmoothedPredictorConfig (class in quantlab.model.predefined.smoothed) snapshot_derived_variables() (in module quantlab.dataset.nbbo.resample) snapshot_for() (in module quantlab.dataset.sharadar.tables) solver (quantlab.portfolio.config.MeanVarianceConfig attribute) SORT (quantlab.acquisition.alpaca.AlpacaAcquisition attribute) sort (quantlab.acquisition.massive.rest.RestEndpoint property) sort_params (quantlab.acquisition.massive.rest.RestEndpoint property) sort_symbol_axis() (in module quantlab.utils.symbol_axis) sort_symbols() (quantlab.backend.zarr.XrBackend method) sorted_panel() (in module quantlab.model.collected_panel) source (quantlab.dataset.config.MappedDayBarsConfig attribute) (quantlab.dataset.config.MappedTradeBarsConfig attribute) (quantlab.dataset.massive.mapped_bars.MappedPermatickerDataset property) (quantlab.model.collected_panel.CollectedPanel property) SOURCE_CLS (quantlab.dataset.massive.mapped_bars.MappedDayBarDataset attribute) (quantlab.dataset.massive.mapped_bars.MappedPermatickerDataset attribute) (quantlab.dataset.massive.mapped_bars.MappedTradeBarDataset attribute) (quantlab.dataset.massive.permaticker_bars.PermatickerDataset attribute) (quantlab.dataset.massive.permaticker_bars.PermatickerDayBarDataset attribute) (quantlab.dataset.massive.permaticker_bars.PermatickerTradeBarDataset attribute) SOURCE_FIELD (quantlab.dataset.massive.permaticker_bars.PermatickerDataset attribute) (quantlab.dataset.massive.permaticker_bars.PermatickerDayBarDataset attribute) (quantlab.dataset.massive.permaticker_bars.PermatickerTradeBarDataset attribute) source_interval_seconds() (in module quantlab.utils.resample) SOURCE_TABLE (quantlab.dataset.crsp.market.CrspMarketRoster attribute) SourceDescriptor (class in quantlab.acquisition.base) SP500 (quantlab.dataset.crsp.membership.CrspMembership attribute)

SP500_INDNO (quantlab.dataset.crsp.membership.CrspMembership attribute) sp500_intervals() (in module quantlab.dataset.sharadar.membership) SP500_TABLES (quantlab.acquisition.wrds.crsp_reference.CrspReferenceTables attribute) SP500ConstituentDataset (class in quantlab.dataset.constituent) SP500MembershipFetcher (class in quantlab.universe) span (quantlab.label.config.ForwardConfig attribute) (quantlab.portfolio.config.BlackLittermanConfig attribute) (quantlab.portfolio.predefined.mean_variance.MeanVarianceOptimizer property) span_bars() (quantlab.label.forward.Forward method) (quantlab.label.predefined.membership_mask.MembershipMaskedLabel method) specific_autocorrelation_half_life (quantlab.risk.config.Use4RiskConfig attribute) specific_autocorrelation_window (quantlab.risk.config.Use4RiskConfig attribute) specific_half_life (quantlab.risk.config.Use4RiskConfig attribute) specific_lags (quantlab.risk.config.Use4RiskConfig attribute) specific_window (quantlab.risk.config.Use4RiskConfig attribute) SpellPanelDataset (class in quantlab.dataset.sharadar.spells) split_basis_change() (in module quantlab.dataset.sharadar.tables) split_ranges() (in module quantlab.model.split) splits() (quantlab.model.evaluation.Segments method) SpotKlineDataset (class in quantlab.dataset.spot) staged() (in module quantlab.runs.directory) stale_after_days (quantlab.dataset.config.MassiveTenKChangesConfig attribute) (quantlab.dataset.config.SharadarFiscalYearsConfig attribute) (quantlab.dataset.config.SharadarFundamentalsConfig attribute) staleness() (quantlab.portfolio.base.DecisionPanel method) standardize (quantlab.model.predefined.smoothed.SmoothedPredictorConfig attribute) start (quantlab.analysis.factor_report.PairAnalysis property) start_date (quantlab.acquisition.config.AcquisitionConfig attribute) (quantlab.backtest.config.ApproximateBacktestConfig attribute) (quantlab.backtest.config.BacktestConfig attribute) (quantlab.dataset.config.BaseDatasetConfig attribute) (quantlab.model.config.ModelConfig attribute) start_run() (quantlab.tracking.base.Tracker method) StartClippedConfig (class in quantlab.factor.config) StartClippedFactor (class in quantlab.factor.predefined.start_clipped) statement() (quantlab.acquisition.wrds.nbbo_bars_sql.NbboBarsQuery method) STATS_METRICS (quantlab.backtest.engine_vectorbt.VectorBtBacktester attribute) stats_path (quantlab.dataset.massive.trade_bars.MassiveTradeBarDataset property) std (quantlab.portfolio.config.ReturnViewConfig attribute) stock_acquisition_config() (in module quantlab.acquisition.config) stock_kline_config() (in module quantlab.config) STOCK_TABLES (quantlab.acquisition.wrds.crsp_reference.CrspReferenceTables attribute) StockDataset (class in quantlab.dataset.stock) Stopping (class in quantlab.portfolio.approximate) store (quantlab.portfolio.config.ReturnViewConfig attribute) store() (in module quantlab.dataset.sharadar.stores) STORE_NAME (quantlab.dataset.massive.disclosures.MassiveDisclosureDataset attribute) (quantlab.dataset.massive.dividends.MassiveDividendDataset attribute) (quantlab.dataset.massive.ipos.MassiveIpoDataset attribute) (quantlab.dataset.massive.news.MassiveNewsDataset attribute) (quantlab.dataset.massive.rest_panel.MassiveRestPanel attribute) (quantlab.dataset.massive.short_interest.MassiveShortInterestDataset attribute) (quantlab.dataset.massive.short_volume.MassiveShortVolumeDataset attribute) store_path (quantlab.dataset.base.BaseDataset property) (quantlab.dataset.massive.mapped_bars.MappedPermatickerDataset property) (quantlab.dataset.memory.FrameDataset property) (quantlab.factor.base.Factor property) (quantlab.factor.view.FactorView property) (quantlab.portfolio.predefined.black_litterman.ReturnView property) store_range() (quantlab.backend.ranged.RangedStore method) (quantlab.core.store_uses.RangedStoreHandle method) (quantlab.factor.base.Factor method) (quantlab.factor.view.FactorView method) (quantlab.label.forward.Forward method) (quantlab.label.predefined.membership_mask.MembershipMaskedLabel method) (quantlab.risk.base.RiskStore method) STORE_README (quantlab.dataset.massive.disclosures.MassiveDisclosureDataset attribute) (quantlab.dataset.massive.dividends.MassiveDividendDataset attribute) (quantlab.dataset.massive.ipos.MassiveIpoDataset attribute) (quantlab.dataset.massive.news.MassiveNewsDataset attribute) (quantlab.dataset.massive.rest_panel.MassiveRestPanel attribute) (quantlab.dataset.massive.short_interest.MassiveShortInterestDataset attribute) (quantlab.dataset.massive.short_volume.MassiveShortVolumeDataset attribute) store_uses() (quantlab.core.component.Component method) (quantlab.dataset.base.BaseDataset method) (quantlab.factor.base.Factor method) (quantlab.factor.view.FactorView method) (quantlab.risk.base.FactorRiskModel method) stored_days() (quantlab.dataset.massive.mapped_bars.MappedPermatickerDataset method) stored_symbols() (quantlab.dataset.base.BaseDataset method) (quantlab.dataset.massive.mapped_bars.MappedPermatickerDataset method) (quantlab.dataset.massive.permaticker_bars.PermatickerDataset method) (quantlab.dataset.merged.MergedDataset method) (quantlab.dataset.roster.RosterDataset method) (quantlab.factor.base.Factor method) (quantlab.factor.view.FactorView method) stored_through() (quantlab.dataset.massive.day_bars.MassiveDayBarDataset method) (quantlab.dataset.massive.permaticker_bars.PermatickerDataset method) (quantlab.dataset.massive.permaticker_bars.PermatickerDayBarDataset method) (quantlab.dataset.massive.permaticker_bars.PermatickerTradeBarDataset method) StoreResult (class in quantlab.dataset.sharadar.stores) stores() (quantlab.dataset.base.BaseDataset method) stores_text() (in module quantlab.dataset.base) StoreState (class in quantlab.dataset.sharadar.stores) StoreUpdate (class in quantlab.dataset.sharadar.stores) StoreUse (class in quantlab.core.store_uses) structural_bias (quantlab.risk.config.Use4RiskConfig attribute) structural_fit (quantlab.risk.config.Use4RiskConfig attribute) structural_history_window (quantlab.risk.config.Use4RiskConfig attribute) structural_model (quantlab.risk.config.Use4RiskConfig attribute) style_names (quantlab.risk.config.Use4RiskConfig attribute) submit() (quantlab.execution.rules.ExecutionBook method) subset() (quantlab.portfolio.base.CovarianceEstimate method) (quantlab.portfolio.base.LowRankCovarianceEstimate method) (quantlab.risk.base.FactorRiskForecast method) (quantlab.risk.base.ReturnCovariance method) SUFFIX_DELIMITER (quantlab.acquisition.wrds.taq.WrdsTaqNbboAcquisition attribute) summarize() (quantlab.tracking.base.TrackingRun method) summary (quantlab.analysis.factor_correlation.FactorCorrelation property) (quantlab.dataset.sharadar.stores.StoreResult property) summary() (quantlab.acquisition.refresh.RawTierRefreshResult method) (quantlab.analysis.factor_report.FactorAnalysis method) summary_table() (quantlab.analysis.factor_report.FactorAnalysis method) SUPERSEDED_SUFFIX (quantlab.dataset.raw.RawDataset attribute) supports() (quantlab.acquisition.base.SourceDescriptor method) symbol_batch_cls_for() (quantlab.acquisition.base.SourceDescriptor method) SYMBOL_BLOCK_DARWIN (quantlab.factor.kunquant.FactorKunQuant attribute) symbol_count (quantlab.utils.sidecar.JsonSidecar property) SYMBOL_DIM_CHUNK (quantlab.backend.zarr.XrBackend attribute) symbol_fingerprint (quantlab.utils.sidecar.JsonSidecar property) symbol_intervals() (quantlab.dataset.crsp.symbology.CrspSymbology method) symbol_to_pair() (quantlab.acquisition.wrds.taq.WrdsTaqNbboAcquisition class method) SymbolBatchAcquisition (class in quantlab.acquisition.symbol_batch) SymbolName (class in quantlab.dataset.base) symbols (quantlab.acquisition.config.AcquisitionConfig attribute) (quantlab.dataset.config.BaseDatasetConfig attribute) (quantlab.dataset.raw.RawDataset property) (quantlab.factor.kunquant.FactorKunQuant property) (quantlab.model.base.BaseModel property) (quantlab.portfolio.base.PortfolioContext property) SymbolSequenceDataset (class in quantlab.model.torch_data)

T

table (quantlab.dataset.config.MassiveRestPanelConfig attribute) (quantlab.dataset.config.MassiveTenKChangesConfig attribute) (quantlab.dataset.config.SharadarActionsConfig attribute) (quantlab.dataset.config.SharadarDailyConfig attribute) (quantlab.dataset.config.SharadarDatasetConfig attribute) (quantlab.dataset.config.SharadarEventsConfig attribute) (quantlab.dataset.config.SharadarFiscalYearsConfig attribute) (quantlab.dataset.config.SharadarFundamentalsConfig attribute) (quantlab.dataset.config.SharadarHoldingsConfig attribute) (quantlab.dataset.config.SharadarIndustryConfig attribute) (quantlab.dataset.config.SharadarInsidersConfig attribute) (quantlab.dataset.config.SharadarListingConfig attribute) (quantlab.dataset.config.SharadarShareClassConfig attribute) TABLE (quantlab.dataset.massive.disclosures.MassiveDisclosureDataset attribute) (quantlab.dataset.sharadar.actions.SharadarActionsDataset attribute) (quantlab.dataset.sharadar.events.SharadarEventsDataset attribute) (quantlab.dataset.sharadar.filings.FilingPanelDataset attribute) (quantlab.dataset.sharadar.insiders.SharadarInsidersDataset attribute) table() (in module quantlab.dataset.sharadar.tables) (quantlab.dataset.crsp.reference.CrspReference method) table_columns() (quantlab.acquisition.wrds.crsp.CrspQueries class method) (quantlab.acquisition.wrds.taq.WrdsSession method) table_identifier() (quantlab.acquisition.wrds.taq.WrdsSession static method) takes_volatility (quantlab.portfolio.base.CovarianceEstimator attribute) (quantlab.portfolio.predefined.factor_risk.FactorRiskStoreEstimator attribute) TAQ_COLUMNS (quantlab.acquisition.wrds.taq.WrdsTaqNbboAcquisition attribute) tau (quantlab.portfolio.config.BlackLittermanConfig attribute) TCNNet (class in quantlab.model.predefined.tcn) TCNRegressor (class in quantlab.model.predefined.tcn) TemporalAttention (class in quantlab.model.predefined.master) TemporalBlock (class in quantlab.model.predefined.tcn) tensors() (quantlab.model.torch_data.Batch method) test_bounds (quantlab.model.base.BaseModel property) (quantlab.model.ensemble.BaseEnsemble property) (quantlab.model.view.PredictorView property) test_end (quantlab.model.config.ModelConfig attribute) test_start (quantlab.model.config.ModelConfig attribute) TICK_DATA_TYPES (quantlab.acquisition.alpaca.AlpacaAcquisition attribute) (quantlab.acquisition.wrds.taq.WrdsTaqNbboAcquisition attribute) ticker (quantlab.dataset.base.SymbolName attribute) ticker_bars (quantlab.dataset.massive.permaticker_bars.PermatickerDataset property) ticker_changes() (in module quantlab.dataset.sharadar.permatickers) ticker_holders() (quantlab.dataset.sharadar.permatickers.PermatickerResolver method) ticker_lookup (quantlab.backtest.base.BaseBacktester property) ticker_lookup() (quantlab.dataset.base.BaseDataset method) (quantlab.dataset.crsp.CrspStockDataset method) (quantlab.dataset.merged.MergedDataset method) (quantlab.dataset.nbbo.panel.NbboPanelBase method) (quantlab.dataset.roster.RosterDataset method) (quantlab.dataset.sharadar.stock.SharadarStockDataset method) ticker_map (quantlab.dataset.config.PermatickerDayBarsConfig attribute) (quantlab.dataset.config.PermatickerTradeBarsConfig attribute) (quantlab.dataset.massive.permaticker_bars.PermatickerDataset property) (quantlab.dataset.massive.rest_panel.MassiveRestPanel property) ticker_map_path (quantlab.dataset.config.MassiveRestPanelConfig attribute) ticker_sidecar_path() (quantlab.dataset.crsp.CrspStockDataset method) (quantlab.dataset.nbbo.panel.NbboPanelBase method) (quantlab.dataset.sharadar.stock.SharadarStockDataset method) ticker_sidecar_payload() (in module quantlab.dataset.sharadar.tickers) TickerLookup (class in quantlab.dataset.base) TickerMap (class in quantlab.dataset.massive.ticker_map) TickerMapConfig (class in quantlab.dataset.config) TickerPlacement (class in quantlab.dataset.massive.placement) tickers (quantlab.dataset.config.MassiveTradeBarsDatasetConfig attribute) tickers_history() (in module quantlab.dataset.sharadar.tables) tickers_history_file() (in module quantlab.dataset.sharadar.tables) tickers_labels (quantlab.dataset.sharadar.tables.SharadarTable property) tickers_snapshot_file() (in module quantlab.dataset.sharadar.tables) tickers_snapshots() (in module quantlab.dataset.sharadar.tables) TIINGO_VARIABLES (quantlab.dataset.crsp.CrspStockDataset attribute) TiingoAcquisition (class in quantlab.acquisition.tiingo) TiingoColumns (class in quantlab.enums.data) TiingoRosterFetcher (class in quantlab.universe) time_interval (quantlab.dataset.raw.RawDataset property) TIMEFRAME_MAP (quantlab.acquisition.alpaca.AlpacaAcquisition attribute) Timer (class in quantlab.utils.timer) times (quantlab.model.torch_data.SymbolSequenceDataset attribute) times() (quantlab.portfolio.approximate.LowRankCovariance method) to() (quantlab.model.torch_data.Batch method) (quantlab.model.torch_data.TrainingPanel method)

to_array() (in module quantlab.model.collected_panel) (quantlab.model.base.BaseModel method) to_dict() (quantlab.acquisition.config.AcquisitionConfig method) (quantlab.backtest.config.BacktestConfig method) (quantlab.core.config.FrozenConfig method) (quantlab.universe.UniverseConfig method) to_internal() (quantlab.backend.base.DataBackend method) (quantlab.backend.parquet.PlBackend method) (quantlab.backend.zarr.XrBackend method) to_jsonable() (in module quantlab.utils.jsonable) to_kunquant() (quantlab.dataset.base.MarketDataset method) to_panel() (in module quantlab.dataset.sharadar.point_in_time) to_shared_names() (quantlab.dataset.base.BaseDataset method) to_zarr() (quantlab.dataset.memory.FrameDataset method) tolerance (quantlab.backtest.config.ApproximateBacktestConfig attribute) top_n (quantlab.backtest.config.WeightsBacktestConfig attribute) (quantlab.portfolio.config.TopNConfig attribute) topk (quantlab.portfolio.config.TopkDropoutConfig attribute) TopkDropoutConfig (class in quantlab.portfolio.config) TopkDropoutConstructor (class in quantlab.portfolio.predefined.topk_dropout) TopNConfig (class in quantlab.portfolio.config) TopNConstructor (class in quantlab.portfolio.predefined.top_n) TorchModel (class in quantlab.model.torch_model) TqdmProgressReporter (class in quantlab.utils.progress) Tracker (class in quantlab.tracking.base) tracker (quantlab.backtest.config.BacktestConfig attribute) (quantlab.model.base.BaseModel property) (quantlab.model.config.ModelConfig attribute) (quantlab.model.ensemble.BaseEnsemble property) tracking_error (quantlab.portfolio.config.ActiveRiskConfig attribute) tracking_project (quantlab.model.base.BaseModel property) (quantlab.model.ensemble.BaseEnsemble property) TrackingRun (class in quantlab.tracking.base) tradable_bars() (quantlab.dataset.base.MarketDataset method) (quantlab.dataset.merged.MergedDataset method) (quantlab.dataset.roster.RosterDataset method) (quantlab.dataset.sharadar.stock.SharadarStockDataset method) trade() (quantlab.execution.rules.ExecutionBook method) trade_bar_store_name() (in module quantlab.dataset.massive.trade_bars) trade_bars (quantlab.dataset.config.PermatickerTradeBarsConfig attribute) (quantlab.dataset.massive.permaticker_bars.PermatickerTradeBarDataset property) TRADE_FIELD_MAP (quantlab.acquisition.alpaca.AlpacaAcquisition attribute) TradeBarResampler (class in quantlab.dataset.massive.resample) trading_days() (in module quantlab.dataset.sharadar.tables) (quantlab.acquisition.wrds.taq.WrdsSession method) trading_days_between() (in module quantlab.acquisition.wrds.taq) trading_days_per_year (quantlab.backtest.config.WeightsBacktestConfig attribute) TradingCalendar (class in quantlab.dataset.sharadar.point_in_time) train() (quantlab.model.base.BaseModel method) (quantlab.model.ensemble.BaseEnsemble method) (quantlab.model.predefined.recorded.RecordedPredictor method) (quantlab.model.view.PredictorView method) train_bounds (quantlab.model.base.BaseModel property) (quantlab.model.ensemble.BaseEnsemble property) (quantlab.model.view.PredictorView property) train_cv() (quantlab.model.base.BaseModel method) (quantlab.model.ensemble.BaseEnsemble method) train_end (quantlab.model.config.ModelConfig attribute) train_fold() (quantlab.model.base.BaseModel method) (quantlab.model.ensemble.BaseEnsemble method) (quantlab.model.walk_forward_training.WalkForwardTrainable method) train_into() (quantlab.model.base.BaseModel method) train_start (quantlab.model.config.ModelConfig attribute) train_walk_forward() (in module quantlab.model.walk_forward_training) trained_run() (quantlab.runs.backtest_run.BacktestRun method) TrainedRun (class in quantlab.runs.trained_run) training_record (quantlab.model.base.BaseModel property) (quantlab.model.ensemble.BaseEnsemble property) training_target (quantlab.model.library_model.LibraryModel property) TrainingPanel (class in quantlab.model.torch_data) TrainingTargetMixin (class in quantlab.model.training_target) TrainLossThreshold (class in quantlab.model.torch_training) TransformerNet (class in quantlab.model.predefined.transformer) TransformerRegressor (class in quantlab.model.predefined.transformer) turnover() (in module quantlab.runs.backtest_stats) turnover_penalty (quantlab.portfolio.config.MeanVarianceConfig attribute) turnover_stats() (in module quantlab.runs.backtest_stats) turnover_table() (quantlab.analysis.factor_report.FactorAnalysis method)

U

underperformer (quantlab.portfolio.config.RelativeFactorReturnViewConfig attribute) universe() (in module quantlab.dataset.sharadar.universe) universe_config() (in module quantlab.config) UniverseCatalog (class in quantlab.universe) UniverseConfig (class in quantlab.universe) unmapped_path() (quantlab.dataset.sharadar.stock.SharadarStockDataset method) unplaced() (quantlab.dataset.massive.mapped_bars.MappedPermatickerDataset method) (quantlab.dataset.massive.permaticker_bars.PermatickerDataset method) unplaced_path (quantlab.dataset.massive.mapped_bars.MappedDayBarDataset property) (quantlab.dataset.massive.rest_panel.MassiveRestPanel property) unrecorded() (in module quantlab.runs.record) unresolved (quantlab.dataset.sharadar.permatickers.PermatickerResolver attribute) UnscaledZScoreExpectedReturn (class in quantlab.portfolio.predefined.expected_return) UnscaledZScoreExpectedReturnConfig (class in quantlab.portfolio.config) update() (quantlab.dataset.massive.mapped_bars.MappedDayBarDataset method) (quantlab.dataset.massive.mapped_bars.MappedPermatickerDataset method) (quantlab.dataset.raw.RawDataset method) (quantlab.model.torch_training.TrainLossThreshold method)

update_config() (quantlab.tracking.base.TrackingRun method) update_stores() (in module quantlab.dataset.sharadar.stores) update_summary() (quantlab.dataset.massive.mapped_bars.MappedDayBarDataset method) UPDATED (quantlab.dataset.sharadar.stores.StoreState attribute) updated (quantlab.dataset.sharadar.stores.StoreUpdate property) updated_file() (in module quantlab.dataset.sharadar.tables) updated_table() (quantlab.acquisition.sharadar.client.SharadarClient method) usd_dividends() (in module quantlab.dataset.massive.dividends) Use4RiskConfig (class in quantlab.risk.config) Use4RiskModel (class in quantlab.risk.predefined.use4) use_panel() (quantlab.model.base.BaseModel method) USEquityApproximateBacktest (class in quantlab.backtest.predefined.us_equity) USEquityCrossectionSelectStockVectorBt (class in quantlab.backtest.predefined.us_equity) USEquityUniverseFetcher (class in quantlab.universe)

V

val_size (quantlab.model.config.ModelConfig attribute) validate() (quantlab.factor.predefined.barra.BarraStyleParameters method) (quantlab.factor.predefined.literature_alpha.LiteratureAlphaParameters method) (quantlab.factor.predefined.residual_momentum.ResidualMomentumParameters method) validate_resample_config() (in module quantlab.utils.resample) valuation_price_column (quantlab.backtest.config.WeightsBacktestConfig attribute) value (quantlab.backtest.approximate.ApproximateAccount property) value_on_dates() (in module quantlab.factor.predefined.fundamental_alpha) Variable (class in quantlab.dataset.sharadar.actions) VARIABLE (quantlab.dataset.sharadar.industry.SharadarIndustryDataset attribute) (quantlab.dataset.sharadar.share_class.SharadarShareClassDataset attribute) (quantlab.dataset.sharadar.spells.SpellPanelDataset attribute) variable (quantlab.portfolio.config.ReturnViewConfig attribute) VARIABLES (quantlab.dataset.massive.dividends.MassiveDividendDataset attribute) (quantlab.dataset.massive.ipos.MassiveIpoDataset attribute) (quantlab.dataset.massive.news.MassiveNewsDataset attribute) (quantlab.dataset.massive.rest_panel.MassiveRestEventPanel attribute) (quantlab.dataset.massive.short_interest.MassiveShortInterestDataset attribute) (quantlab.dataset.massive.short_volume.MassiveShortVolumeDataset attribute) (quantlab.dataset.sharadar.listing.SharadarListingDataset attribute) (quantlab.dataset.sharadar.spells.SpellPanelDataset attribute) variance (quantlab.portfolio.approximate.LowRankCovariance property) (quantlab.portfolio.base.CovarianceEstimate property) (quantlab.portfolio.base.LowRankCovarianceEstimate property) (quantlab.risk.base.FactorRiskForecast property) variance() (quantlab.portfolio.predefined.black_litterman.ReturnView method) VectorBtBacktester (class in quantlab.backtest.engine_vectorbt) VENDOR (quantlab.acquisition.alpaca.AlpacaAcquisition attribute) vendor (quantlab.acquisition.config.AcquisitionConfig attribute) VENDOR (quantlab.acquisition.fred.FredAcquisition attribute) (quantlab.acquisition.symbol_batch.SymbolBatchAcquisition attribute) (quantlab.acquisition.tiingo.TiingoAcquisition attribute) (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition attribute) (quantlab.acquisition.wrds.taq.WrdsTaqNbboAcquisition attribute)

vendor (quantlab.dataset.config.CrspDatasetConfig attribute) (quantlab.dataset.config.DatasetConfig attribute) (quantlab.dataset.config.FredRateConfig attribute) (quantlab.dataset.config.MassiveDayBarsDatasetConfig attribute) (quantlab.dataset.config.MassiveRestPanelConfig attribute) (quantlab.dataset.config.MassiveTenKChangesConfig attribute) (quantlab.dataset.config.MassiveTradeBarsDatasetConfig attribute) (quantlab.dataset.config.NbboBarsDatasetConfig attribute) (quantlab.dataset.config.NbboDatasetConfig attribute) (quantlab.dataset.config.SharadarDatasetConfig attribute) vendor_today() (in module quantlab.dataset.sharadar.tables) views_relative_to_prior (quantlab.portfolio.config.BlackLittermanConfig attribute) VINTAGE_DIR_NAME (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition attribute) vintage_path_for() (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition class method) Volatility (class in quantlab.label.predefined.fret) volatility_autocorrelation_half_life (quantlab.risk.config.Use4RiskConfig attribute) volatility_autocorrelation_window (quantlab.risk.config.Use4RiskConfig attribute) volatility_half_life (quantlab.risk.config.Use4RiskConfig attribute) volatility_label (quantlab.portfolio.config.MeanVarianceConfig attribute) volatility_lags (quantlab.risk.config.Use4RiskConfig attribute) volatility_level_metrics() (in module quantlab.model.evaluation) volatility_window (quantlab.risk.config.Use4RiskConfig attribute) volume_ratio (quantlab.dataset.config.BadPrintMaskedDatasetConfig attribute) volume_variable (quantlab.dataset.config.BadPrintMaskedDatasetConfig attribute) vra_half_life (quantlab.risk.config.Use4RiskConfig attribute) vra_window (quantlab.risk.config.Use4RiskConfig attribute)

W

walk_back() (in module quantlab.dataset.sharadar.history) walk_components() (in module quantlab.core.component) walk_forward_bars() (quantlab.model.base.BaseModel method) (quantlab.model.ensemble.BaseEnsemble method) (quantlab.model.walk_forward_training.WalkForwardTrainable method) walk_forward_folds() (in module quantlab.model.split) walk_store_uses() (in module quantlab.core.store_uses) WalkForwardTrainable (class in quantlab.model.walk_forward_training) WandbRun (class in quantlab.tracking.wandb) WandbTracker (class in quantlab.tracking.wandb) warmup_bars (quantlab.factor.base.Factor property) (quantlab.factor.config.BaseFactorConfig attribute) (quantlab.factor.config.BenchmarkBetaConfig attribute) (quantlab.factor.config.FactorViewConfig attribute) (quantlab.factor.config.IntradayAverageConfig attribute) (quantlab.factor.config.IntradayCompositeConfig attribute) (quantlab.factor.config.MarketFeatureConfig attribute) (quantlab.factor.config.MembershipCapWeightConfig attribute) (quantlab.factor.config.NeutralizedConfig attribute) (quantlab.factor.predefined.barra.BarraStyleParameters property) (quantlab.model.base.BaseModel property) (quantlab.model.predefined.smoothed.SmoothedPredictorConfig attribute) (quantlab.model.torch_model.TorchModel property) watermark_file() (in module quantlab.dataset.massive.raw) watermark_path (quantlab.acquisition.config.AcquisitionConfig attribute) weight_cap (quantlab.portfolio.config.MeanVarianceConfig attribute) weighting (quantlab.risk.config.Use4RiskConfig attribute) weights() (quantlab.portfolio.decision_inputs.DecisionInputs method) (quantlab.runs.backtest_run.BacktestRun method) WeightsBacktestConfig (class in quantlab.backtest.config) WeightsVectorBt (class in quantlab.backtest.predefined.weights) where (quantlab.model.library_model.Rows attribute) (quantlab.model.torch_data.Batch attribute) where_clause() (quantlab.acquisition.wrds.taq.WrdsSession static method) widen_and_append() (quantlab.backend.zarr.XrBackend method) widen_data_vars() (quantlab.backend.zarr.XrBackend method) widen_symbol_axis() (quantlab.backend.zarr.XrBackend method) WIDENING_SUFFIX (quantlab.backend.zarr.XrBackend attribute) win_rates() (in module quantlab.runs.backtest_stats) window (quantlab.factor.config.IntradayAverageConfig attribute) window() (quantlab.model.torch_data.TrainingPanel method) window_bars (quantlab.model.predefined.gats.GATsRegressor property) (quantlab.model.predefined.master.MASTERRegressor property) (quantlab.model.torch_model.TorchModel property)

window_file() (in module quantlab.dataset.sharadar.tables) window_for_product_end() (quantlab.acquisition.wrds.crsp.WrdsCrspDailyAcquisition class method) window_table() (quantlab.acquisition.sharadar.client.SharadarClient method) WindowedZScore (class in quantlab.factor.kunquant_ts) windows_planned (quantlab.dataset.raw.ConversionResult attribute) windows_skipped (quantlab.dataset.raw.ConversionResult attribute) windows_written (quantlab.dataset.raw.ConversionResult attribute) with_pull_day() (in module quantlab.dataset.sharadar.tables) with_record() (quantlab.model.collected_panel.CollectedPanel method) with_volatility() (quantlab.portfolio.approximate.LowRankCovariance method) workers (quantlab.dataset.config.MassiveTenKChangesConfig attribute) (quantlab.factor.chunking.ChunkedBuilder property) WrdsCrspDailyAcquisition (class in quantlab.acquisition.wrds.crsp) WrdsSession (class in quantlab.acquisition.wrds.taq) WrdsTaqNbboAcquisition (class in quantlab.acquisition.wrds.taq) WrdsTaqNbboBarsAcquisition (class in quantlab.acquisition.wrds.taq_bars) write() (quantlab.backend.base.DataBackend method) (quantlab.backend.parquet.PlBackend method) (quantlab.backend.ranged.RangedStore method) (quantlab.backend.zarr.XrBackend method) (quantlab.runs.prediction_panel.PredictionPanel method) write_backtest_report() (in module quantlab.runs.backtest_report) write_backtest_run() (in module quantlab.runs.backtest_run) write_bulk_pull() (in module quantlab.acquisition.sharadar.raw_tier) write_day_file_watermark() (in module quantlab.acquisition.massive.raw_tier) write_ensemble_run() (in module quantlab.runs.trained_run) write_json_atomically() (in module quantlab.utils.atomic) write_model_config() (in module quantlab.runs.trained_run) write_model_run() (in module quantlab.runs.trained_run) write_parquet_atomically() (in module quantlab.utils.atomic) write_record() (in module quantlab.runs.directory) write_report() (quantlab.dataset.massive.placement.TickerPlacement method) write_rest_page() (in module quantlab.acquisition.massive.raw_tier) write_rest_watermark() (in module quantlab.acquisition.massive.raw_tier) write_rows() (quantlab.factor.base.Factor method) (quantlab.factor.view.FactorView method) write_table_watermark() (in module quantlab.acquisition.sharadar.raw_tier) write_ticker_sidecar() (quantlab.dataset.sharadar.stock.SharadarStockDataset method) write_ticker_sidecars() (in module quantlab.dataset.sharadar.stores) write_walk_forward_run() (in module quantlab.runs.trained_run) write_watermark() (in module quantlab.utils.watermark)

X

x (quantlab.model.library_model.Rows attribute) (quantlab.model.torch_data.Batch attribute)

XGBoostRegressor (class in quantlab.model.predefined.xgb) XGBTDRegressor (class in quantlab.model.predefined.xgb_td) XrBackend (class in quantlab.backend.zarr)

Y

y (quantlab.model.library_model.Rows attribute) (quantlab.model.torch_data.Batch attribute) y_raw (quantlab.model.library_model.Rows attribute) (quantlab.model.torch_data.Batch attribute)

year_freq() (in module quantlab.runs.backtest_stats) (quantlab.backtest.base.MarketSpec method) year_pages() (in module quantlab.acquisition.wrds.crsp) years (quantlab.dataset.config.SharadarFiscalYearsConfig attribute)

Z

zarr_file_path (quantlab.dataset.config.BaseDatasetConfig attribute) (quantlab.dataset.config.FrameDatasetConfig attribute) (quantlab.dataset.config.MappedDayBarsConfig attribute) (quantlab.dataset.config.MappedTradeBarsConfig attribute)

zarr_path (quantlab.dataset.raw.ConversionResult attribute) ZScoreExpectedReturn (class in quantlab.portfolio.predefined.expected_return) ZScoreExpectedReturnConfig (class in quantlab.portfolio.config)