Index

A

adjust() (bt.core.Node method) (bt.core.StrategyBase method) Algo (class in bt.core) AlgoStack (class in bt.core)

allocate() (bt.core.Node method) (bt.core.SecurityBase method) (bt.core.StrategyBase method) AlmgrenChrissCostModel (class in bt.core)

B

Backtest (class in bt.backtest) benchmark_random() (in module bt.backtest) bidoffer (bt.core.SecurityBase property) bidoffer_paid (bt.core.SecurityBase property) (bt.core.StrategyBase property) bidoffers (bt.core.SecurityBase property) bidoffers_paid (bt.core.SecurityBase property) (bt.core.StrategyBase property)

bt.__init__ module bt.algos module bt.backtest module bt.core module

C

capital (bt.core.StrategyBase property) CapitalFlow (class in bt.algos) cash (bt.core.StrategyBase property) close() (bt.core.StrategyBase method) CloseDead (class in bt.algos) ClosePositionsAfterDates (class in bt.algos) commission() (bt.core.SecurityBase method) compare_dates() (bt.algos.RunDaily method) (bt.algos.RunMonthly method) (bt.algos.RunPeriod method) (bt.algos.RunQuarterly method) (bt.algos.RunWeekly method) (bt.algos.RunYearly method)

CorporateActions (class in bt.algos) cost() (bt.core.AlmgrenChrissCostModel method) (bt.core.CostModel method) (bt.core.SqrtCostModel method) CostModel (class in bt.core) coupon (bt.core.CouponPayingSecurity property) CouponPayingHedgeSecurity (class in bt.core) CouponPayingSecurity (class in bt.core) coupons (bt.core.CouponPayingSecurity property)

D

data (bt.core.Node property)

Debug (class in bt.algos) display_monthly_returns() (bt.backtest.Result method)

F

fees (bt.core.StrategyBase property) fixed_income (bt.core.Node property) FixedIncomeSecurity (class in bt.core)

FixedIncomeStrategy (class in bt.core) flatten() (bt.core.StrategyBase method) flows (bt.core.StrategyBase property) full_name (bt.core.Node property)

G

get_data() (bt.core.StrategyBase method) get_monthly_max_drawdown() (bt.backtest.Result method) get_security_weights() (bt.backtest.Result method)

get_transactions() (bt.backtest.Result method) (bt.core.StrategyBase method) get_weights() (bt.backtest.Result method)

H

HedgeRisks (class in bt.algos) HedgeSecurity (class in bt.core)

herfindahl_index (bt.backtest.Backtest property) holding_cost (bt.core.CouponPayingSecurity property) holding_costs (bt.core.CouponPayingSecurity property)

I

is_zero() (in module bt.core)

L

LimitDeltas (class in bt.algos)

LimitWeights (class in bt.algos)

M

Margin (class in bt.algos) members (bt.core.Node property) module bt.__init__ bt.algos bt.backtest bt.core

N

name (bt.core.Algo property) Node (class in bt.core) Not (class in bt.algos)

notional_value (bt.core.Node property) notional_values (bt.core.SecurityBase property) (bt.core.StrategyBase property)

O

Or (class in bt.algos) outlay() (bt.core.SecurityBase method)

outlays (bt.core.SecurityBase property) (bt.core.StrategyBase property)

P

plot_histogram() (bt.backtest.RandomBenchmarkResult method) (bt.backtest.Result method) plot_security_weights() (bt.backtest.Result method) plot_weights() (bt.backtest.Result method) position (bt.core.SecurityBase property) positions (bt.backtest.Backtest property) (bt.core.SecurityBase property) (bt.core.StrategyBase property) price (bt.core.Node property) (bt.core.SecurityBase property) (bt.core.StrategyBase property)

prices (bt.core.Node property) (bt.core.SecurityBase property) (bt.core.StrategyBase property) PrintDate (class in bt.algos) PrintInfo (class in bt.algos) PrintRisk (class in bt.algos) PrintTempData (class in bt.algos) PTE_Rebalance (class in bt.algos)

R

RandomBenchmarkResult (class in bt.backtest) Rebalance (class in bt.algos) rebalance() (bt.core.StrategyBase method) RebalanceOverTime (class in bt.algos) RenormalizedFixedIncomeResult (class in bt.backtest) ReplayTransactions (class in bt.algos) Require (class in bt.algos) ResolveOnTheRun (class in bt.algos) Result (class in bt.backtest) RollPositionsAfterDates (class in bt.algos) run() (bt.backtest.Backtest method) (bt.core.SecurityBase method) (bt.core.Strategy method) (bt.core.StrategyBase method) (in module bt.backtest)

run_always() (in module bt.algos) RunAfterDate (class in bt.algos) RunAfterDays (class in bt.algos) RunDaily (class in bt.algos) RunEveryNPeriods (class in bt.algos) RunIfOutOfBounds (class in bt.algos) RunMonthly (class in bt.algos) RunOnce (class in bt.algos) RunOnDate (class in bt.algos) RunPeriod (class in bt.algos) RunQuarterly (class in bt.algos) RunWeekly (class in bt.algos) RunYearly (class in bt.algos)

S

ScaleWeights (class in bt.algos) securities (bt.core.StrategyBase property) Security (class in bt.core) security_weights (bt.backtest.Backtest property) SecurityBase (class in bt.core) SelectActive (class in bt.algos) SelectAll (class in bt.algos) SelectHasData (class in bt.algos) SelectMomentum (class in bt.algos) SelectN (class in bt.algos) SelectRandomly (class in bt.algos) SelectRegex (class in bt.algos) SelectThese (class in bt.algos) SelectTypes (class in bt.algos)

SelectWhere (class in bt.algos) set_commissions() (bt.core.StrategyBase method) SetNotional (class in bt.algos) SetStat (class in bt.algos) setup() (bt.core.CouponPayingSecurity method) (bt.core.Node method) (bt.core.SecurityBase method) (bt.core.StrategyBase method) setup_from_parent() (bt.core.StrategyBase method) SimulateRFQTransactions (class in bt.algos) SqrtCostModel (class in bt.core) StatMultiPeriodReturn (class in bt.algos) StatTotalReturn (class in bt.algos) Strategy (class in bt.core) StrategyBase (class in bt.core)

T

TargetVol (class in bt.algos) to_dot() (bt.core.Node method)

transact() (bt.core.SecurityBase method) (bt.core.StrategyBase method) turnover (bt.backtest.Backtest property)

U

universe (bt.core.StrategyBase property) update() (bt.core.CouponPayingHedgeSecurity method) (bt.core.CouponPayingSecurity method) (bt.core.FixedIncomeSecurity method) (bt.core.HedgeSecurity method) (bt.core.Node method) (bt.core.SecurityBase method) (bt.core.StrategyBase method)

UpdateRisk (class in bt.algos) use_integer_positions() (bt.core.Node method)

V

value (bt.core.Node property)

values (bt.core.SecurityBase property) (bt.core.StrategyBase property)

W

WeighEqually (class in bt.algos) WeighERC (class in bt.algos) WeighInvVol (class in bt.algos) WeighMeanVar (class in bt.algos)

WeighRandomly (class in bt.algos) WeighSpecified (class in bt.algos) weight (bt.core.Node property) WeighTarget (class in bt.algos) weights (bt.backtest.Backtest property)