Index

_

__getitem__() (betalens.datafeed.config.ConfigManager method) (betalens.datafeed.ConfigManager method) __init__() (betalens.datafeed.config.ConfigManager method) (betalens.datafeed.ConfigManager method) (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method) (betalens.datafeed.DataValidator method) (betalens.datafeed.validation.DataValidator method) __setitem__() (betalens.datafeed.config.ConfigManager method) (betalens.datafeed.ConfigManager method) _aggregate_window_returns() built-in function

_calc_returns() built-in function _compute_period_stats() built-in function _compute_stats() built-in function _get_day0_cost_price_loc() built-in function _get_event_dates() built-in function _get_window_returns() built-in function

A

align_to_dates() (in module betalens.datafeed) (in module betalens.datafeed.query) analyze() (EventStudy method) analyzer (ReportExporter attribute)

annualized_return() (PortfolioAnalyzer method) annualized_volatility() (PortfolioAnalyzer method) apply_industry_weight_constraint() built-in function apply_time_alignment() (in module betalens.datafeed.excel)

B

BacktestBase (built-in class) BacktestDataError batch_process_excel_files() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method) batch_read_files() (in module betalens.datafeed) (in module betalens.datafeed.excel) batch_write_files() (in module betalens.datafeed) (in module betalens.datafeed.excel) benchmark (ReportExporter attribute) betalens.datafeed module betalens.datafeed.config module betalens.datafeed.core module betalens.datafeed.ede_processor module betalens.datafeed.excel module betalens.datafeed.integration module betalens.datafeed.query module betalens.datafeed.universe module betalens.datafeed.validation module betalens.datafeed.wind_ingest module bootstrap_fake_fund() built-in function bootstrap_once() (RobustTest method) build_industry_records() (in module betalens.datafeed) build_nearest_in_range_query() (in module betalens.datafeed) (in module betalens.datafeed.query) build_nearest_query() (in module betalens.datafeed) (in module betalens.datafeed.query) build_query() (in module betalens.datafeed) (in module betalens.datafeed.query) built-in function _aggregate_window_returns() _calc_returns() _compute_period_stats() _compute_stats() _get_day0_cost_price_loc() _get_event_dates() _get_window_returns() apply_industry_weight_constraint() bootstrap_fake_fund() calc_ic() calc_icir() describe_double_labeled_pool() describe_labeled_pool() describe_multi_labeled_pool() double_characteristic() fama_macbeth() filter_pool_by_industry() format_data_sample() gen_date_pairs() get_double_factor_weight() get_interval() get_multi_factor_weight() get_single_factor_weight() get_tradable_pool() group_return_summary() multi_characteristic() neutralize_factor() neutralize_factor_by_factor() panel() parse_name_dates() pre_query_characteristic_data() preprocess_factor() query_industry_panel() single_characteristic() standardize_factor() summarize_ic() validate_calculation_inputs() validate_index_alignment() validate_pivot_result() validate_query_result() validate_weight_input() winsorize_factor()

C

calc_ic() built-in function calc_icir() built-in function calculate_returns() (in module betalens.datafeed) (in module betalens.datafeed.query) calmar_ratio() (PortfolioAnalyzer method) check_datetime_column() (betalens.datafeed.DataValidator method) (betalens.datafeed.validation.DataValidator method) (in module betalens.datafeed) (in module betalens.datafeed.validation) check_excel_errors() (in module betalens.datafeed) (in module betalens.datafeed.excel) check_excel_file() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method) check_existing_rows() (in module betalens.datafeed) (in module betalens.datafeed.integration) check_null_values() (betalens.datafeed.DataValidator method) (betalens.datafeed.validation.DataValidator method) (in module betalens.datafeed) (in module betalens.datafeed.validation)

clean_ede_dataframe() (in module betalens.datafeed.ede_processor) close() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method) CodeMismatchError config (betalens.datafeed.config.ConfigManager property) (betalens.datafeed.ConfigManager property) ConfigManager (class in betalens.datafeed) (class in betalens.datafeed.config) cost_price (BacktestBase attribute) cost_ret (BacktestBase attribute) create_directory_tree() (in module betalens.datafeed) (in module betalens.datafeed.excel) create_sample_dataframes() (RobustTest static method) cross_section_to_db_format() (in module betalens.datafeed) (in module betalens.datafeed.excel)

D

daily_amount (BacktestBase attribute) Datafeed (class in betalens.datafeed) (class in betalens.datafeed.core) DataValidator (class in betalens.datafeed) (class in betalens.datafeed.validation) DateMismatchError describe_double_labeled_pool() built-in function describe_labeled_pool() built-in function

describe_multi_labeled_pool() built-in function double_characteristic() built-in function DROP (betalens.datafeed.FillStrategy attribute) (betalens.datafeed.validation.FillStrategy attribute) drop_duplicates_strict() (betalens.datafeed.DataValidator method) (betalens.datafeed.validation.DataValidator method) (in module betalens.datafeed) (in module betalens.datafeed.validation)

E

end (BacktestBase attribute) EventStudy (built-in class)

excess (ReportExporter attribute) extract_date_from_filename() (in module betalens.datafeed.ede_processor) extract_date_from_metric_metadata() (in module betalens.datafeed.ede_processor)

F

fama_macbeth() built-in function fetch_daily_bond() (in module betalens.datafeed.wind_ingest) fetch_daily_fund() (in module betalens.datafeed.wind_ingest) fetch_daily_index() (in module betalens.datafeed.wind_ingest) fetch_daily_market() (in module betalens.datafeed.wind_ingest) FILL_BACKWARD (betalens.datafeed.FillStrategy attribute) (betalens.datafeed.validation.FillStrategy attribute) FILL_FORWARD (betalens.datafeed.FillStrategy attribute) (betalens.datafeed.validation.FillStrategy attribute) FILL_MEAN (betalens.datafeed.FillStrategy attribute) (betalens.datafeed.validation.FillStrategy attribute) FILL_MEDIAN (betalens.datafeed.FillStrategy attribute) (betalens.datafeed.validation.FillStrategy attribute) FILL_MODE (betalens.datafeed.FillStrategy attribute) (betalens.datafeed.validation.FillStrategy attribute) FILL_VALUE (betalens.datafeed.FillStrategy attribute) (betalens.datafeed.validation.FillStrategy attribute)

FillStrategy (class in betalens.datafeed) (class in betalens.datafeed.validation) filter_pool_by_industry() built-in function fix_datetime_column() (betalens.datafeed.DataValidator method) (betalens.datafeed.validation.DataValidator method) (in module betalens.datafeed) (in module betalens.datafeed.validation) fix_null_values() (betalens.datafeed.DataValidator method) (betalens.datafeed.validation.DataValidator method) (in module betalens.datafeed) (in module betalens.datafeed.validation) format_data_sample() built-in function func_timer() (in module betalens.datafeed) (in module betalens.datafeed.core)

G

gen_date_pairs() built-in function generate_annual_report() (ReportExporter method) generate_benchmark_report() (ReportExporter method) generate_custom_report() (ReportExporter method) generate_input_pairs() (in module betalens.datafeed) (in module betalens.datafeed.query) generate_input_range_pairs() (in module betalens.datafeed) (in module betalens.datafeed.query) get() (betalens.datafeed.config.ConfigManager method) (betalens.datafeed.ConfigManager method) get_absolute_trade_days() (in module betalens.datafeed) (in module betalens.datafeed.core) get_available_dates() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method) (in module betalens.datafeed) (in module betalens.datafeed.query) get_config() (in module betalens.datafeed) (in module betalens.datafeed.config) get_daily_position_data() (BacktestBase method) get_database_config() (in module betalens.datafeed) (in module betalens.datafeed.config) get_double_factor_weight() built-in function get_ede_config() (in module betalens.datafeed) (in module betalens.datafeed.config) get_excel_config() (in module betalens.datafeed) (in module betalens.datafeed.config)

get_existing_dates() (in module betalens.datafeed) (in module betalens.datafeed.integration) get_index_universe() (in module betalens.datafeed) (in module betalens.datafeed.universe) get_index_universe_date() (in module betalens.datafeed) (in module betalens.datafeed.universe) get_industry_members() (in module betalens.datafeed) get_interval() built-in function get_latest_date() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method) (in module betalens.datafeed) (in module betalens.datafeed.query) get_logging_config() (in module betalens.datafeed) (in module betalens.datafeed.config) get_multi_factor_weight() built-in function get_position_data() (BacktestBase method) get_rebalance_data() (BacktestBase method) get_section() (betalens.datafeed.config.ConfigManager method) (betalens.datafeed.ConfigManager method) get_single_factor_weight() built-in function get_tradable_pool() built-in function get_wind_config() (in module betalens.datafeed) (in module betalens.datafeed.config) group_return_summary() built-in function

I

identify_code_name_columns() (in module betalens.datafeed.ede_processor) incremental_insert() (in module betalens.datafeed) (in module betalens.datafeed.integration) incremental_update() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method) ingest_wind_daily_bond() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method) ingest_wind_daily_fund() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method) ingest_wind_daily_index() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method)

ingest_wind_daily_market() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method) insert_csv_file() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method) insert_dataframe() (in module betalens.datafeed) (in module betalens.datafeed.integration) insert_ede_file() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method) insert_with_conflict_check() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method) INTERPOLATE (betalens.datafeed.FillStrategy attribute) (betalens.datafeed.validation.FillStrategy attribute)

L

load() (betalens.datafeed.config.ConfigManager method) (betalens.datafeed.ConfigManager method)

M

max_drawdown() (PortfolioAnalyzer method) module betalens.datafeed betalens.datafeed.config betalens.datafeed.core betalens.datafeed.ede_processor betalens.datafeed.excel betalens.datafeed.integration betalens.datafeed.query betalens.datafeed.universe betalens.datafeed.validation betalens.datafeed.wind_ingest

multi_characteristic() built-in function

N

nav (BacktestBase attribute) (PortfolioAnalyzer attribute) neu() (RobustTest method)

neutralize_factor() built-in function neutralize_factor_by_factor() built-in function

O

OX (RobustTest attribute)

P

panel() built-in function parse_metric_column() (in module betalens.datafeed.ede_processor) parse_name_dates() built-in function pivot_to_wide() (in module betalens.datafeed) (in module betalens.datafeed.query) plot_bar() (EventStudy method) plot_events_lines() (EventStudy method) plot_lines() (EventStudy method) plot_multi_stocks() (EventStudy method)

PortfolioAnalyzer (built-in class) position (BacktestBase attribute) pre_query_characteristic_data() built-in function preprocess_factor() built-in function process_directory_tree() (in module betalens.datafeed) (in module betalens.datafeed.integration) process_ede_file() (in module betalens.datafeed.ede_processor) process_excel_to_db_format() (in module betalens.datafeed) (in module betalens.datafeed.integration)

Q

query_industry() (in module betalens.datafeed) query_industry_panel() built-in function query_nearest_after() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method) (in module betalens.datafeed) (in module betalens.datafeed.query) query_nearest_before() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method) (in module betalens.datafeed) (in module betalens.datafeed.query)

query_nearest_in_range_after() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method) (in module betalens.datafeed) (in module betalens.datafeed.query) query_nearest_in_range_before() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method) (in module betalens.datafeed) (in module betalens.datafeed.query) query_time_range() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method) (in module betalens.datafeed) (in module betalens.datafeed.query)

R

RAISE_ERROR (betalens.datafeed.FillStrategy attribute) (betalens.datafeed.validation.FillStrategy attribute) read_csv_with_encoding() (in module betalens.datafeed) (in module betalens.datafeed.excel) read_file() (in module betalens.datafeed) (in module betalens.datafeed.excel) recovery_days() (PortfolioAnalyzer method) ReportExporter (built-in class)

reset_config() (in module betalens.datafeed) (in module betalens.datafeed.config) returns (PortfolioAnalyzer attribute) RobustTest (built-in class) rolling_max_drawdown() (PortfolioAnalyzer method) rolling_win_rate() (PortfolioAnalyzer method) run_query() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method)

S

save() (betalens.datafeed.config.ConfigManager method) (betalens.datafeed.ConfigManager method) save_error_file() (in module betalens.datafeed) (in module betalens.datafeed.integration) set() (betalens.datafeed.config.ConfigManager method) (betalens.datafeed.ConfigManager method) sharpe_ratio() (PortfolioAnalyzer method)

single_characteristic() built-in function standardize_factor() built-in function start (BacktestBase attribute) summarize_ic() built-in function

T

T (RobustTest attribute) total_return() (PortfolioAnalyzer method) trade_days_offset() (in module betalens.datafeed) (in module betalens.datafeed.core)

truncate_table() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method)

U

update_data() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method)

V

validate_and_fix() (betalens.datafeed.DataValidator method) (betalens.datafeed.validation.DataValidator method) (in module betalens.datafeed) (in module betalens.datafeed.validation) validate_calculation_inputs() built-in function validate_dataframe() (betalens.datafeed.core.Datafeed method) (betalens.datafeed.Datafeed method)

validate_index_alignment() built-in function validate_pivot_result() built-in function validate_query_result() built-in function validate_weight_input() built-in function

W

winsorize_factor() built-in function

work() (RobustTest method)

X

X (RobustTest attribute)

Y

y (RobustTest attribute)