Index

A

allowed_volume_types (mizarlabs.transformers.technical.volume.BuySellImbalance attribute) AmihudLambda (class in mizarlabs.transformers.microstructural_features.second_generation)

AverageUniqueness (class in mizarlabs.transformers.sampling.average_uniqueness) avg_active_signals() (in module mizarlabs.transformers.trading.bet_sizing)

B

BaseLabeling (class in mizarlabs.transformers.targets.labeling) BaseTimeSeriesCrossValidator (class in mizarlabs.model.model_selection) BeckersParkinsonVolatility (class in mizarlabs.transformers.microstructural_features.first_generation)

BetSizingBase (class in mizarlabs.transformers.trading.bet_sizing) BetSizingFromProbabilities (class in mizarlabs.transformers.trading.bet_sizing) BuySellImbalance (class in mizarlabs.transformers.technical.volume)

C

calc_average_uniqueness() (in module mizarlabs.model.bootstrapping) check_missing_columns() (in module mizarlabs.transformers.utils) ChuStinchcombeWhiteStatTest (class in mizarlabs.structural_breaks.cusum_chu_stinchcome_white) classes_ (mizarlabs.transformers.technical.moving_average.MovingAverageCrossOverPredictor attribute) close_positions() (mizarlabs.model.pipeline.ClosingPositionsModel method) ClosingPositionsModel (class in mizarlabs.model.pipeline) combinatorial_cross_validation_paths() (in module mizarlabs.model.model_selection) CombPurgedKFoldCV (class in mizarlabs.model.model_selection) compute_back_test_paths() (in module mizarlabs.model.model_selection)

convert_to_timestamp() (in module mizarlabs.transformers.utils) CorwinSchultzSpread (class in mizarlabs.transformers.microstructural_features.first_generation) create_dataset_metalabeling() (mizarlabs.model.pipeline.StrategySignalPipeline method) create_dataset_primary() (mizarlabs.model.pipeline.StrategySignalPipeline method) create_position() (mizarlabs.model.pipeline.StrategyTrader method) create_signal() (mizarlabs.model.pipeline.StrategyTrader method) create_strategy_bars() (mizarlabs.model.pipeline.StrategyTrader method) CRITICAL_VALUE (mizarlabs.structural_breaks.cusum_chu_stinchcome_white.ChuStinchcombeWhiteStatTest attribute) CUSUMFilter (class in mizarlabs.transformers.sampling.down_sampling)

D

default_embargo_td (mizarlabs.model.model_selection.CombPurgedKFoldCV attribute) determine_positions_to_close() (mizarlabs.model.pipeline.StrategySignalPipeline method) (mizarlabs.model.pipeline.StrategyTrader method)

discretise_signal() (in module mizarlabs.transformers.trading.bet_sizing)

E

embargo() (in module mizarlabs.model.model_selection)

ExponentialWeightedMovingAverageDifference (class in mizarlabs.transformers.technical.moving_average)

F

fit() (mizarlabs.model.pipeline.MizarPipeline method) (mizarlabs.model.sequentially_bootstrapped_bagging_classifier.SequentiallyBootstrappedBaseBagging method) (mizarlabs.transformers.microstructural_features.first_generation.BeckersParkinsonVolatility method) (mizarlabs.transformers.microstructural_features.first_generation.CorwinSchultzSpread method) (mizarlabs.transformers.microstructural_features.first_generation.ParkinsonVolatility method) (mizarlabs.transformers.microstructural_features.first_generation.RollImpact method) (mizarlabs.transformers.microstructural_features.first_generation.RollMeasure method) (mizarlabs.transformers.microstructural_features.second_generation.AmihudLambda method) (mizarlabs.transformers.microstructural_features.second_generation.HasbrouckLambda method) (mizarlabs.transformers.microstructural_features.second_generation.KyleLambda method) (mizarlabs.transformers.microstructural_features.vpin.VPIN method) (mizarlabs.transformers.targets.labeling.BaseLabeling method) (mizarlabs.transformers.targets.labeling.TripleBarrierMethodLabeling method) (mizarlabs.transformers.targets.trend_scanning.TrendScannerLabeling method) (mizarlabs.transformers.technical.moving_average.ExponentialWeightedMovingAverageDifference method) (mizarlabs.transformers.technical.moving_average.MovingAverageCrossOver method) (mizarlabs.transformers.technical.volume.BuySellImbalance method) (mizarlabs.transformers.utils.IdentityTransformer method)

fit_transform() (mizarlabs.model.pipeline.MizarFeatureUnion method)

G

get_beta_and_beta_var() (in module mizarlabs.structural_breaks.sdfc) get_daily_vol() (in module mizarlabs.transformers.targets.labeling) get_dfc_array() (in module mizarlabs.structural_breaks.sdfc) get_ind_matrix() (in module mizarlabs.model.bootstrapping)

get_labels() (in module mizarlabs.transformers.targets.labeling) get_side_and_size() (mizarlabs.model.pipeline.StrategySignalPipeline method) get_test_statistics_array() (in module mizarlabs.structural_breaks.cusum_chu_stinchcome_white) get_y_t_y_n_diff() (in module mizarlabs.structural_breaks.cusum_chu_stinchcome_white)

H

HasbrouckLambda (class in mizarlabs.transformers.microstructural_features.second_generation)

I

IdentityTransformer (class in mizarlabs.transformers.utils)

ind_mat (mizarlabs.model.sequentially_bootstrapped_bagging_classifier.SequentiallyBootstrappedBaseBagging property)

K

KyleLambda (class in mizarlabs.transformers.microstructural_features.second_generation)

L

log_uniform() (in module mizarlabs.model.model_selection)

LogUniformGen (class in mizarlabs.model.model_selection)

M

MizarFeatureUnion (class in mizarlabs.model.pipeline) mizarlabs module mizarlabs.model module mizarlabs.model.bootstrapping module mizarlabs.model.model_selection module mizarlabs.model.pipeline module mizarlabs.model.sequentially_bootstrapped_bagging_classifier module mizarlabs.static module mizarlabs.structural_breaks module mizarlabs.structural_breaks.cusum_chu_stinchcome_white module mizarlabs.structural_breaks.sadf module mizarlabs.structural_breaks.sdfc module mizarlabs.transformers module mizarlabs.transformers.microstructural_features module mizarlabs.transformers.microstructural_features.first_generation module mizarlabs.transformers.microstructural_features.second_generation module mizarlabs.transformers.microstructural_features.vpin module mizarlabs.transformers.sample_weights module mizarlabs.transformers.sampling module mizarlabs.transformers.sampling.average_uniqueness module mizarlabs.transformers.sampling.down_sampling module mizarlabs.transformers.targets module mizarlabs.transformers.targets.labeling module mizarlabs.transformers.targets.trend_scanning module

mizarlabs.transformers.technical module mizarlabs.transformers.technical.moving_average module mizarlabs.transformers.technical.volume module mizarlabs.transformers.trading module mizarlabs.transformers.trading.bet_sizing module mizarlabs.transformers.utils module MizarPipeline (class in mizarlabs.model.pipeline) module mizarlabs mizarlabs.model mizarlabs.model.bootstrapping mizarlabs.model.model_selection mizarlabs.model.pipeline mizarlabs.model.sequentially_bootstrapped_bagging_classifier mizarlabs.static mizarlabs.structural_breaks mizarlabs.structural_breaks.cusum_chu_stinchcome_white mizarlabs.structural_breaks.sadf mizarlabs.structural_breaks.sdfc mizarlabs.transformers mizarlabs.transformers.microstructural_features mizarlabs.transformers.microstructural_features.first_generation mizarlabs.transformers.microstructural_features.second_generation mizarlabs.transformers.microstructural_features.vpin mizarlabs.transformers.sample_weights mizarlabs.transformers.sampling mizarlabs.transformers.sampling.average_uniqueness mizarlabs.transformers.sampling.down_sampling mizarlabs.transformers.targets mizarlabs.transformers.targets.labeling mizarlabs.transformers.targets.trend_scanning mizarlabs.transformers.technical mizarlabs.transformers.technical.moving_average mizarlabs.transformers.technical.volume mizarlabs.transformers.trading mizarlabs.transformers.trading.bet_sizing mizarlabs.transformers.utils MovingAverageCrossOver (class in mizarlabs.transformers.technical.moving_average) MovingAverageCrossOverPredictor (class in mizarlabs.transformers.technical.moving_average)

N

n_classes_ (mizarlabs.transformers.technical.moving_average.MovingAverageCrossOverPredictor attribute)

P

ParkinsonVolatility (class in mizarlabs.transformers.microstructural_features.first_generation) predict() (mizarlabs.model.pipeline.StrategySignalPipeline method) (mizarlabs.transformers.technical.moving_average.MovingAverageCrossOverPredictor method)

predict_proba() (mizarlabs.model.pipeline.StrategySignalPipeline method) (mizarlabs.transformers.technical.moving_average.MovingAverageCrossOverPredictor method) purge() (in module mizarlabs.model.model_selection)

R

RollImpact (class in mizarlabs.transformers.microstructural_features.first_generation) RollMeasure (class in mizarlabs.transformers.microstructural_features.first_generation)

run() (mizarlabs.structural_breaks.cusum_chu_stinchcome_white.ChuStinchcombeWhiteStatTest method) (mizarlabs.structural_breaks.sadf.SupremumAugmentedDickeyFullerStatTest method) (mizarlabs.structural_breaks.sdfc.SupremumDickeyFullerChowStatTest method)

S

SampleWeightsByReturns (class in mizarlabs.transformers.sample_weights) SampleWeightsByTimeDecay (class in mizarlabs.transformers.sample_weights) seq_bootstrap() (in module mizarlabs.model.bootstrapping) SequentiallyBootstrappedBaggingClassifier (class in mizarlabs.model.sequentially_bootstrapped_bagging_classifier) SequentiallyBootstrappedBaseBagging (class in mizarlabs.model.sequentially_bootstrapped_bagging_classifier) set_metalabeling_model() (mizarlabs.model.pipeline.StrategySignalPipeline method) set_primary_model() (mizarlabs.model.pipeline.StrategySignalPipeline method) split() (mizarlabs.model.model_selection.BaseTimeSeriesCrossValidator method) (mizarlabs.model.model_selection.CombPurgedKFoldCV method)

STATISTIC (mizarlabs.structural_breaks.cusum_chu_stinchcome_white.ChuStinchcombeWhiteStatTest attribute) steps (mizarlabs.model.pipeline.MizarFeatureUnion attribute) (mizarlabs.model.pipeline.MizarPipeline attribute) StrategySignalPipeline (class in mizarlabs.model.pipeline) StrategyTrader (class in mizarlabs.model.pipeline) SupremumAugmentedDickeyFullerStatTest (class in mizarlabs.structural_breaks.sadf) SupremumDickeyFullerChowStatTest (class in mizarlabs.structural_breaks.sdfc)

T

transform() (mizarlabs.model.pipeline.MizarFeatureUnion method) (mizarlabs.model.pipeline.StrategySignalPipeline method) (mizarlabs.transformers.microstructural_features.first_generation.BeckersParkinsonVolatility method) (mizarlabs.transformers.microstructural_features.first_generation.CorwinSchultzSpread method) (mizarlabs.transformers.microstructural_features.first_generation.ParkinsonVolatility method) (mizarlabs.transformers.microstructural_features.first_generation.RollImpact method) (mizarlabs.transformers.microstructural_features.first_generation.RollMeasure method) (mizarlabs.transformers.microstructural_features.second_generation.AmihudLambda method) (mizarlabs.transformers.microstructural_features.second_generation.HasbrouckLambda method) (mizarlabs.transformers.microstructural_features.second_generation.KyleLambda method) (mizarlabs.transformers.microstructural_features.vpin.VPIN method) (mizarlabs.transformers.sample_weights.SampleWeightsByReturns method) (mizarlabs.transformers.sample_weights.SampleWeightsByTimeDecay method) (mizarlabs.transformers.sampling.average_uniqueness.AverageUniqueness method) (mizarlabs.transformers.sampling.down_sampling.CUSUMFilter method) (mizarlabs.transformers.targets.labeling.BaseLabeling method) (mizarlabs.transformers.targets.trend_scanning.TrendScannerLabeling method) (mizarlabs.transformers.technical.moving_average.ExponentialWeightedMovingAverageDifference method) (mizarlabs.transformers.technical.moving_average.MovingAverageCrossOver method) (mizarlabs.transformers.technical.volume.BuySellImbalance method) (mizarlabs.transformers.trading.bet_sizing.BetSizingBase method) (mizarlabs.transformers.utils.IdentityTransformer method)

TrendScannerLabeling (class in mizarlabs.transformers.targets.trend_scanning) triple_barrier_labeling() (in module mizarlabs.transformers.targets.labeling) TripleBarrierMethodLabeling (class in mizarlabs.transformers.targets.labeling)

V

VPIN (class in mizarlabs.transformers.microstructural_features.vpin)