Index

Symbols

--entry_script kaxanuk.backtest_engine-init command line option

--version kaxanuk.backtest_engine command line option

A

active_returns_plot() (in module kaxanuk.backtest_engine.modules.metrics) add_calculated_metrics() (MarketDataProcessingService method) add_commission() (PortfolioStateManager method) add_commission_grid() (BacktestVariationRunner method) add_rolling_window_variations() (BacktestVariationRunner method) add_variation() (BacktestVariationRunner method) add_variations() (BacktestVariationRunner method) amount (FixedCommission property) analyze_annual_returns() (in module kaxanuk.backtest_engine.modules.metrics) annual_returns_plot() (in module kaxanuk.backtest_engine.modules.metrics) annualize_rets() (in module kaxanuk.backtest_engine.modules.metrics)

annualize_vol() (in module kaxanuk.backtest_engine.modules.metrics) apply() (BasisPointSlippage method) (FixedSlippage method) (NoSlippage method) (RandomSlippage method) (SlippageModelInterface method) (SquareRootSlippage method) (VolumeBasedSlippage method) AvailableCapital (class in kaxanuk.backtest_engine.backtest.execution.portfolio_state_manager) average_daily_volume (SquareRootSlippage property) (VolumeBasedSlippage property)

B

BacktestReport (class in kaxanuk.backtest_engine.backtest.execution.reporting_engine) BacktestResultDict (class in kaxanuk.backtest_engine.backtest.interfaces.base_backtester_interface) BacktestVariationRunner (class in kaxanuk.backtest_engine.backtest.orchestrators.backtest_variations) base_config (BacktestVariationRunner property)

base_slippage (VolumeBasedSlippage property) BaseBacktesterInterface (class in kaxanuk.backtest_engine.backtest.interfaces.base_backtester_interface) basis_points (BasisPointSlippage property) BasisPointSlippage (class in kaxanuk.backtest_engine.backtest.cost_models.slippage_models)

C

calculate() (CommissionModelInterface method) (FixedCommission method) (PercentageCommission method) (PerShareCommission method) (TieredCommission method) (ZeroCommission method) calculate_annualized_return() (in module kaxanuk.backtest_engine.modules.metrics) calculate_daily_returns() (in module kaxanuk.backtest_engine.modules.metrics) calculate_pct_change() (in module kaxanuk.backtest_engine.modules.metrics) calculate_portfolio_value() (PortfolioStateManager method) calculate_return() (in module kaxanuk.backtest_engine.modules.metrics) calculate_returns_table() (in module kaxanuk.backtest_engine.modules.metrics) calculate_total_value() (PortfolioStateManager method) calculate_weights() (PortfolioStateManager method) calculate_with_price() (PercentageCommission method) calculate_yearly_returns() (in module kaxanuk.backtest_engine.modules.metrics) calculate_years() (BaseBacktesterInterface method) cash (PortfolioStateManager property)

cash_reserve_pct (BaseBacktesterInterface property) (PortfolioStateManager property) clear_variations() (BacktestVariationRunner method) commission_model (ExecutionBroker property) CommissionModelInterface (class in kaxanuk.backtest_engine.backtest.interfaces.cost_model_interfaces) CommissionRecord (class in kaxanuk.backtest_engine.backtest.cost_models.trading_records) (in module kaxanuk.backtest_engine.backtest.execution.reporting_engine) compound() (in module kaxanuk.backtest_engine.modules.metrics) compute_portfolio_statistics() (in module kaxanuk.backtest_engine.modules.metrics) compute_portfolio_stats() (BacktestVariationRunner static method) CONFIG_FORMAT kaxanuk.backtest_engine-init command line option kaxanuk.backtest_engine-update command line option create_empty_result_dataframe() (in module kaxanuk.backtest_engine.modules.metrics) create_from_configuration() (PyArrowBacktester class method) create_from_pipeline_result() (PyArrowBacktester class method) cumprod_manual_fallback() (in module kaxanuk.backtest_engine.modules.metrics) cvar_historic() (in module kaxanuk.backtest_engine.modules.metrics)

D

DailyRecord (class in kaxanuk.backtest_engine.backtest.cost_models.trading_records) DataPipelineResult (class in kaxanuk.backtest_engine.data_processors.data_pipeline_executor) decimal_cumprod_pyarrow() (in module kaxanuk.backtest_engine.modules.metrics)

detect_portfolio_format() (in module kaxanuk.backtest_engine.portfolio_data_pipeline.portfolio_transformer) downside_deviation() (in module kaxanuk.backtest_engine.modules.metrics) drawdown() (in module kaxanuk.backtest_engine.modules.metrics)

E

ensure_datetime_index() (in module kaxanuk.backtest_engine.modules.metrics) entity_to_weights_dict() (in module kaxanuk.backtest_engine.portfolio_data_pipeline.portfolio_transformer) ENTRY_SCRIPT (UpdateFormats attribute) ENTRY_SCRIPT_LOCATIONS kaxanuk.backtest_engine-run command line option EXCEL (InitFormats attribute) (UpdateFormats attribute)

execute_data_pipeline() (in module kaxanuk.backtest_engine.data_processors.data_pipeline_executor) execute_rebalance() (ExecutionBroker method) execution_broker (PyArrowBacktester property) ExecutionBroker (class in kaxanuk.backtest_engine.backtest.execution.trade_broker) extract_metric_tables() (MarketDataProcessingService method)

F

FixedCommission (class in kaxanuk.backtest_engine.backtest.cost_models.commission_models) FixedSlippage (class in kaxanuk.backtest_engine.backtest.cost_models.slippage_models)

format_results_dataframe() (in module kaxanuk.backtest_engine.modules.metrics) from_yaml() (MultiPortfolioBacktester class method)

G

generate_individual_reports() (MultiPortfolioBacktester static method) generate_report() (MultiPortfolioBacktester static method) (ReportingEngine method) get_active_positions() (PortfolioStateManager method) get_available_capital() (PortfolioStateManager method) get_benchmark() (DataPipelineResult method) get_data_dict() (DataPipelineResult method) get_equivalence_dict() (DataPipelineResult method) get_failed_entries() (in module kaxanuk.backtest_engine.backtest.orchestrators.backtest_results_summary)

get_market_data_bundle() (DataPipelineResult method) get_portfolio_df() (DataPipelineResult method) get_portfolio_dict() (DataPipelineResult method) get_portfolio_entity() (DataPipelineResult method) get_results_dict() (in module kaxanuk.backtest_engine.backtest.orchestrators.backtest_results_summary) get_shares() (PortfolioStateManager method) get_start_date_backtest() (DataPipelineResult method) get_successful_entries() (in module kaxanuk.backtest_engine.backtest.orchestrators.backtest_results_summary) get_summary_dataframe() (in module kaxanuk.backtest_engine.backtest.orchestrators.backtest_results_summary)

H

holdings (PortfolioStateManager property)

I

impact_coefficient (SquareRootSlippage property) index_price_construction() (in module kaxanuk.backtest_engine.modules.metrics) InitFormats (class in kaxanuk.backtest_engine.services.cli)

initial_capital (BaseBacktesterInterface property) (PortfolioStateManager property) is_initialized (PortfolioStateManager property)

K

kaxanuk.backtest_engine command line option --version kaxanuk.backtest_engine-init command line option --entry_script CONFIG_FORMAT kaxanuk.backtest_engine-run command line option ENTRY_SCRIPT_LOCATIONS kaxanuk.backtest_engine-update command line option CONFIG_FORMAT kaxanuk.backtest_engine.backtest.cost_models.commission_models module kaxanuk.backtest_engine.backtest.cost_models.slippage_models module kaxanuk.backtest_engine.backtest.cost_models.trading_records module kaxanuk.backtest_engine.backtest.enums.trading_enums module kaxanuk.backtest_engine.backtest.execution.portfolio_state_manager module kaxanuk.backtest_engine.backtest.execution.reporting_engine module kaxanuk.backtest_engine.backtest.execution.trade_broker module kaxanuk.backtest_engine.backtest.interfaces.base_backtester_interface module

kaxanuk.backtest_engine.backtest.interfaces.cost_model_interfaces module kaxanuk.backtest_engine.backtest.orchestrators.backtest_results_summary module kaxanuk.backtest_engine.backtest.orchestrators.backtest_variations module kaxanuk.backtest_engine.backtest.orchestrators.multi_portfolio_runner module kaxanuk.backtest_engine.backtest.pyarrow_backtester module kaxanuk.backtest_engine.data_processors.data_pipeline_executor module kaxanuk.backtest_engine.market_data_pipeline.market_data_service module kaxanuk.backtest_engine.modules.metrics module kaxanuk.backtest_engine.portfolio_data_pipeline.date_utils module kaxanuk.backtest_engine.portfolio_data_pipeline.portfolio_configuration_service module kaxanuk.backtest_engine.portfolio_data_pipeline.portfolio_transformer module kaxanuk.backtest_engine.services.cli module kurtosis() (in module kaxanuk.backtest_engine.modules.metrics)

L

load_and_process_market_data() (MarketDataProcessingService method) load_and_process_portfolio() (PortfolioConfigurationService method)

load_from_dict() (PortfolioConfigurationService method) load_from_file() (PortfolioConfigurationService method) load_market_data_tables() (MarketDataProcessingService method)

M

manual_returns_calculation() (in module kaxanuk.backtest_engine.modules.metrics) mark_initialized() (PortfolioStateManager method) MarketDataProcessingService (class in kaxanuk.backtest_engine.market_data_pipeline.market_data_service) max_slippage (RandomSlippage property) merge_strategy_benchmark_returns() (in module kaxanuk.backtest_engine.modules.metrics) min_slippage (RandomSlippage property) minimum (TieredCommission property) module kaxanuk.backtest_engine.backtest.cost_models.commission_models kaxanuk.backtest_engine.backtest.cost_models.slippage_models kaxanuk.backtest_engine.backtest.cost_models.trading_records kaxanuk.backtest_engine.backtest.enums.trading_enums kaxanuk.backtest_engine.backtest.execution.portfolio_state_manager kaxanuk.backtest_engine.backtest.execution.reporting_engine kaxanuk.backtest_engine.backtest.execution.trade_broker kaxanuk.backtest_engine.backtest.interfaces.base_backtester_interface kaxanuk.backtest_engine.backtest.interfaces.cost_model_interfaces kaxanuk.backtest_engine.backtest.orchestrators.backtest_results_summary kaxanuk.backtest_engine.backtest.orchestrators.backtest_variations kaxanuk.backtest_engine.backtest.orchestrators.multi_portfolio_runner kaxanuk.backtest_engine.backtest.pyarrow_backtester kaxanuk.backtest_engine.data_processors.data_pipeline_executor kaxanuk.backtest_engine.market_data_pipeline.market_data_service kaxanuk.backtest_engine.modules.metrics kaxanuk.backtest_engine.portfolio_data_pipeline.date_utils kaxanuk.backtest_engine.portfolio_data_pipeline.portfolio_configuration_service kaxanuk.backtest_engine.portfolio_data_pipeline.portfolio_transformer kaxanuk.backtest_engine.services.cli

multiply_by_capital_manual() (in module kaxanuk.backtest_engine.modules.metrics) MultiPortfolioBacktester (class in kaxanuk.backtest_engine.backtest.orchestrators.multi_portfolio_runner)

N

NoSlippage (class in kaxanuk.backtest_engine.backtest.cost_models.slippage_models)

notional_per_share (PercentageCommission property)

O

OrderRecord (class in kaxanuk.backtest_engine.backtest.cost_models.trading_records) (in module kaxanuk.backtest_engine.backtest.execution.reporting_engine)

OrderSide (class in kaxanuk.backtest_engine.backtest.enums.trading_enums)

P

parse_config_date() (in module kaxanuk.backtest_engine.portfolio_data_pipeline.date_utils) parse_date_with_formats() (in module kaxanuk.backtest_engine.portfolio_data_pipeline.date_utils) pct (PercentageCommission property) pct_change_pyarrow() (in module kaxanuk.backtest_engine.modules.metrics) PercentageCommission (class in kaxanuk.backtest_engine.backtest.cost_models.commission_models) PerformanceStatsDict (class in kaxanuk.backtest_engine.backtest.interfaces.base_backtester_interface) PerShareCommission (class in kaxanuk.backtest_engine.backtest.cost_models.commission_models)

pipeline_result (BacktestVariationRunner property) portfolio_manager (PyArrowBacktester property) PortfolioConfigurationService (class in kaxanuk.backtest_engine.portfolio_data_pipeline.portfolio_configuration_service) PortfolioSchedule (in module kaxanuk.backtest_engine.backtest.cost_models.trading_records) PortfolioStateManager (class in kaxanuk.backtest_engine.backtest.execution.portfolio_state_manager) PriceData (class in kaxanuk.backtest_engine.backtest.cost_models.trading_records) PriceType (class in kaxanuk.backtest_engine.backtest.enums.trading_enums) PyArrowBacktester (class in kaxanuk.backtest_engine.backtest.pyarrow_backtester)

R

RandomSlippage (class in kaxanuk.backtest_engine.backtest.cost_models.slippage_models) rate (PerShareCommission property) rebalance_dates (PyArrowBacktester property) RebalanceResult (class in kaxanuk.backtest_engine.backtest.cost_models.trading_records) RebalanceStatus (class in kaxanuk.backtest_engine.backtest.enums.trading_enums) reporting_engine (PyArrowBacktester property)

ReportingEngine (class in kaxanuk.backtest_engine.backtest.execution.reporting_engine) run() (BaseBacktesterInterface method) (MultiPortfolioBacktester method) (PyArrowBacktester method) run_all() (BacktestVariationRunner method) run_parallel() (BacktestVariationRunner method) run_with_benchmark() (PyArrowBacktester method)

S

seed (RandomSlippage property) set_position() (PortfolioStateManager method) SharesRecord (class in kaxanuk.backtest_engine.backtest.cost_models.trading_records) sharpe_ratio() (in module kaxanuk.backtest_engine.modules.metrics) skewness() (in module kaxanuk.backtest_engine.modules.metrics)

slippage_model (ExecutionBroker property) slippage_pct (FixedSlippage property) SlippageModelInterface (class in kaxanuk.backtest_engine.backtest.interfaces.cost_model_interfaces) sortino_ratio() (in module kaxanuk.backtest_engine.modules.metrics) sortino_ratio_simple() (in module kaxanuk.backtest_engine.modules.metrics) SquareRootSlippage (class in kaxanuk.backtest_engine.backtest.cost_models.slippage_models)

T

tickers (PyArrowBacktester property) TickerWeights (in module kaxanuk.backtest_engine.backtest.cost_models.trading_records) TieredCommission (class in kaxanuk.backtest_engine.backtest.cost_models.commission_models) tiers (TieredCommission property)

to_dict() (BacktestReport method) total_commissions (PortfolioStateManager property) TradeOrder (class in kaxanuk.backtest_engine.backtest.cost_models.trading_records) transpose_vertical_to_horizontal() (in module kaxanuk.backtest_engine.portfolio_data_pipeline.portfolio_transformer)

U

update_position() (PortfolioStateManager method)

UpdateFormats (class in kaxanuk.backtest_engine.services.cli)

V

validate_cash_position() (BaseBacktesterInterface static method) validate_inputs() (in module kaxanuk.backtest_engine.modules.metrics) var_gaussian() (in module kaxanuk.backtest_engine.modules.metrics) var_historic() (in module kaxanuk.backtest_engine.modules.metrics)

variations (BacktestVariationRunner property) volatility (SquareRootSlippage property) volume_impact (VolumeBasedSlippage property) VolumeBasedSlippage (class in kaxanuk.backtest_engine.backtest.cost_models.slippage_models)

W

wealth_index() (in module kaxanuk.backtest_engine.modules.metrics)

Z

ZeroCommission (class in kaxanuk.backtest_engine.backtest.cost_models.commission_models)