├── .coverargerc ├── .gitattributes ├── .github ├── ISSUE_TEMPLATE │ ├── bug_report.yaml │ ├── feature_request.yaml │ ├── other_report.yaml │ └── pull_request_feature.yaml └── workflows │ ├── publish-to-pypi.yml │ └── tests.yml ├── .gitignore ├── .readthedocs.yaml ├── CODE_OF_CONDUCT.md ├── LICENSE ├── MANIFEST.in ├── README.md ├── codecov.yml ├── demo_scripts ├── __init__.py ├── backtester │ ├── __init__.py │ ├── compare_different_initial_risks.py │ ├── moving_average_alpha_model.py │ ├── run_alpha_model_backtest_demo.py │ └── transactions_as_strings.py ├── charts │ ├── __init__.py │ ├── annual_returns_bar_chart.py │ ├── bar_chart2.py │ ├── bar_chart_demo.py │ ├── bar_chart_index_translator_demo.py │ ├── concatenation_and_line_chart.py │ ├── cone_chart.py │ ├── cone_chart_oos.py │ ├── event_comparison_chart.py │ ├── heatmap_demo.py │ ├── line_chart.py │ ├── pie_chart_demo.py │ ├── qq_chart.py │ ├── regression_chart.py │ ├── return_quantiles_chart.py │ ├── returns_similarity_chart.py │ ├── secondary_axes.py │ ├── secondary_bar_axes.py │ ├── skewness_chart.py │ ├── stem_chart.py │ ├── stem_decorator_demo.py │ ├── test_create_line_chart.py │ ├── text_decorator.py │ └── waterfall_chart_demo.py ├── common │ ├── __init__.py │ ├── import_from_excel.py │ ├── tearsheet_demo.py │ ├── timeseries_analysis_demo.py │ ├── trades_analysis_demo.py │ └── utils │ │ ├── __init__.py │ │ ├── custom_returns_aggregations_demo.py │ │ ├── drift_independent_vol_demo.py │ │ ├── dummy_ticker.py │ │ ├── excel_exporter_demo.py │ │ └── volatility_manager_demo.py ├── data_providers │ ├── __init__.py │ ├── alpaca │ │ ├── __init__.py │ │ └── alpaca_data_provider_demo.py │ └── portara │ │ ├── __init__.py │ │ ├── portara_data_provider_demo.py │ │ ├── portara_future_ticker_demo.py │ │ └── portara_intraday_strategy.py ├── demo_configuration │ ├── __init__.py │ ├── config_files │ │ ├── demo_secret_settings.json │ │ └── demo_settings.json │ ├── demo_data_provider.py │ ├── demo_settings.py │ └── input │ │ ├── daily_data.csv │ │ ├── document_css │ │ ├── grid.css │ │ ├── index.css │ │ ├── main.css │ │ ├── page_header.css │ │ └── table.css │ │ ├── email_templates │ │ └── sample_email.html │ │ ├── images │ │ └── cern_logo.png │ │ └── intraday_data.csv ├── ib_examples │ ├── __init__.py │ ├── available_algo_params.py │ ├── contract_samples.py │ ├── fa_allocation_samples.py │ ├── ib_contract_ticker_mapper_demo.py │ ├── order_samples.py │ └── scanner_subscription_samples.py ├── indicators │ ├── __init__.py │ └── market_stress_indicator_demo.py └── strategies │ ├── __init__.py │ ├── alpha_model_strategy_with_data_checksum.py │ ├── buy_and_hold_demo.py │ ├── intraday_strategy.py │ └── simple_ma_strategy.py ├── docs ├── Makefile ├── make.bat └── source │ ├── _static │ └── theme_overrides.css │ ├── _templates │ ├── function.rst │ └── short_class.rst │ ├── analysis.rst │ ├── backtesting.rst │ ├── common.rst │ ├── conf.py │ ├── configuration.rst │ ├── containers.rst │ ├── data_providers.rst │ ├── document_utils.rst │ ├── index.rst │ ├── indicators.rst │ ├── installation.rst │ ├── plotting.rst │ ├── portfolio_construction.rst │ ├── reference │ ├── backtest_flow.rst │ ├── images │ │ └── qflib_events_flow.png │ └── structure.rst │ └── tutorials │ ├── customize_your_backtest.rst │ ├── first_alpha_model.rst │ ├── first_strategy_backtest.rst │ └── images │ ├── interactive_chart.png │ └── signals_plotter.png ├── input ├── __init__.py ├── daily_data.csv ├── intraday_data.csv └── sectors.xlsx ├── qf_lib ├── __init__.py ├── _version.py ├── analysis │ ├── __init__.py │ ├── backtests_overfitting │ │ ├── __init__.py │ │ ├── backtest_overfitting_sheet.py │ │ ├── minimum_backtest_length.py │ │ └── overfitting_analysis.py │ ├── breakout_strength │ │ ├── __init__.py │ │ ├── trend_strength.py │ │ └── trend_strength_sheet.py │ ├── common │ │ ├── __init__.py │ │ └── abstract_document.py │ ├── exposure_analysis │ │ ├── __init__.py │ │ ├── exposure_generator.py │ │ ├── exposure_settings.py │ │ └── exposure_sheet.py │ ├── model_params_estimation │ │ ├── __init__.py │ │ ├── evaluation_utils.py │ │ └── model_params_evaluator.py │ ├── rolling_analysis │ │ ├── __init__.py │ │ └── rolling_analysis.py │ ├── signals_analysis │ │ ├── __init__.py │ │ └── signals_plotter.py │ ├── strategy_monitoring │ │ ├── __init__.py │ │ ├── assets_monitoring_sheet.py │ │ └── pnl_calculator.py │ ├── tearsheets │ │ ├── __init__.py │ │ ├── abstract_tearsheet.py │ │ ├── current_positions_sheet.py │ │ ├── factor_comparison_sheet.py │ │ ├── portfolio_analysis_sheet.py │ │ ├── strategy_monitoring_document.py │ │ ├── tearsheet_comparative.py │ │ ├── tearsheet_with_benchmark.py │ │ └── tearsheet_without_benchmark.py │ ├── timeseries_analysis │ │ ├── __init__.py │ │ ├── timeseries_analysis.py │ │ └── timeseries_analysis_dto.py │ └── trade_analysis │ │ ├── __init__.py │ │ ├── trade_analysis_sheet.py │ │ └── trades_generator.py ├── backtesting │ ├── __init__.py │ ├── alpha_model │ │ ├── __init__.py │ │ ├── alpha_model.py │ │ ├── exposure_enum.py │ │ ├── futures_model.py │ │ └── random_trades_alpha_model.py │ ├── broker │ │ ├── __init__.py │ │ ├── backtest_broker.py │ │ └── broker.py │ ├── contract │ │ ├── __init__.py │ │ └── contract_to_ticker_conversion │ │ │ ├── __init__.py │ │ │ ├── base.py │ │ │ ├── bbg_figi_mapper.py │ │ │ ├── ib_contract_ticker_mapper.py │ │ │ └── simulated_contract_ticker_mapper.py │ ├── events │ │ ├── __init__.py │ │ ├── empty_queue_event │ │ │ ├── __init__.py │ │ │ ├── empty_queue_event.py │ │ │ ├── empty_queue_event_listener.py │ │ │ └── empty_queue_event_notifier.py │ │ ├── end_trading_event │ │ │ ├── __init__.py │ │ │ ├── end_trading_event.py │ │ │ ├── end_trading_event_listener.py │ │ │ └── end_trading_event_notifier.py │ │ ├── event_base.py │ │ ├── event_manager.py │ │ ├── notifiers.py │ │ ├── time_event │ │ │ ├── __init__.py │ │ │ ├── periodic_event │ │ │ │ ├── __init__.py │ │ │ │ ├── calculate_and_place_orders_event.py │ │ │ │ ├── intraday_bar_event.py │ │ │ │ └── periodic_event.py │ │ │ ├── regular_date_time_rule.py │ │ │ ├── regular_time_event │ │ │ │ ├── __init__.py │ │ │ │ ├── after_market_close_event.py │ │ │ │ ├── calculate_and_place_orders_event.py │ │ │ │ ├── market_close_event.py │ │ │ │ ├── market_open_event.py │ │ │ │ ├── regular_market_event.py │ │ │ │ └── regular_time_event.py │ │ │ ├── scheduler.py │ │ │ ├── single_time_event │ │ │ │ ├── __init__.py │ │ │ │ ├── schedule_order_execution_event.py │ │ │ │ └── single_time_event.py │ │ │ └── time_event.py │ │ └── time_flow_controller.py │ ├── execution_handler │ │ ├── __init__.py │ │ ├── commission_models │ │ │ ├── __init__.py │ │ │ ├── bps_trade_value_commission_model.py │ │ │ ├── commission_model.py │ │ │ ├── fixed_commission_model.py │ │ │ └── ib_commission_model.py │ │ ├── execution_handler.py │ │ ├── market_on_close_orders_executor.py │ │ ├── market_on_open_orders_executor.py │ │ ├── market_orders_executor.py │ │ ├── simulated_execution_handler.py │ │ ├── simulated_executor.py │ │ ├── slippage │ │ │ ├── __init__.py │ │ │ ├── base.py │ │ │ ├── fixed_slippage.py │ │ │ ├── price_based_slippage.py │ │ │ └── square_root_market_impact_slippage.py │ │ └── stop_orders_executor.py │ ├── fast_alpha_model_tester │ │ ├── __init__.py │ │ ├── backtest_summary.py │ │ ├── fast_alpha_models_tester.py │ │ ├── initial_risk_stats.py │ │ └── scenarios_generator.py │ ├── monitoring │ │ ├── __init__.py │ │ ├── abstract_monitor.py │ │ ├── backtest_monitor.py │ │ └── backtest_result.py │ ├── order │ │ ├── __init__.py │ │ ├── execution_style.py │ │ ├── order.py │ │ ├── order_factory.py │ │ ├── order_rounder.py │ │ └── time_in_force.py │ ├── orders_filter │ │ ├── __init__.py │ │ ├── orders_filter.py │ │ └── volume_orders_filter.py │ ├── portfolio │ │ ├── __init__.py │ │ ├── backtest_crypto_position.py │ │ ├── backtest_equity_position.py │ │ ├── backtest_future_position.py │ │ ├── backtest_position.py │ │ ├── broker_positon.py │ │ ├── portfolio.py │ │ ├── position.py │ │ ├── position_factory.py │ │ ├── trade.py │ │ ├── transaction.py │ │ └── utils.py │ ├── position_sizer │ │ ├── __init__.py │ │ ├── fixed_portfolio_percentage_position_sizer.py │ │ ├── initial_risk_position_sizer.py │ │ ├── initial_risk_with_volume_position_sizer.py │ │ ├── position_sizer.py │ │ └── simple_position_sizer.py │ ├── signals │ │ ├── __init__.py │ │ ├── backtest_signals_register.py │ │ ├── signal.py │ │ └── signals_register.py │ ├── strategies │ │ ├── __init__.py │ │ ├── abstract_strategy.py │ │ └── alpha_model_strategy.py │ └── trading_session │ │ ├── __init__.py │ │ ├── backtest_trading_session.py │ │ ├── backtest_trading_session_builder.py │ │ └── trading_session.py ├── brokers │ ├── __init__.py │ ├── binance_broker │ │ ├── __init__.py │ │ ├── binance_broker.py │ │ ├── binance_contract_ticker_mapper.py │ │ └── binance_position.py │ └── ib_broker │ │ ├── __init__.py │ │ ├── ib_broker.py │ │ ├── ib_contract.py │ │ ├── ib_utils.py │ │ └── ib_wrapper.py ├── common │ ├── __init__.py │ ├── blotter │ │ ├── __init__.py │ │ ├── blotter.py │ │ └── csv_blotter.py │ ├── enums │ │ ├── __init__.py │ │ ├── axis.py │ │ ├── expiration_date_field.py │ │ ├── frequency.py │ │ ├── grid_proportion.py │ │ ├── matplotlib_location.py │ │ ├── orientation.py │ │ ├── plotting_mode.py │ │ ├── price_field.py │ │ ├── quandl_db_type.py │ │ ├── rebase_method.py │ │ └── security_type.py │ ├── exceptions │ │ ├── __init__.py │ │ ├── broker_exceptions.py │ │ ├── future_contracts_exceptions.py │ │ └── not_enough_data_exception.py │ ├── risk_parity_boxes │ │ ├── __init__.py │ │ └── risk_parity_boxes.py │ ├── tickers │ │ ├── __init__.py │ │ └── tickers.py │ ├── timeseries_analysis │ │ ├── __init__.py │ │ ├── return_attribution_analysis.py │ │ └── risk_contribution_analysis.py │ └── utils │ │ ├── __init__.py │ │ ├── close_open_gap │ │ ├── __init__.py │ │ └── close_open_gap.py │ │ ├── confidence_interval │ │ ├── __init__.py │ │ ├── analytical_cone.py │ │ ├── analytical_cone_base.py │ │ └── analytical_cone_oos.py │ │ ├── config_exporter.py │ │ ├── data_cleaner.py │ │ ├── dateutils │ │ ├── __init__.py │ │ ├── common_start_and_end.py │ │ ├── date_format.py │ │ ├── date_to_datetime.py │ │ ├── date_to_string.py │ │ ├── datetime64_to_datetime.py │ │ ├── eom_date.py │ │ ├── get_quarter.py │ │ ├── get_values_common_dates.py │ │ ├── iso_to_gregorian.py │ │ ├── relative_delta.py │ │ ├── string_to_date.py │ │ ├── timer.py │ │ └── to_days.py │ │ ├── error_handling.py │ │ ├── factorization │ │ ├── __init__.py │ │ ├── data_models │ │ │ ├── __init__.py │ │ │ ├── data_model.py │ │ │ ├── data_model_input.py │ │ │ ├── rolling_data_model.py │ │ │ └── rolling_window_estimation.py │ │ ├── data_presenters │ │ │ ├── __init__.py │ │ │ ├── data_presenter.py │ │ │ └── rolling_data_presenter.py │ │ ├── factors_identification │ │ │ ├── __init__.py │ │ │ ├── elastic_net_factors_identifier.py │ │ │ ├── elastic_net_factors_identifier_simplified.py │ │ │ ├── factors_identifier.py │ │ │ └── stepwise_factor_identifier.py │ │ └── manager.py │ │ ├── helpers.py │ │ ├── logging │ │ ├── __init__.py │ │ ├── logging_config.py │ │ └── qf_parent_logger.py │ │ ├── miscellaneous │ │ ├── __init__.py │ │ ├── annualise_with_sqrt.py │ │ ├── average_true_range.py │ │ ├── consecutive_duplicates.py │ │ ├── constants.py │ │ ├── function_name.py │ │ ├── get_cached_value.py │ │ ├── kelly.py │ │ ├── periods_list.py │ │ ├── to_list_conversion.py │ │ ├── volume_weighted_average_price.py │ │ └── z_score_outliers_cut.py │ │ ├── numberutils │ │ ├── __init__.py │ │ └── is_finite_number.py │ │ ├── ratios │ │ ├── __init__.py │ │ ├── calmar_ratio.py │ │ ├── capture_ratio.py │ │ ├── gain_to_pain_ratio.py │ │ ├── information_ratio.py │ │ ├── omega_ratio.py │ │ ├── sharpe_ratio.py │ │ └── sorino_ratio.py │ │ ├── returns │ │ ├── __init__.py │ │ ├── annualise_total_return.py │ │ ├── avg_drawdown.py │ │ ├── avg_drawdown_duration.py │ │ ├── beta_and_alpha.py │ │ ├── cagr.py │ │ ├── convert_dataframe_frequency.py │ │ ├── custom_returns_aggregating.py │ │ ├── cvar.py │ │ ├── drawdown_tms.py │ │ ├── get_aggregate_returns.py │ │ ├── growth_rate.py │ │ ├── index_grouping.py │ │ ├── is_return_stats.py │ │ ├── list_longest_drawdowns.py │ │ ├── list_of_max_drawdowns.py │ │ ├── log_to_simple_return.py │ │ ├── max_drawdown.py │ │ ├── return_distribution_helpers.py │ │ ├── simple_to_log_return.py │ │ ├── sqn.py │ │ └── tail_events.py │ │ ├── technical_analysis │ │ ├── __init__.py │ │ └── utils.py │ │ └── volatility │ │ ├── __init__.py │ │ ├── drift_independent_volatility.py │ │ ├── get_volatility.py │ │ ├── intraday_volatility.py │ │ ├── rolling_volatility.py │ │ ├── volatility_forecast.py │ │ └── volatility_manager.py ├── containers │ ├── __init__.py │ ├── dataframe │ │ ├── __init__.py │ │ ├── cast_dataframe.py │ │ ├── log_returns_dataframe.py │ │ ├── prices_dataframe.py │ │ ├── qf_dataframe.py │ │ └── simple_returns_dataframe.py │ ├── dimension_names.py │ ├── futures │ │ ├── __init__.py │ │ ├── future_contract.py │ │ ├── future_tickers │ │ │ ├── __init__.py │ │ │ ├── bloomberg_future_ticker.py │ │ │ ├── future_ticker.py │ │ │ └── portara_future_ticker.py │ │ ├── futures_adjustment_method.py │ │ ├── futures_chain.py │ │ └── futures_rolling_orders_generator.py │ ├── helpers.py │ ├── qf_data_array.py │ ├── series │ │ ├── __init__.py │ │ ├── cast_series.py │ │ ├── log_returns_series.py │ │ ├── prices_series.py │ │ ├── qf_series.py │ │ ├── returns_series.py │ │ └── simple_returns_series.py │ └── time_indexed_container.py ├── data_providers │ ├── __init__.py │ ├── abstract_price_data_provider.py │ ├── alpaca_py │ │ ├── __init__.py │ │ ├── alpaca_data_provider.py │ │ └── utilities.py │ ├── binance_dp │ │ ├── __init__.py │ │ └── binance_data_provider.py │ ├── bloomberg │ │ ├── __init__.py │ │ ├── bloomberg_data_provider.py │ │ ├── bloomberg_names.py │ │ ├── exceptions.py │ │ ├── futures_data_provider.py │ │ ├── helpers.py │ │ ├── historical_data_provider.py │ │ └── reference_data_provider.py │ ├── bloomberg_beap_hapi │ │ ├── __init__.py │ │ ├── bloomberg_beap_hapi_data_provider.py │ │ ├── bloomberg_beap_hapi_fields_provider.py │ │ ├── bloomberg_beap_hapi_parser.py │ │ ├── bloomberg_beap_hapi_request_provider.py │ │ ├── bloomberg_beap_hapi_universe_provider.py │ │ └── helpers.py │ ├── csv │ │ ├── __init__.py │ │ └── csv_data_provider.py │ ├── data_provider.py │ ├── exchange_rate_provider.py │ ├── futures_data_provider.py │ ├── haver │ │ ├── __init__.py │ │ └── haver_data_provider.py │ ├── helpers.py │ ├── interactive_brokers │ │ ├── __init__.py │ │ └── ib_figi_contracts_mapper.py │ ├── portara │ │ ├── __init__.py │ │ └── portara_data_provider.py │ ├── prefetching_data_provider.py │ ├── preset_data_provider.py │ ├── quandl │ │ ├── __init__.py │ │ └── quandl_data_provider.py │ ├── tickers_universe_provider.py │ └── yfinance │ │ ├── __init__.py │ │ └── yfinance_data_provider.py ├── documents_utils │ ├── __init__.py │ ├── document_exporting │ │ ├── __init__.py │ │ ├── default_css │ │ │ ├── frontpage.css │ │ │ ├── grid.css │ │ │ ├── index.css │ │ │ ├── main.css │ │ │ ├── page_header.css │ │ │ └── table.css │ │ ├── document.py │ │ ├── document_exporter.py │ │ ├── element │ │ │ ├── __init__.py │ │ │ ├── chart.py │ │ │ ├── custom.py │ │ │ ├── df_table.py │ │ │ ├── front_page.py │ │ │ ├── grid.py │ │ │ ├── header.py │ │ │ ├── heading.py │ │ │ ├── helpers │ │ │ │ ├── style.py │ │ │ │ └── style_enums.py │ │ │ ├── index.py │ │ │ ├── list_element.py │ │ │ ├── new_page.py │ │ │ ├── page_header.py │ │ │ ├── paragraph.py │ │ │ └── table.py │ │ ├── exposure_report_css │ │ │ └── main.css │ │ ├── html_exporter.py │ │ ├── miscallenous │ │ │ └── landscape_page.css │ │ ├── pdf_exporter.py │ │ └── templates │ │ │ ├── __init__.py │ │ │ ├── chart.html │ │ │ ├── df_table.html │ │ │ ├── document.html │ │ │ ├── frontpage.html │ │ │ ├── grid.html │ │ │ ├── header.html │ │ │ ├── heading.html │ │ │ ├── index.html │ │ │ ├── list.html │ │ │ ├── new_page.html │ │ │ ├── page_header.html │ │ │ └── table.html │ └── excel │ │ ├── __init__.py │ │ ├── excel_exporter.py │ │ ├── excel_importer.py │ │ ├── helpers.py │ │ └── write_mode.py ├── get_sources_root.py ├── indicators │ ├── __init__.py │ └── market_stress_indicator_us.py ├── plotting │ ├── __init__.py │ ├── charts │ │ ├── __init__.py │ │ ├── annual_returns_bar_chart.py │ │ ├── bar_chart.py │ │ ├── boxplot_chart.py │ │ ├── candlestick_chart.py │ │ ├── chart.py │ │ ├── cone_chart.py │ │ ├── cone_chart_oos.py │ │ ├── dist_chart.py │ │ ├── heatmap_chart.py │ │ ├── histogram_chart.py │ │ ├── kde_chart.py │ │ ├── line_chart.py │ │ ├── pie_chart.py │ │ ├── regression_chart.py │ │ ├── returns_heatmap_chart.py │ │ ├── surface_chart_3d.py │ │ └── waterfall_chart.py │ ├── decorators │ │ ├── __init__.py │ │ ├── axes_formatter_decorator.py │ │ ├── axes_label_decorator.py │ │ ├── axes_locator_decorator.py │ │ ├── axes_position_decorator.py │ │ ├── axis_tick_labels_decorator.py │ │ ├── bar_values_decorator.py │ │ ├── chart_decorator.py │ │ ├── cone_decorator.py │ │ ├── cone_process_decorator.py │ │ ├── coordinate.py │ │ ├── data_element_decorator.py │ │ ├── fill_between_decorator.py │ │ ├── legend_decorator.py │ │ ├── legend_decorator_custom_position.py │ │ ├── line_decorators.py │ │ ├── moving_average_decorator.py │ │ ├── point_emphasis_decorator.py │ │ ├── scatter_decorator.py │ │ ├── series_line_decorator.py │ │ ├── simple_legend_item.py │ │ ├── span_decorator.py │ │ ├── stem_decorator.py │ │ ├── text_decorator.py │ │ ├── title_decorator.py │ │ ├── top_drawdown_decorator.py │ │ ├── underwater_decorator.py │ │ └── vertical_span_decorator.py │ ├── helpers │ │ ├── __init__.py │ │ ├── create_bar_chart.py │ │ ├── create_dd_probability_chart.py │ │ ├── create_dd_probability_chart_3d.py │ │ ├── create_dot_plot.py │ │ ├── create_event_comparison_chart.py │ │ ├── create_gross_leverage_chart.py │ │ ├── create_holdings_chart.py │ │ ├── create_line_chart.py │ │ ├── create_qq_chart.py │ │ ├── create_return_quantiles.py │ │ ├── create_returns_bar_chart.py │ │ ├── create_returns_distribution.py │ │ ├── create_returns_similarity.py │ │ ├── create_rolling_chart.py │ │ ├── create_rolling_chart_using_benchmark.py │ │ ├── create_skewness_chart.py │ │ └── index_translator.py │ ├── stylelib │ │ ├── bold.mplstyle │ │ ├── macrostyle.mplstyle │ │ ├── qfstyle.mplstyle │ │ ├── sensitivities.mplstyle │ │ ├── tableau10.mplstyle │ │ └── tearsheet.mplstyle │ └── styling.py ├── portfolio_construction │ ├── __init__.py │ ├── black_litterman │ │ ├── __init__.py │ │ └── black_litterman.py │ ├── covariance_estimation │ │ ├── __init__.py │ │ └── robust_covariance.py │ ├── optimizers │ │ ├── __init__.py │ │ ├── helpers │ │ │ ├── __init__.py │ │ │ ├── common_constraint_helpers.py │ │ │ └── quadratic_constraints_helpers.py │ │ ├── nonlinear_function_optimizer.py │ │ └── quadratic_optimizer.py │ └── portfolio_models │ │ ├── __init__.py │ │ ├── efficient_frontier_portfolio.py │ │ ├── equal_risk_contribution_portfolio.py │ │ ├── kelly_portfolio.py │ │ ├── max_diversification_portfolio.py │ │ ├── max_excess_return_portfolio.py │ │ ├── max_sharpe_ratio_portfolio.py │ │ ├── min_variance_portfolio.py │ │ ├── multifactor_portfolio.py │ │ ├── portfolio.py │ │ └── risk_parity_portfolio.py ├── settings.py ├── starting_dir.py └── tests │ ├── __init__.py │ ├── helpers │ ├── __init__.py │ ├── run_tests_from_directory.py │ └── testing_tools │ │ ├── __init__.py │ │ ├── containers_comparison.py │ │ ├── sample_column_names.py │ │ └── test_case.py │ ├── integration_tests │ ├── __init__.py │ ├── backtesting │ │ ├── __init__.py │ │ ├── alpha_model_strategy_testers │ │ │ ├── __init__.py │ │ │ ├── test_alpha_model_for_limiting_open_positions.py │ │ │ ├── test_alpha_model_strategy_for_stop_losses.py │ │ │ ├── test_alpha_model_strategy_for_stop_losses_intraday.py │ │ │ └── test_fast_alpha_models_tester.py │ │ ├── contract │ │ │ ├── __init__.py │ │ │ └── contract_to_ticker_conversion │ │ │ │ ├── __init__.py │ │ │ │ └── test_bbg_figi_mapper.py │ │ ├── events │ │ │ ├── __init__.py │ │ │ └── test_event_management.py │ │ ├── test_backtester.py │ │ ├── test_initial_risk_stats.py │ │ ├── test_scenarios_generator.py │ │ └── trading_session_for_tests.py │ ├── connect_to_data_provider.py │ └── data_providers │ │ ├── __init__.py │ │ ├── alpaca │ │ ├── __init__.py │ │ └── test_alpaca_data_provider.py │ │ ├── bloomberg │ │ ├── __init__.py │ │ ├── test_bbg_look_ahead_bias.py │ │ └── test_bloomberg.py │ │ ├── futures │ │ ├── __init__.py │ │ ├── test_bloomberg_futures.py │ │ └── test_preset_data_provider_futures.py │ │ ├── quandl │ │ ├── __init__.py │ │ ├── test_quandl_table.py │ │ └── test_quandl_timeseries.py │ │ ├── test_haver.py │ │ └── yfinance_data_provider │ │ ├── __init__.py │ │ └── test_yfinance_data_provider.py │ ├── manual_tests │ ├── __init__.py │ ├── futures_strategy.py │ ├── simple_ma_strategy.py │ ├── spx_with_stop_loss.py │ └── test_strategies.py │ └── unit_tests │ ├── __init__.py │ ├── backtesting │ ├── __init__.py │ ├── alpha_model │ │ ├── __init__.py │ │ ├── test_alpha_model.py │ │ └── test_alpha_model_strategy.py │ ├── contract │ │ ├── __init__.py │ │ ├── test_ib_contract_ticker_mapper.py │ │ └── test_ibcontract.py │ ├── data_handler │ │ ├── __init__.py │ │ ├── test_daily_data_handler.py │ │ └── test_intraday_data_handler.py │ ├── events │ │ ├── __init__.py │ │ └── time_event │ │ │ ├── __init__.py │ │ │ ├── test_rules.py │ │ │ └── test_scheduler.py │ ├── monitoring │ │ ├── __init__.py │ │ └── test_signals_register.py │ ├── portfolio │ │ ├── __init__.py │ │ ├── dummy_ticker.py │ │ ├── test_backtest_position.py │ │ ├── test_equity_position.py │ │ ├── test_future_position.py │ │ ├── test_portfolio.py │ │ ├── test_portfolio_with_currency.py │ │ └── test_trades.py │ ├── simulated_execution_handler │ │ ├── __init__.py │ │ ├── test_market_on_open_execution_style.py │ │ ├── test_simulated_executor.py │ │ ├── test_slippage.py │ │ └── test_stop_loss_execution_style.py │ ├── test_order_factory.py │ ├── test_position_sizer.py │ └── test_volume_orders_filter.py │ ├── common │ ├── __init__.py │ ├── risk_parity_boxes │ │ ├── __init__.py │ │ └── test_risk_parity_boxes.py │ ├── test_frequency.py │ ├── timeseries_analysis │ │ ├── __init__.py │ │ ├── test_return_attribution_analysis.py │ │ └── test_risk_contribution_analysis.py │ └── utils │ │ ├── __init__.py │ │ ├── excel │ │ ├── __init__.py │ │ ├── constants.py │ │ ├── dummies │ │ │ ├── single_cells.xlsx │ │ │ ├── single_sheet_custom_index_data_frame.xlsx │ │ │ ├── single_sheet_custom_index_data_frame_shifted.xlsx │ │ │ ├── single_sheet_one_dataframe.xlsx │ │ │ ├── single_sheet_one_series.xlsx │ │ │ ├── single_sheet_one_series_2.xlsx │ │ │ ├── single_sheet_two_series.xlsx │ │ │ ├── two_sheets_three_series.xlsx │ │ │ └── two_sheets_two_series.xlsx │ │ ├── test_excel_import.py │ │ └── tmp │ │ │ └── .gitignore │ │ ├── factorization │ │ ├── __init__.py │ │ ├── factorization_test_utils.py │ │ ├── test_data_model.py │ │ └── test_factors_identifier.py │ │ ├── miscellaneous │ │ ├── __init__.py │ │ ├── test_consecutive_duplicates.py │ │ ├── test_miscellaneous.py │ │ ├── test_periods_list.py │ │ └── test_to_list_conversion.py │ │ ├── test_close_open_gap.py │ │ ├── test_data_cleaner.py │ │ ├── test_dateutils.py │ │ ├── test_drift_independent_volatility.py │ │ ├── test_index_grouping.py │ │ ├── test_numberutils.py │ │ ├── test_returns.py │ │ ├── test_sqn.py │ │ └── test_volatility.py │ ├── config │ ├── __init__.py │ ├── test_settings.json │ └── test_settings.py │ ├── containers │ ├── __init__.py │ ├── test_dataframes.py │ ├── test_future_ticker.py │ ├── test_futures_chain.py │ ├── test_futures_rolling_orders_generator.py │ ├── test_helpers.py │ ├── test_qf_data_array.py │ └── test_series.py │ ├── data_providers │ ├── __init__.py │ ├── alpaca │ │ ├── __init__.py │ │ └── test_alpaca_data_provider.py │ ├── bloomberg │ │ ├── __init__.py │ │ ├── config.py │ │ ├── mock_configs.py │ │ ├── test_bloomberg_data_provider.py │ │ ├── test_historical_data_provider.py │ │ └── test_reference_data_provider.py │ ├── bloomberg_beap_hapi │ │ ├── __init__.py │ │ ├── test_bloomberg_beap_hapi_data_provider.py │ │ ├── test_fields_provider.py │ │ ├── test_parser.py │ │ ├── test_request_provider.py │ │ └── test_universe_provider.py │ ├── csv_data_provider │ │ ├── __init__.py │ │ ├── input_data │ │ │ ├── Daily │ │ │ │ ├── BTCBUSD.csv │ │ │ │ └── ETHBUSD.csv │ │ │ └── Intraday │ │ │ │ ├── BTCBUSD.csv │ │ │ │ └── ETHBUSD.csv │ │ ├── test_csv_data_provider_daily.py │ │ └── test_csv_data_provider_intraday.py │ ├── portara │ │ ├── __init__.py │ │ ├── input_data │ │ │ └── Futures │ │ │ │ ├── Continuous Contracts │ │ │ │ ├── Daily Database │ │ │ │ │ └── Daily │ │ │ │ │ │ ├── AB.csv │ │ │ │ │ │ └── ABCD.csv │ │ │ │ └── Intraday Database │ │ │ │ │ └── 1 Minute │ │ │ │ │ ├── AB.csv │ │ │ │ │ └── ABCD.csv │ │ │ │ ├── Expiration Dates │ │ │ │ ├── AB.txt │ │ │ │ └── ABCD.txt │ │ │ │ └── Tenors │ │ │ │ ├── Daily Database │ │ │ │ └── Daily │ │ │ │ │ ├── AB │ │ │ │ │ ├── AB2021M.csv │ │ │ │ │ └── AB2021U.csv │ │ │ │ │ └── ABCD │ │ │ │ │ ├── ABCD2021M.csv │ │ │ │ │ ├── ABCD2021N.csv │ │ │ │ │ └── ABCD2021Q.csv │ │ │ │ └── Intraday Database │ │ │ │ └── 1 Minute │ │ │ │ ├── AB │ │ │ │ ├── AB2021M.csv │ │ │ │ └── AB2021U.csv │ │ │ │ └── ABCD │ │ │ │ ├── ABCD2021M.csv │ │ │ │ ├── ABCD2021N.csv │ │ │ │ └── ABCD2021Q.csv │ │ ├── test_portara_data_provider_daily.py │ │ ├── test_portara_data_provider_intraday.py │ │ └── test_portara_future_ticker.py │ ├── test_abstract_price_data_provider.py │ ├── test_futures_data_provider.py │ ├── test_helpers.py │ ├── test_prefetching_data_provider.py │ ├── test_preset_data_provider.py │ └── yfinance_data_provider │ │ ├── __init__.py │ │ └── test_yfinance_data_provider.py │ ├── document_utils │ ├── __init__.py │ ├── document_exporting │ │ └── element │ │ │ └── test_df_table.py │ ├── excel │ │ ├── __init__.py │ │ └── 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