Index

A

accuracy_bars() (SignalReturnRelations method) add_bm() (NaivePnL method) add_ticker_parts() (VintageData method), [1] adjusted_returns() (in module macrosynergy.panel.return_beta) agg_signal_bars() (NaivePnL method) annotate_facet() (CategoryRelations method) application() (ConvergeRow class method)

apply_slip() (CategoryRelations static method) (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) (SignalReturnRelations static method) argcopy() (in module macrosynergy.management.decorators) argvalidation() (in module macrosynergy.management.decorators) AuthenticationError

B

BasePanelSplit (class in macrosynergy.learning.panel_time_series_split) BaseWeightedRegressor (class in macrosynergy.learning.predictors) Basket (class in macrosynergy.panel.basket)

basket_handler() (in module macrosynergy.signal.target_positions) beta_display() (in module macrosynergy.panel.return_beta) business_day_dif() (in module macrosynergy.management.utils.check_availability)

C

calculate_predictions() (SignalOptimizer method) calculate_single_stat() (SignalReturnRelations method) categories_df() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) categories_df_aggregation_helper() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) CategoryRelations (class in macrosynergy.panel.category_relations) CertAuth (class in macrosynergy.download.dataquery) check_availability() (in module macrosynergy.management.utils.check_availability) check_connection() (DataQueryInterface method) check_enddates() (in module macrosynergy.management.utils.check_availability) check_package_version() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core) check_startyears() (in module macrosynergy.management.utils.check_availability) check_weights() (Basket static method) cids (QDFArgs attribute) coefs_stackedbarplot() (SignalOptimizer method) coefs_timeplot() (SignalOptimizer method) column_manager() (Basket static method) column_split() (Basket static method)

column_weights() (Basket method) common_cids() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core) concat_column_dfs() (in module macrosynergy.download.jpmaqs) concat_single_metric_qdfs() (in module macrosynergy.download.jpmaqs) consolidate_positions() (in module macrosynergy.signal.target_positions) consolidation_help() (in module macrosynergy.signal.target_positions) construct_expressions() (in module macrosynergy.download.jpmaqs) ConvergeRow (class in macrosynergy.panel.converge_row) convert_dq_to_iso() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core) convert_iso_to_dq() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core) corr_prob_calc() (CategoryRelations method) corr_probability() (CategoryRelations method) correl_matrix() (in module macrosynergy.panel.view_correlations) correlation_bars() (SignalReturnRelations method) create_results_dataframe() (in module macrosynergy.pnl.naive_pnl) cross_section_table() (SignalReturnRelations method) cs_unit_returns() (in module macrosynergy.signal.target_positions)

D

dataframe_generator() (in module macrosynergy.management.simulate) (in module macrosynergy.management.simulate.simulate_quantamental_data) DataQueryInterface (class in macrosynergy.download.dataquery) date_alignment() (in module macrosynergy.panel.return_beta) (in module macrosynergy.signal.target_positions) date_check() (Basket static method) (VintageData static method), [1] deconstruct_expression() (in module macrosynergy.download.jpmaqs) deprecate() (in module macrosynergy.management.decorators) df (QDFArgs attribute)

distribute_simple() (ConvergeRow method) download() (JPMaQSDownload method) download_all_to_disk() (JPMaQSDownload method) download_data() (DataQueryInterface method) (JPMaQSDownload method) DownloadError downsample_df_on_real_date() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) drop_nan_series() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils)

E

end (QDFArgs attribute) ENetSelector (class in macrosynergy.learning.transformers) equal_weight() (Basket method) evaluate_pnls() (NaivePnL method) ExceptionAdapter expanding_mean_with_nan() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.math)

expanding_stat() (in module macrosynergy.panel.make_zn_scores) ExpandingIncrementPanelSplit (class in macrosynergy.learning.panel_time_series_split) ExpandingKFoldPanelSplit (class in macrosynergy.learning.panel_time_series_split) expo_std() (in module macrosynergy.panel.historic_vol) expo_weights() (in module macrosynergy.panel.historic_vol)

F

FacetPlot (class in macrosynergy.visuals.facetplot) feature_selection_heatmap() (SignalOptimizer method) FeatureAverager (class in macrosynergy.learning.transformers) filter_expressions_from_catalogue() (JPMaQSDownload method) fit() (BaseWeightedRegressor method) (ENetSelector method) (FeatureAverager method) (LADRegressor method) (LassoSelector method) (MapSelector method) (NaivePredictor method) (PanelMinMaxScaler method) (PanelStandardScaler method) (ZnScoreAverager method)

fixed_weight() (Basket method) flat_std() (in module macrosynergy.panel.historic_vol) form_full_url() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core)

G

generate_lines() (in module macrosynergy.management.simulate) (in module macrosynergy.management.simulate.simulate_quantamental_data) generate_random_date() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core) get_auth() (CertAuth method) (OAuth method) get_catalogue() (DataQueryInterface method) get_cid() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core) get_dict_max_depth() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core) get_eops() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) get_expected_type() (in module macrosynergy.management.decorators) get_expression_from_qdf() (in module macrosynergy.download.jpmaqs) get_expression_from_wide_df() (in module macrosynergy.download.jpmaqs) get_feature_names_out() (ENetSelector method) (LassoSelector method) (MapSelector method)

get_ftr_coefficients() (SignalOptimizer method) get_intercepts() (SignalOptimizer method) get_n_splits() (BasePanelSplit method) (ExpandingIncrementPanelSplit method) get_optimal_models() (SignalOptimizer method) get_optimized_signals() (SignalOptimizer method) get_parameter_stats() (SignalOptimizer method) get_rowcol() (SignalReturnRelations method) get_selected_features() (SignalOptimizer method) get_sops() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) get_support() (ENetSelector method) (LassoSelector method) (MapSelector method) get_xcat() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core) granger_causality_test() (in module macrosynergy.panel.granger_causality_test)

H

HeartbeatError Heatmap (class in macrosynergy.visuals.heatmap)

heatmap_grades() (in module macrosynergy.panel.view_grades) hedge_calculator() (in module macrosynergy.panel.return_beta) historic_vol() (in module macrosynergy.panel.historic_vol)

I

IndexCols (QuantamentalDataFrameMeta attribute) intercepts_timeplot() (SignalOptimizer method) intersection_cids() (CategoryRelations class method) InvalidDataframeError InvalidResponseError

inverse_weight() (Basket method) is_list_of_strings() (SignalReturnRelations static method) is_matching_subscripted_type() (in module macrosynergy.management.decorators) is_valid_iso_date() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core)

J

JPMaQSDownload (class in macrosynergy.download.jpmaqs)

L

LADRegressor (class in macrosynergy.learning.predictors) lag_series() (in module macrosynergy.visuals.correlation) lap() (Timer method), [1] LassoSelector (class in macrosynergy.learning.transformers) linear_composite() (in module macrosynergy.panel.linear_composite)

linear_composite_cid_agg() (in module macrosynergy.panel.linear_composite) linear_composite_xcat_agg() (in module macrosynergy.panel.linear_composite) LinePlot (class in macrosynergy.visuals.lineplot) lineplot() (FacetPlot method) long_only_pnl() (NaivePnL static method)

M

macrosynergy.download.dataquery module macrosynergy.download.exceptions module macrosynergy.download.jpmaqs module macrosynergy.learning.cv_tools module macrosynergy.learning.metrics module macrosynergy.learning.panel_time_series_split module macrosynergy.learning.predictors module macrosynergy.learning.signal_optimizer module macrosynergy.learning.transformers module macrosynergy.management.constants module macrosynergy.management.decorators module macrosynergy.management.simulate module macrosynergy.management.simulate.simulate_quantamental_data module macrosynergy.management.simulate.simulate_vintage_data module macrosynergy.management.types module macrosynergy.management.utils module macrosynergy.management.utils.check_availability module macrosynergy.management.utils.core module macrosynergy.management.utils.df_utils module macrosynergy.management.utils.math module macrosynergy.management.validation module macrosynergy.panel.basket module macrosynergy.panel.category_relations module macrosynergy.panel.converge_row module macrosynergy.panel.granger_causality_test module macrosynergy.panel.historic_vol module macrosynergy.panel.linear_composite module macrosynergy.panel.make_blacklist module macrosynergy.panel.make_relative_category module macrosynergy.panel.make_relative_value module macrosynergy.panel.make_zn_scores module macrosynergy.panel.panel_calculator module macrosynergy.panel.return_beta module macrosynergy.panel.view_correlations module macrosynergy.panel.view_grades module macrosynergy.panel.view_metrics module macrosynergy.panel.view_ranges module macrosynergy.panel.view_timelines module macrosynergy.pnl.naive_pnl module macrosynergy.signal.signal_return_relations module macrosynergy.signal.target_positions module macrosynergy.version module macrosynergy.visuals.correlation module macrosynergy.visuals.facetplot module macrosynergy.visuals.grades module macrosynergy.visuals.heatmap module macrosynergy.visuals.lineplot module macrosynergy.visuals.metrics module macrosynergy.visuals.multiple_reg_scatter module

macrosynergy.visuals.plotter module macrosynergy.visuals.ranges module macrosynergy.visuals.table module macrosynergy.visuals.timelines module macrosynergy.visuals.view_panel_dates module make_basket() (Basket method) make_blacklist() (in module macrosynergy.panel.make_blacklist) make_grade1() (VintageData method), [1] make_grade2() (VintageData method), [1] make_graded() (VintageData method), [1] make_long_pnl() (NaivePnL method) make_pnl() (NaivePnL method) make_qdf() (in module macrosynergy.management.simulate) (in module macrosynergy.management.simulate.simulate_quantamental_data) make_qdf_black() (in module macrosynergy.management.simulate) (in module macrosynergy.management.simulate.simulate_quantamental_data) make_relative_category() (in module macrosynergy.panel.make_relative_category) make_relative_value() (in module macrosynergy.panel.make_relative_value) make_test_df() (in module macrosynergy.management.simulate) (in module macrosynergy.management.simulate.simulate_quantamental_data) make_weights() (Basket method) make_zn_scores() (in module macrosynergy.panel.make_zn_scores) manipulate_df() (SignalReturnRelations method) map_pval() (SignalReturnRelations method) map_weekday() (VintageData static method), [1] MapSelector (class in macrosynergy.learning.transformers) max_weight_func() (Basket static method) metrics (QDFArgs attribute) missing_in_df() (in module macrosynergy.management.utils.check_availability) MissingDataError models_heatmap() (SignalOptimizer method) modify_signals() (in module macrosynergy.signal.target_positions) module macrosynergy.download.dataquery macrosynergy.download.exceptions macrosynergy.download.jpmaqs macrosynergy.learning.cv_tools macrosynergy.learning.metrics macrosynergy.learning.panel_time_series_split macrosynergy.learning.predictors macrosynergy.learning.signal_optimizer macrosynergy.learning.transformers macrosynergy.management.constants macrosynergy.management.decorators macrosynergy.management.simulate macrosynergy.management.simulate.simulate_quantamental_data macrosynergy.management.simulate.simulate_vintage_data macrosynergy.management.types macrosynergy.management.utils macrosynergy.management.utils.check_availability macrosynergy.management.utils.core macrosynergy.management.utils.df_utils macrosynergy.management.utils.math macrosynergy.management.validation macrosynergy.panel.basket macrosynergy.panel.category_relations macrosynergy.panel.converge_row macrosynergy.panel.granger_causality_test macrosynergy.panel.historic_vol macrosynergy.panel.linear_composite macrosynergy.panel.make_blacklist macrosynergy.panel.make_relative_category macrosynergy.panel.make_relative_value macrosynergy.panel.make_zn_scores macrosynergy.panel.panel_calculator macrosynergy.panel.return_beta macrosynergy.panel.view_correlations macrosynergy.panel.view_grades macrosynergy.panel.view_metrics macrosynergy.panel.view_ranges macrosynergy.panel.view_timelines macrosynergy.pnl.naive_pnl macrosynergy.signal.signal_return_relations macrosynergy.signal.target_positions macrosynergy.version macrosynergy.visuals.correlation macrosynergy.visuals.facetplot macrosynergy.visuals.grades macrosynergy.visuals.heatmap macrosynergy.visuals.lineplot macrosynergy.visuals.metrics macrosynergy.visuals.multiple_reg_scatter macrosynergy.visuals.plotter macrosynergy.visuals.ranges macrosynergy.visuals.table macrosynergy.visuals.timelines macrosynergy.visuals.view_panel_dates months_btwn_dates() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) multiple_reg_scatter() (in module macrosynergy.visuals.multiple_reg_scatter) multiple_relations_table() (SignalReturnRelations method)

N

NaivePnL (class in macrosynergy.pnl.naive_pnl) NaivePredictor (class in macrosynergy.learning.predictors) NoContentError

NoneType (class in macrosynergy.management.types) NoneTypeMeta (class in macrosynergy.management.types) nsplits_timeplot() (SignalOptimizer method)

O

OAuth (class in macrosynergy.download.dataquery)

ols_table() (CategoryRelations method) outlier_trim() (CategoryRelations class method)

P

panel_calculator() (in module macrosynergy.panel.panel_calculator) panel_cv_scores() (in module macrosynergy.learning.cv_tools) panel_significance_probability() (in module macrosynergy.learning.metrics) PanelMinMaxScaler (class in macrosynergy.learning.transformers) PanelStandardScaler (class in macrosynergy.learning.transformers) pivot_dataframe() (Basket static method) plot() (LinePlot method) plot_metric() (Heatmap method)

plot_pnls() (NaivePnL method) Plotter (class in macrosynergy.visuals.plotter) PlotterMetaClass (class in macrosynergy.visuals.plotter) pnl_df() (NaivePnL method) predict() (BaseWeightedRegressor method) (LADRegressor method) (NaivePredictor method) print_pnl_names() (NaivePnL method)

Q

qdf_to_ticker_df() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) QDFArgs (class in macrosynergy.management.validation)

QuantamentalDataFrame (class in macrosynergy.management.types) QuantamentalDataFrameMeta (class in macrosynergy.management.types) quarters_btwn_dates() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils)

R

rebalancing() (NaivePnL class method) rec_search_dict() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core) reduce_df() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) reduce_df_by_ticker() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) reg_scatter() (CategoryRelations method)

regression_accuracy() (in module macrosynergy.learning.metrics) regression_balanced_accuracy() (in module macrosynergy.learning.metrics) reindex_multindex_df() (SignalReturnRelations method) request_wrapper() (in module macrosynergy.download.dataquery) return_basket() (Basket method) return_beta() (in module macrosynergy.panel.return_beta) return_weights() (Basket method) RollingKFoldPanelSplit (class in macrosynergy.learning.panel_time_series_split)

S

seasonal_adj() (VintageData method), [1] set_df_labels() (SignalReturnRelations method) set_fit_request() (LADRegressor method) set_params() (WeightedLADRegressor method) (WeightedLinearRegression method) set_score_request() (BaseWeightedRegressor method) (LADRegressor method) (NaivePredictor method) (SignWeightedLADRegressor method) (SignWeightedLinearRegression method) (SignWeightedRegressor method) (TimeWeightedLADRegressor method) (TimeWeightedLinearRegression method) (TimeWeightedRegressor method) (WeightedLADRegressor method) (WeightedLinearRegression method) sharpe_ratio() (in module macrosynergy.learning.metrics) signal_heatmap() (NaivePnL method) SignalOptimizer (class in macrosynergy.learning.signal_optimizer) SignalReturnRelations (class in macrosynergy.signal.signal_return_relations)

signals_table() (SignalReturnRelations method) SignWeightedLADRegressor (class in macrosynergy.learning.predictors) SignWeightedLinearRegression (class in macrosynergy.learning.predictors) SignWeightedRegressor (class in macrosynergy.learning.predictors) simulate_ar() (in module macrosynergy.management.simulate) (in module macrosynergy.management.simulate.simulate_quantamental_data) single_relation_table() (SignalReturnRelations method) single_statistic_table() (SignalReturnRelations method) sortino_ratio() (in module macrosynergy.learning.metrics) split() (ExpandingIncrementPanelSplit method) (ExpandingKFoldPanelSplit method) (RollingKFoldPanelSplit method) split_ticker() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core) standardise_dataframe() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) start (QDFArgs attribute) startend() (in module macrosynergy.panel.make_blacklist) store_attributes() (Basket method) summary_table() (SignalReturnRelations method)

T

target_positions() (in module macrosynergy.signal.target_positions) ticker_df_to_qdf() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) time_series() (CategoryRelations class method) time_series_check() (in module macrosynergy.panel.panel_calculator) timelines() (in module macrosynergy.visuals.timelines) Timer (class in macrosynergy.management.utils) (class in macrosynergy.management.utils.core) timer() (Timer method), [1] timeseries_to_column() (in module macrosynergy.download.jpmaqs)

timeseries_to_qdf() (in module macrosynergy.download.jpmaqs) TimeWeightedLADRegressor (class in macrosynergy.learning.predictors) TimeWeightedLinearRegression (class in macrosynergy.learning.predictors) TimeWeightedRegressor (class in macrosynergy.learning.predictors) transform() (ENetSelector method) (FeatureAverager method) (LassoSelector method) (MapSelector method) (PanelMinMaxScaler method) (PanelStandardScaler method) (ZnScoreAverager method)

U

update_categories() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) update_df() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils)

update_tickers() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils)

V

validate_and_reduce_qdf() (in module macrosynergy.management.validation) validate_download_args() (in module macrosynergy.download.dataquery) (JPMaQSDownload method) validate_downloaded_df() (in module macrosynergy.download.jpmaqs) validate_response() (in module macrosynergy.download.dataquery) values_weight() (Basket method) view_correlation() (in module macrosynergy.visuals.correlation) view_grades() (in module macrosynergy.visuals.grades) view_metrics() (in module macrosynergy.panel.view_metrics) (in module macrosynergy.visuals.metrics)

view_panel_dates() (in module macrosynergy.visuals.view_panel_dates) view_ranges() (in module macrosynergy.panel.view_ranges) (in module macrosynergy.visuals.ranges) view_table() (in module macrosynergy.visuals.table) view_timelines() (in module macrosynergy.panel.view_timelines) VintageData (class in macrosynergy.management.simulate) (class in macrosynergy.management.simulate.simulate_vintage_data) visual_paneldates() (in module macrosynergy.management.utils.check_availability) visualise_splits() (BasePanelSplit method)

W

week_day() (VintageData static method), [1] weeks_btwn_dates() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils)

weight_dataframes() (in module macrosynergy.signal.target_positions) weight_visualiser() (Basket method) WeightedLADRegressor (class in macrosynergy.learning.predictors) WeightedLinearRegression (class in macrosynergy.learning.predictors)

X

xcat_isolator() (in module macrosynergy.panel.panel_calculator)

xcats (QDFArgs attribute)

Y

yearly_table() (SignalReturnRelations method)

years_btwn_dates() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils)

Z

ZnScoreAverager (class in macrosynergy.learning.transformers)