Index

A

ALPHA_VANTAGE (alpheast.config.data_source.SupportedProvider attribute) AlphaVantageStdPriceBarClient (class in alpheast.data.alpha_vantage_price_bar_client) alpheast module alpheast.config module alpheast.config.backtest_config module alpheast.config.config_loader module alpheast.config.data_source module alpheast.data module alpheast.data.alpha_vantage_price_bar_client module alpheast.data.price_bar_client module alpheast.engine module alpheast.events module alpheast.events.event module alpheast.events.event_enums module alpheast.events.event_queue module alpheast.handlers module alpheast.handlers.data_handler module alpheast.handlers.execution_handler module alpheast.handlers.simulated_execution_handler module alpheast.models module alpheast.models.backtest_results module alpheast.models.interval module alpheast.models.price_bar module

alpheast.models.signal module alpheast.portfolio module alpheast.portfolio.benchmark_calculator module alpheast.portfolio.portfolio module alpheast.portfolio.portfolio_manager module alpheast.position_sizing module alpheast.position_sizing.base_position_sizing module alpheast.position_sizing.common module alpheast.position_sizing.common.fixed_allocation_sizing module alpheast.position_sizing.common.fixed_quantity_sizing module alpheast.shared module alpheast.shared.metrics module alpheast.shared.plotting module alpheast.strategy module alpheast.strategy.base_strategy module alpheast.strategy.common module alpheast.strategy.common.bollinger_bands_strategy module alpheast.strategy.common.buy_and_hold_strategy module alpheast.strategy.common.macd_strategy module alpheast.strategy.common.rsi_strategy module alpheast.strategy.common.sma_crossover_strategy module api_key (alpheast.config.data_source.DataSource attribute)

B

BacktestConfig (class in alpheast.config.backtest_config) BacktestingEngine (class in alpheast.engine) BacktestingOptions (class in alpheast.config.backtest_config) BacktestResults (class in alpheast.models.backtest_results) BASE_URL (alpheast.data.alpha_vantage_price_bar_client.AlphaVantageStdPriceBarClient attribute) BasePositionSizing (class in alpheast.position_sizing.base_position_sizing)

BaseStrategy (class in alpheast.strategy.base_strategy) BenchmarkCalculator (class in alpheast.portfolio.benchmark_calculator) BollingerBandsStrategy (class in alpheast.strategy.common.bollinger_bands_strategy) BUY (alpheast.models.signal.Signal attribute) buy() (alpheast.portfolio.portfolio.Portfolio method) BuyAndHoldStrategy (class in alpheast.strategy.common.buy_and_hold_strategy)

C

calculate_and_record_benchmark_value() (alpheast.portfolio.benchmark_calculator.BenchmarkCalculator method) calculate_performance_metrics() (in module alpheast.shared.metrics) calculate_quantity() (alpheast.position_sizing.base_position_sizing.BasePositionSizing method) (alpheast.position_sizing.common.fixed_allocation_sizing.FixedAllocationSizing method) (alpheast.position_sizing.common.fixed_quantity_sizing.FixedQuantitySizing method)

can_buy() (alpheast.portfolio.portfolio.Portfolio method) close (alpheast.models.price_bar.PriceBar attribute) ConfigLoader (class in alpheast.config.config_loader) continue_backtest() (alpheast.handlers.data_handler.DataHandler method) custom_client (alpheast.config.data_source.DataSource attribute) CUSTOM_CLIENT (alpheast.config.data_source.DataSourceType attribute)

D

DAILY (alpheast.models.interval.Interval attribute) DAILY_UPDATE (alpheast.events.event_enums.EventType attribute) DailyUpdateEvent (class in alpheast.events.event)

DataHandler (class in alpheast.handlers.data_handler) DataSource (class in alpheast.config.data_source) DataSourceType (class in alpheast.config.data_source) DIRECT (alpheast.config.data_source.DataSourceType attribute)

E

empty() (alpheast.events.event_queue.EventQueue method) Event (class in alpheast.events.event)

EventQueue (class in alpheast.events.event_queue) EventType (class in alpheast.events.event_enums) ExecutionHandler (class in alpheast.handlers.execution_handler)

F

FILL (alpheast.events.event_enums.EventType attribute) FillEvent (class in alpheast.events.event)

FixedAllocationSizing (class in alpheast.position_sizing.common.fixed_allocation_sizing) FixedQuantitySizing (class in alpheast.position_sizing.common.fixed_quantity_sizing)

G

get() (alpheast.events.event_queue.EventQueue method) get_benchmark_daily_values() (alpheast.portfolio.portfolio_manager.PortfolioManager method) get_current_value() (alpheast.portfolio.portfolio.Portfolio method) get_daily_values() (alpheast.portfolio.benchmark_calculator.BenchmarkCalculator method) (alpheast.portfolio.portfolio_manager.PortfolioManager method) get_holding_quantity() (alpheast.portfolio.portfolio.Portfolio method)

get_price_bar_data() (alpheast.data.alpha_vantage_price_bar_client.AlphaVantageStdPriceBarClient method) (alpheast.data.price_bar_client.PriceBarClient method) get_summary() (alpheast.portfolio.portfolio.Portfolio method) (alpheast.portfolio.portfolio_manager.PortfolioManager method) get_total_value() (alpheast.portfolio.portfolio.Portfolio method) get_trade_log() (alpheast.portfolio.portfolio_manager.PortfolioManager method)

H

high (alpheast.models.price_bar.PriceBar attribute)

HOLD (alpheast.models.signal.Signal attribute) HOURLY (alpheast.models.interval.Interval attribute)

I

initialize_benchmark_holdings() (alpheast.portfolio.benchmark_calculator.BenchmarkCalculator method)

Interval (class in alpheast.models.interval) is_initialized() (alpheast.portfolio.benchmark_calculator.BenchmarkCalculator method)

L

LIMIT (alpheast.events.event_enums.OrderType attribute) load_backtest_config_from_json() (alpheast.config.config_loader.ConfigLoader static method)

log() (alpheast.config.backtest_config.BacktestConfig method) low (alpheast.models.price_bar.PriceBar attribute)

M

MACDStrategy (class in alpheast.strategy.common.macd_strategy) MARKET (alpheast.events.event_enums.EventType attribute) (alpheast.events.event_enums.OrderType attribute) MarketEvent (class in alpheast.events.event) MINUTE_1 (alpheast.models.interval.Interval attribute) MINUTE_15 (alpheast.models.interval.Interval attribute) MINUTE_30 (alpheast.models.interval.Interval attribute) MINUTE_5 (alpheast.models.interval.Interval attribute) module alpheast alpheast.config alpheast.config.backtest_config alpheast.config.config_loader alpheast.config.data_source alpheast.data alpheast.data.alpha_vantage_price_bar_client alpheast.data.price_bar_client alpheast.engine alpheast.events alpheast.events.event alpheast.events.event_enums alpheast.events.event_queue alpheast.handlers alpheast.handlers.data_handler alpheast.handlers.execution_handler alpheast.handlers.simulated_execution_handler alpheast.models alpheast.models.backtest_results alpheast.models.interval alpheast.models.price_bar alpheast.models.signal alpheast.portfolio alpheast.portfolio.benchmark_calculator alpheast.portfolio.portfolio alpheast.portfolio.portfolio_manager alpheast.position_sizing alpheast.position_sizing.base_position_sizing alpheast.position_sizing.common alpheast.position_sizing.common.fixed_allocation_sizing alpheast.position_sizing.common.fixed_quantity_sizing alpheast.shared alpheast.shared.metrics alpheast.shared.plotting alpheast.strategy alpheast.strategy.base_strategy alpheast.strategy.common alpheast.strategy.common.bollinger_bands_strategy alpheast.strategy.common.buy_and_hold_strategy alpheast.strategy.common.macd_strategy alpheast.strategy.common.rsi_strategy alpheast.strategy.common.sma_crossover_strategy

MONTHLY (alpheast.models.interval.Interval attribute)

O

on_daily_update_event() (alpheast.portfolio.portfolio_manager.PortfolioManager method) on_fill_event() (alpheast.portfolio.portfolio_manager.PortfolioManager method) on_market_event() (alpheast.handlers.execution_handler.ExecutionHandler method) (alpheast.handlers.simulated_execution_handler.SimulatedExecutionHandler method) (alpheast.portfolio.portfolio_manager.PortfolioManager method) (alpheast.strategy.base_strategy.BaseStrategy method) (alpheast.strategy.common.bollinger_bands_strategy.BollingerBandsStrategy method) (alpheast.strategy.common.buy_and_hold_strategy.BuyAndHoldStrategy method) (alpheast.strategy.common.macd_strategy.MACDStrategy method) (alpheast.strategy.common.rsi_strategy.RSIStrategy method) (alpheast.strategy.common.sma_crossover_strategy.SMACrossoverStrategy method)

on_order_event() (alpheast.handlers.execution_handler.ExecutionHandler method) (alpheast.handlers.simulated_execution_handler.SimulatedExecutionHandler method) on_signal_event() (alpheast.portfolio.portfolio_manager.PortfolioManager method) open (alpheast.models.price_bar.PriceBar attribute) ORDER (alpheast.events.event_enums.EventType attribute) OrderEvent (class in alpheast.events.event) OrderType (class in alpheast.events.event_enums) override() (alpheast.config.backtest_config.BacktestingOptions method)

P

PerformancePlotter (class in alpheast.shared.plotting) plot_equity_curve() (alpheast.models.backtest_results.BacktestResults method) (alpheast.shared.plotting.PerformancePlotter method) Portfolio (class in alpheast.portfolio.portfolio) PortfolioManager (class in alpheast.portfolio.portfolio_manager) price_bar_data (alpheast.config.data_source.DataSource attribute)

PriceBar (class in alpheast.models.price_bar) PriceBarClient (class in alpheast.data.price_bar_client) print_summary() (alpheast.models.backtest_results.BacktestResults method) provider (alpheast.config.data_source.DataSource attribute) push_failed_fill_event() (alpheast.handlers.simulated_execution_handler.SimulatedExecutionHandler method) put() (alpheast.events.event_queue.EventQueue method)

R

record_daily_value() (alpheast.portfolio.portfolio.Portfolio method) reset() (alpheast.engine.BacktestingEngine method) (alpheast.handlers.data_handler.DataHandler method) (alpheast.handlers.simulated_execution_handler.SimulatedExecutionHandler method) (alpheast.portfolio.portfolio_manager.PortfolioManager method)

RSIStrategy (class in alpheast.strategy.common.rsi_strategy) run() (alpheast.engine.BacktestingEngine method)

S

SELL (alpheast.models.signal.Signal attribute) sell() (alpheast.portfolio.portfolio.Portfolio method) set_event_queue() (alpheast.strategy.base_strategy.BaseStrategy method) SIGNAL (alpheast.events.event_enums.EventType attribute) Signal (class in alpheast.models.signal) SignalEvent (class in alpheast.events.event)

SimulatedExecutionHandler (class in alpheast.handlers.simulated_execution_handler) SMACrossoverStrategy (class in alpheast.strategy.common.sma_crossover_strategy) STD_CLIENT (alpheast.config.data_source.DataSourceType attribute) step_forward() (alpheast.engine.BacktestingEngine method) stream_next_market_event() (alpheast.handlers.data_handler.DataHandler method) SupportedProvider (class in alpheast.config.data_source) symbol (alpheast.models.price_bar.PriceBar attribute)

T

timestamp (alpheast.models.price_bar.PriceBar attribute) type (alpheast.config.data_source.DataSource attribute) (alpheast.events.event.DailyUpdateEvent property) (alpheast.events.event.Event property) (alpheast.events.event.FillEvent property) (alpheast.events.event.MarketEvent property) (alpheast.events.event.OrderEvent property) (alpheast.events.event.SignalEvent property)

V

validate() (alpheast.config.backtest_config.BacktestingOptions method)

volume (alpheast.models.price_bar.PriceBar attribute)

W

WEEKLY (alpheast.models.interval.Interval attribute)