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Functions1,255 in github.com/Open-Quant/openquant

⨍ Functions 1,255◇ Types & classes 174↳ Endpoints 2
↓ 5 callersFunctiontriple_barrier_labels
Label triple-barrier outcomes. Label regime: - `{-1, 0, 1}` when `side` is absent (standard triple-barrier labels) - `{0, 1}` when `side` is present
crates/openquant/src/labeling.rs:150
↓ 5 callersMethodvalidate
(self)
crates/openquant/src/combinatorial_optimization.rs:52
↓ 5 callersFunctionwrite_state
(state: dict[str, Any])
scripts/afml_docs_loop.py:239
↓ 4 callersFunction_as_vector
(y: Sequence[float], n_rows: int)
python/openquant/feature_diagnostics.py:33
↓ 4 callersFunction_build_by_symbol
( df: pl.DataFrame, rust_builder: Callable[[list[str], list[float], list[float], float | int], list[tu
python/openquant/bars.py:76
↓ 4 callersFunction_get_values_diff
( test_type: &str, series: &[f64], index: usize, ind: usize, )
crates/openquant/src/structural_breaks.rs:121
↓ 4 callersFunction_load_store
()
scripts/afml_mcp_server.py:51
↓ 4 callersFunction_sample_weight
(weights: Sequence[float] | None, n_rows: int)
python/openquant/feature_diagnostics.py:51
↓ 4 callersFunctionafml_search
( query: str, top_k: int = 8, chapter: str = "", section: str = "", semantic_weight: float
scripts/afml_mcp_server.py:198
↓ 4 callersFunctionallocate_inverse_variance
(prices: &DMatrix<f64>)
crates/openquant/src/portfolio_optimization.rs:387
↓ 4 callersFunctionbagging_ensemble_variance
( single_estimator_variance: f64, average_correlation: f64, n_estimators: usize, )
crates/openquant/src/ensemble_methods.rs:207
↓ 4 callersFunctionbet_size
(w_param: f64, price_div: f64, func: &str)
crates/openquant/src/bet_sizing.rs:52
↓ 4 callersFunctionbet_size_reserve_full
( t1: &[(NaiveDateTime, NaiveDateTime)], side: &[f64], fit_runs: usize, epsilon: f64, max_
crates/openquant/src/bet_sizing.rs:539
↓ 4 callersFunctionbet_size_sigmoid
(w_param: f64, price_div: f64)
crates/openquant/src/bet_sizing.rs:33
↓ 4 callersFunctionbootstrap_loop_run
Core step from sequential bootstrap: average uniqueness given current concurrency.
crates/openquant/src/sampling.rs:71
↓ 4 callersFunctionbroadcast
( values: &[f64], len: usize, name: &'static str, )
crates/openquant/src/bet_sizing.rs:207
↓ 4 callersFunctionbuild_ch10_setup
()
crates/openquant/tests/ch10_snippets.rs:16
↓ 4 callersFunctioncpcv_path_count
(n_groups: usize, test_groups: usize)
crates/openquant/src/backtesting_engine.rs:178
↓ 4 callersFunctiondeflated_sharpe_ratio
( observed_sr: f64, sr_estimates: &[f64], number_of_returns: usize, skewness: f64, kurtosi
crates/openquant/src/backtest_statistics.rs:199
↓ 4 callersFunctiondiscrete_signal
(signal0: &[f64], step_size: f64)
crates/openquant/src/bet_sizing.rs:111
↓ 4 callersFunctionencode_array
(array: &[f64], encoding: &[(f64, char)])
crates/openquant/src/microstructural_features.rs:493
↓ 4 callersFunctionentropy
(counts: &[usize])
crates/openquant/src/codependence.rs:141
↓ 4 callersFunctionestimate_strategy_failure_probability
( bet_outcomes: &[f64], cfg: StrategyRiskConfig, )
crates/openquant/src/strategy_risk.rs:189
↓ 4 callersFunctionevaluate_trading_path
( path: &TradingTrajectoryPath, cfg: &TradingTrajectoryObjectiveConfig, )
crates/openquant/src/combinatorial_optimization.rs:366
↓ 4 callersFunctionewma
Exponentially weighted moving average with span-like `window`. Mirrors mlfinlab.util.fast_ewma.ewma.
crates/openquant/src/util/fast_ewma.rs:3
↓ 4 callersFunctiongenerate_synthetic_flash_crash_stream
( cfg: SyntheticStreamConfig, )
crates/openquant/src/streaming_hpc.rs:400
↓ 4 callersFunctionget_chu_stinchcombe_white_statistics
( _log_prices: &[f64], _test_type: &str, )
crates/openquant/src/structural_breaks.rs:57
↓ 4 callersFunctionget_futures_roll_series
Generate rolling futures gap series. Mirrors mlfinlab.multi_product.etf_trick.get_futures_roll_series.
crates/openquant/src/etf_trick.rs:296
↓ 4 callersFunctionget_ind_mat_average_uniqueness
Average uniqueness of indicator matrix (single value).
crates/openquant/src/sampling.rs:22
↓ 4 callersFunctionget_mutual_info
( x: &[f64], y: &[f64], n_bins: Option<usize>, normalize: bool, )
crates/openquant/src/codependence.rs:276
↓ 4 callersFunctionget_plug_in_entropy
(message: &str, word_length: usize)
crates/openquant/src/microstructural_features.rs:556
↓ 4 callersFunctionget_target_pos
(w: f64, f: f64, m_p: f64, max_pos: f64, func: &str)
crates/openquant/src/bet_sizing.rs:241
↓ 4 callersFunctionget_w_power_checked
(price_div: f64, m_bet_size: f64)
crates/openquant/src/bet_sizing.rs:293
↓ 4 callersFunctionhistogram
(values: &[f64], n_bins: usize)
crates/openquant/src/codependence.rs:43
↓ 4 callersFunctioninverse_variance_weights
(cov: &DMatrix<f64>, indices: &[usize])
crates/openquant/src/hcaa.rs:353
↓ 4 callersFunctionlexical_overlap_score
(query: str, text: str)
scripts/afml_semantic_index.py:336
↓ 4 callersFunctionlimit_price_power
(t_pos: f64, pos: f64, f: f64, w: f64, max_pos: f64)
crates/openquant/src/bet_sizing.rs:339
↓ 4 callersFunctionlimit_price_sigmoid
(t_pos: f64, pos: f64, f: f64, w: f64, max_pos: f64)
crates/openquant/src/bet_sizing.rs:322
↓ 4 callersFunctionmean
(values: &[f64])
crates/openquant/src/strategy_risk.rs:285
↓ 4 callersFunctionml_cross_val_score
( classifier: &mut C, x: &[Vec<f64>], y: &[f64], sample_weight: Option<&[f64]>, splits: &[
crates/openquant/src/cross_validation.rs:19
↓ 4 callersFunctionnormalize_expected_returns
(exp: &DMatrix<f64>)
crates/openquant/src/cla.rs:422
↓ 4 callersFunctionnormalize_line
(line: str)
scripts/afml_semantic_index.py:82
↓ 4 callersFunctionpipeline_cfg
()
crates/openquant/tests/streaming_hpc.rs:8
↓ 4 callersFunctionproject_to_bounds
(weights: &mut [f64], bounds: &[(f64, f64)])
crates/openquant/src/portfolio_optimization.rs:248
↓ 4 callersFunctionquantile_mapping
(array: &[f64], num_letters: usize)
crates/openquant/src/microstructural_features.rs:433
↓ 4 callersMethodreset
(&mut self)
crates/openquant/src/etf_trick.rs:151
↓ 4 callersFunctionrolling_sum_with_min_periods
(values: &[f64], window: usize, min_periods: usize)
crates/openquant/src/util/volatility.rs:168
↓ 4 callersFunctionsearch_optimal_trading_rule
( params: OuProcessParams, paths: &[Vec<f64>], profit_taking_grid: &[f64], stop_loss_grid: &[f
crates/openquant/src/synthetic_backtesting.rs:309
↓ 4 callersFunctionsetup_labels
()
crates/openquant/tests/sampling.rs:6
↓ 4 callersFunctionsharpe_ratio
(returns: &[f64], entries_per_year: f64, risk_free_rate: f64)
crates/openquant/src/backtest_statistics.rs:172
↓ 4 callersFunctionstandard_events_with_sides
(side: [f64; 5])
crates/openquant/tests/bet_sizing.rs:20
↓ 4 callersFunctionsubmatrix
(m: &DMatrix<f64>, idx: &[usize])
crates/openquant/src/onc.rs:305
↓ 4 callersFunctiontstat
(values: &[f64])
crates/openquant/src/onc.rs:270
↓ 4 callersFunctionvalidate_non_negative_finite
(name: &'static str, value: f64)
crates/openquant/src/streaming_hpc.rs:442
↓ 4 callersFunctionvalidate_payout
(payout: AsymmetricPayout)
crates/openquant/src/strategy_risk.rs:261
↓ 4 callersFunctionvalidate_precision
(precision: f64)
crates/openquant/src/strategy_risk.rs:278
↓ 4 callersFunctionvals
(v: &[f64], idx: &[usize])
crates/openquant/src/feature_importance.rs:268
↓ 4 callersFunctionvariation_of_information_score
( x: &[f64], y: &[f64], n_bins: Option<usize>, normalize: bool, )
crates/openquant/src/codependence.rs:340
↓ 3 callersFunction_assert_bar_invariants
(df: pl.DataFrame)
python/tests/test_bars_module.py:37
↓ 3 callersFunction_base_frame
()
python/tests/test_bars_module.py:8
↓ 3 callersFunction_build_intervals
(event_end_indices: Sequence[int] | None, n_rows: int)
python/openquant/feature_diagnostics.py:62
↓ 3 callersFunction_dataset
(n: int = 220)
python/tests/test_feature_diagnostics_module.py:6
↓ 3 callersFunction_dot
(a: Sequence[float], b: Sequence[float])
python/openquant/feature_diagnostics.py:128
↓ 3 callersFunction_fit_linear_probability_model
( x: Sequence[Sequence[float]], y: Sequence[float], sample_weight: Sequence[float] | None, rid
python/openquant/feature_diagnostics.py:167
↓ 3 callersFunction_fixture_path
()
python/tests/test_data_module.py:12
↓ 3 callersFunction_get_betas
( _x: &[Vec<f64>], _y: &[Vec<f64>], )
crates/openquant/src/structural_breaks.rs:136
↓ 3 callersFunction_importance_table
(feature_names: Sequence[str], per_feature_values: Sequence[Sequence[float]])
python/openquant/feature_diagnostics.py:246
↓ 3 callersFunction_predict_proba
(model: _LinearModel, x: Sequence[Sequence[float]])
python/openquant/feature_diagnostics.py:195
↓ 3 callersFunction_purged_kfold_splits
( intervals: Sequence[tuple[int, int]], n_splits: int, pct_embargo: float, )
python/openquant/feature_diagnostics.py:82
↓ 3 callersFunction_read_config
(path: Path)
experiments/run_pipeline.py:20
↓ 3 callersFunction_score
( y_true: Sequence[float], prob: Sequence[float], scoring: str, sample_weight: Sequence[float]
python/openquant/feature_diagnostics.py:199
↓ 3 callersFunction_toy_pipeline_input
()
python/tests/test_pipeline_api.py:7
↓ 3 callersFunctionaggregate_regression_mean
(per_model_predictions: &[Vec<f64>])
crates/openquant/src/ensemble_methods.rs:119
↓ 3 callersFunctionallocate_efficient_risk_with
( prices: &DMatrix<f64>, opts: &AllocationOptions, )
crates/openquant/src/portfolio_optimization.rs:474
↓ 3 callersFunctionallocate_from_inputs
( expected_returns: &[f64], covariance: &DMatrix<f64>, solution: &str, opts: &AllocationOption
crates/openquant/src/portfolio_optimization.rs:496
↓ 3 callersFunctionallocate_min_vol_with
( prices: &DMatrix<f64>, opts: &AllocationOptions, )
crates/openquant/src/portfolio_optimization.rs:416
↓ 3 callersFunctionapply_purge_and_embargo
( initial_train: &[usize], test_indices: &[usize], label_spans: &[(NaiveDateTime, NaiveDateTime)],
crates/openquant/src/backtesting_engine.rs:515
↓ 3 callersFunctionas_timestamps
(indices: &[usize], timestamps: &[NaiveDateTime])
crates/openquant/tests/filters.rs:58
↓ 3 callersFunctionavg_active_signals
( signal: &[(NaiveDateTime, f64)], t1: &[NaiveDateTime], )
crates/openquant/src/bet_sizing.rs:130
↓ 3 callersFunctionbet_size_budget
( t1: &[(NaiveDateTime, NaiveDateTime)], side: &[f64], )
crates/openquant/src/bet_sizing.rs:407
↓ 3 callersFunctionbet_size_checked
(w_param: f64, price_div: f64, func: &str)
crates/openquant/src/bet_sizing.rs:56
↓ 3 callersFunctionbet_size_power_checked
(w_param: f64, price_div: f64)
crates/openquant/src/bet_sizing.rs:42
↓ 3 callersFunctionbet_size_reserve_with_fit
( t1: &[(NaiveDateTime, NaiveDateTime)], side: &[f64], fit: &[f64; 5], )
crates/openquant/src/bet_sizing.rs:524
↓ 3 callersFunctionbuild_diagnostics
( mode: BacktestMode, run: &BacktestRunConfig, pct_embargo: f64, splits: &[SplitDefinition], )
crates/openquant/src/backtesting_engine.rs:427
↓ 3 callersFunctionbuild_labeling_events
( close_timestamps: Vec<String>, close_prices: Vec<f64>, t_events: Vec<String>, target_timesta
crates/pyopenquant/src/helpers.rs:191
↓ 3 callersFunctionbuild_ohlcv_columns
( timestamps_us: Vec<i64>, symbols: Vec<String>, open: Vec<f64>, high: Vec<f64>, low: Vec<
crates/pyopenquant/src/helpers.rs:139
↓ 3 callersMethodcalculate_variance
( &self, covariance: &DMatrix<f64>, weights: &[f64], )
crates/openquant/src/risk_metrics.rs:14
↓ 3 callersFunctioncalibrate_ou_params
(prices: &[f64])
crates/openquant/src/synthetic_backtesting.rs:92
↓ 3 callersFunctioncentered_moment
(moments: &[f64], order: usize)
crates/openquant/src/ef3m.rs:294
↓ 3 callersFunctionclean_ohlcv_df
( df: &DataFrame, keep_last: bool, )
crates/openquant/src/data_processing.rs:161
↓ 3 callersFunctioncluster_variance
(cov: &DMatrix<f64>, indices: &[usize])
crates/openquant/src/hcaa.rs:369
↓ 3 callersFunctionconfirm_and_cast_to_df
( pos: &[f64], max_pos: &[f64], m_p: &[f64], f: &[f64], )
crates/openquant/src/bet_sizing.rs:185
↓ 3 callersFunctionconfirm_and_cast_to_df_checked
( pos: &[f64], max_pos: &[f64], m_p: &[f64], f: &[f64], )
crates/openquant/src/bet_sizing.rs:195
↓ 3 callersMethodcurrent
(&self)
crates/openquant/src/streaming_hpc.rs:197
↓ 3 callersFunctioncusum_filter_indices_checked
CUSUM filter returning indices of events (0-based positions in the input).
crates/openquant/src/filters.rs:56
↓ 3 callersFunctiondates
(n: usize, start: &str, days: i64)
crates/openquant/tests/backtest_statistics.rs:6
↓ 3 callersFunctiondetect_no_stable_optimum
( response_surface: &[RuleSurfacePoint], estimated_phi: f64, criteria: StabilityCriteria, )
crates/openquant/src/synthetic_backtesting.rs:262
↓ 3 callersFunctiondistance_correlation
(x: &[f64], y: &[f64])
crates/openquant/src/codependence.rs:175
↓ 3 callersFunctiondot
(a: &[f64], b: &[f64])
crates/openquant/src/cla.rs:542
↓ 3 callersFunctiondrawdown_and_time_under_water
( returns: &[(NaiveDateTime, f64)], dollars: bool, )
crates/openquant/src/backtest_statistics.rs:121
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