Index

A

abs() (VolatilityEstimationMethods static method) accuracy_bars() (SignalReturnRelations method) add_bm() (NaivePnL method) add_fid_column() (in module macrosynergy.pnl.historic_portfolio_volatility) add_figure_footnote() (in module macrosynergy.visuals.plotter) add_nan_series() (in module macrosynergy.management.types.qdf.methods) (QuantamentalDataFrame method), [1], [2] add_pnl() (MultiPnL method) add_ticker_column() (in module macrosynergy.management.types.qdf.methods) (QuantamentalDataFrame method), [1], [2] add_ticker_parts() (VintageData method), [1] adjust_analytical_se() (BaseModifiedRegressor method), [1] (ModifiedLinearRegression method), [1], [2], [3] (ModifiedSignWeightedLinearRegression method), [1], [2], [3] (ModifiedTimeWeightedLinearRegression method), [1], [2], [3] adjust_bootstrap_se() (BaseModifiedRegressor method), [1]

adjust_weights() (in module macrosynergy.panel.adjust_weights) adjusted_returns() (in module macrosynergy.panel.return_beta) agg_signal_bars() (NaivePnL method) annotate_facet() (CategoryRelations method) application() (ConvergeRow class method) apply_blacklist() (in module macrosynergy.management.types.qdf.methods) (QuantamentalDataFrame method), [1], [2] 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) ArgValidationMeta (class in macrosynergy.management.types) (class in macrosynergy.management.types.generic) AuthenticationError available_cid_heatmap() (SignalOptimizer method), [1]

B

BaseImputer (class in macrosynergy.learning.preprocessing) (class in macrosynergy.learning.preprocessing.imputers) (class in macrosynergy.learning.preprocessing.imputers.imputers) BaseModifiedRegressor (class in macrosynergy.learning.forecasting.bootstrap) (class in macrosynergy.learning.forecasting.bootstrap.base_modified_regressor) BasePanelBootstrap (class in macrosynergy.learning.forecasting.bootstrap) (class in macrosynergy.learning.forecasting.bootstrap.bootstrap) BasePanelImputer (class in macrosynergy.panel.panel_imputer) BasePanelLearner (class in macrosynergy.learning.sequential) (class in macrosynergy.learning.sequential.base_panel_learner) BasePanelScaler (class in macrosynergy.learning.preprocessing) (class in macrosynergy.learning.preprocessing.scalers) (class in macrosynergy.learning.preprocessing.scalers.base_panel_scaler) BasePanelSelector (class in macrosynergy.learning.preprocessing) (class in macrosynergy.learning.preprocessing.panel_selectors) (class in macrosynergy.learning.preprocessing.panel_selectors.base_panel_selector)

BasePanelSplit (class in macrosynergy.learning.splitters) (class in macrosynergy.learning.splitters.base_splitters) BaseRegressionSystem (class in macrosynergy.learning.forecasting.model_systems) (class in macrosynergy.learning.forecasting.model_systems.base_regression_system) BaseTransformer (class in macrosynergy.download.external_data_transformer) BaseWeightedRegressor (class in macrosynergy.learning.forecasting.weighted_regressors) Basket (class in macrosynergy.panel.basket) basket_handler() (in module macrosynergy.signal.target_positions) beta_display() (in module macrosynergy.panel.return_beta) BetaEstimator (class in macrosynergy.learning.sequential) (class in macrosynergy.learning.sequential.beta_estimator) bidoffer() (ExampleAdapter method) (TransactionCosts method) (TransactionCostsDictAdapter method) business_day_dif() (in module macrosynergy.management.utils.check_availability)

C

cache_decorator() (in module macrosynergy.download.fusion_interface) calculate_cumulative_weights() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.math) calculate_predictions() (ReturnForecaster method), [1] (SignalOptimizer method), [1] calculate_score() (InformationStateChanges method), [1] calculate_score_on_sparse_indicator() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.sparse) 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) change_column_format() (in module macrosynergy.management.types.qdf.methods) change_index (TransactionCosts property) check_attributes_in_sync() (in module macrosynergy.download.jpmaqs) check_availability() (in module macrosynergy.management.utils.check_availability) check_connection() (DataQueryInterface method) check_df_for_txn_stats() (in module macrosynergy.pnl.transaction_costs) check_enddates() (in module macrosynergy.management.utils.check_availability) check_file_availability() (DataQueryFileAPIClient method) check_init() (TransactionCosts method) (TransactionCostsDictAdapter method) check_is_categorical() (in module macrosynergy.management.types.qdf.methods) check_missing_cids_xcats() (in module macrosynergy.panel.adjust_weights) check_package_version() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core) check_startyears() (in module macrosynergy.management.utils.check_availability) check_types() (in module macrosynergy.panel.adjust_weights) check_weights() (Basket static method) check_X_y() (RandomEffects method) cids (QDFArgs attribute) cleanup() (SegmentedFileDownloader method) coefs_stackedbarplot() (SignalOptimizer method), [1] coerce_real_date() (in module macrosynergy.download.fusion_interface) column_manager() (Basket static method) column_split() (Basket static method) column_weights() (Basket method) combine_pnls() (MultiPnL method) common_cids() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core) compute_daily_weights() (in module macrosynergy.securities.index) compute_excess_returns() (in module macrosynergy.securities.index) compute_index_returns() (in module macrosynergy.securities.index) concat_categorical() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) concat_column_dfs() (in module macrosynergy.download.jpmaqs) concat_qdfs() (in module macrosynergy.management.types.qdf.methods) concat_single_metric_qdfs() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) consolidate_positions() (in module macrosynergy.signal.target_positions) consolidation_help() (in module macrosynergy.signal.target_positions)

ConstantImputer (class in macrosynergy.learning.preprocessing) (class in macrosynergy.learning.preprocessing.imputers) (class in macrosynergy.learning.preprocessing.imputers.imputers) construct_expressions() (in module macrosynergy.download.jpmaqs) contract_signals() (in module macrosynergy.pnl.contract_signals) (ProxyPnL method) 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) convert_ticker_based_pandas_df_to_qdf() (in module macrosynergy.download.fusion_interface) convert_ticker_based_parquet_file_to_qdf() (in module macrosynergy.download.fusion_interface) convert_ticker_based_parquet_file_to_qdf_pl() (in module macrosynergy.download.dataquery_file_api) convert_ticker_based_pyarrow_table_to_qdf() (in module macrosynergy.download.fusion_interface) corr_prob_calc() (CategoryRelations method) corr_probability() (CategoryRelations method) correl_matrix() (in module macrosynergy.panel.view_correlations) correlation_bars() (SignalReturnRelations method) correlation_coefficient() (in module macrosynergy.learning.model_evaluation) (in module macrosynergy.learning.model_evaluation.metrics) (in module macrosynergy.learning.model_evaluation.metrics.metrics) correlations_heatmap() (SignalOptimizer method), [1] CorrelationVolatilitySystem (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.model_systems) (class in macrosynergy.learning.forecasting.model_systems.regressor_systems) CountryByCountryRegression (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.meta_estimators) (class in macrosynergy.learning.forecasting.meta_estimators.country_by_country_regressions) create_bootstrap_dataset() (BasePanelBootstrap method), [1] create_delta_data() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.sparse) create_empty_categorical_qdf() (in module macrosynergy.management.types.qdf.methods) create_empty_df() (QuantamentalDataFrame class method), [1], [2] create_model() (BaseRegressionSystem method), [1] (CorrelationVolatilitySystem method), [1], [2] (LADRegressionSystem method), [1], [2] (LinearRegressionSystem method), [1], [2] (RidgeRegressionSystem method), [1], [2] create_panel_metric() (in module macrosynergy.learning.model_evaluation) (in module macrosynergy.learning.model_evaluation.metrics) (in module macrosynergy.learning.model_evaluation.metrics.metrics) create_results_dataframe() (in module macrosynergy.pnl.naive_pnl) create_signal() (BaseModifiedRegressor method), [1] (ProbabilityEstimator method), [1], [2] create_train_valid_splits() (MLPRegressor method), [1] cross_asset_effects() (in module macrosynergy.panel.cross_asset_effects) cross_section_table() (SignalReturnRelations method) CrossSectionalImputer (class in macrosynergy.learning.preprocessing) (class in macrosynergy.learning.preprocessing.imputers) (class in macrosynergy.learning.preprocessing.imputers.imputers) cs_unit_returns() (in module macrosynergy.signal.target_positions) custom_download() (in module macrosynergy.download.jpmaqs)

D

dataframe_generator() (in module macrosynergy.management.simulate) (in module macrosynergy.management.simulate.simulate_quantamental_data) DataFrameTransformer (class in macrosynergy.download.external_data_transformer) (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.meta_estimators) (class in macrosynergy.learning.forecasting.meta_estimators.dataframe_transformer) DataOutOfSyncError DataQueryCertAuth (class in macrosynergy.download.dataquery) DataQueryFileAPIClient (class in macrosynergy.download.dataquery_file_api) DataQueryFileAPIOauth (class in macrosynergy.download.dataquery_file_api) DataQueryInterface (class in macrosynergy.download.dataquery) DataQueryOAuth (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) DEFAULT_ARGS (TransactionCosts attribute) delete_corrupt_files() (DataQueryFileAPIClient method) deprecate() (in module macrosynergy.management.decorators) determine_features() (BasePanelSelector method), [1], [2] (FactorAvailabilitySelector method), [1], [2] (KendallSignificanceSelector method), [1], [2] (LarsSelector method), [1], [2] (LassoSelector method), [1], [2] (MapSelector method), [1], [2] df (QDFArgs attribute) df_wide (TransactionCosts property) distribute_simple() (ConvergeRow method) download() (DataQueryFileAPIClient method) (JPMaQSDownload method) (JPMaQSFusionClient method) (SegmentedFileDownloader method) (TransactionCosts class method)

download_all_to_disk() (JPMaQSDownload method) download_and_filter_series_member_distribution() (JPMaQSFusionClient method) download_catalog_file() (DataQueryFileAPIClient method) download_data() (DataQueryInterface method) download_file() (DataQueryFileAPIClient method) download_full_snapshot() (DataQueryFileAPIClient method) download_latest_delta_distribution() (JPMaQSFusionClient method) download_latest_distribution() (JPMaQSFusionClient method) download_latest_distribution_to_disk() (JPMaQSFusionClient method) download_latest_full_snapshot() (JPMaQSFusionClient method) download_multiple_files() (DataQueryFileAPIClient method) download_series_member_distribution() (JPMaQSFusionClient method) download_series_member_distribution_to_disk() (JPMaQSFusionClient method) download_transaction_costs() (in module macrosynergy.download.transaction_costs) 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.types.qdf.methods) (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) (QuantamentalDataFrame method), [1], [2] drop_ticker_column() (QuantamentalDataFrame method), [1], [2] dropped_features_ (BaseImputer attribute), [1], [2] (ConstantImputer attribute), [1], [2] (CrossSectionalImputer attribute), [1], [2] (EstimatorImputer attribute), [1], [2]

E

end (QDFArgs attribute) equal_weight() (Basket method) estimate_beta() (BetaEstimator method), [1] estimate_release_frequency() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) estimate_variance_covariance() (in module macrosynergy.pnl.historic_portfolio_volatility) EstimatorImputer (class in macrosynergy.learning.preprocessing) (class in macrosynergy.learning.preprocessing.imputers) (class in macrosynergy.learning.preprocessing.imputers.imputers) evaluate_hedged_returns() (BetaEstimator method), [1] evaluate_pnls() (MultiPnL method) (NaivePnL method) ewm_sum() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.math) ExampleAdapter (class in macrosynergy.pnl.transaction_costs) ExceptionAdapter exp() (VolatilityEstimationMethods static method) exp_abs() (VolatilityEstimationMethods static method) expanding_mean_with_nan() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.math)

expanding_stat() (in module macrosynergy.panel.make_zn_scores) ExpandingFrequencyPanelSplit (class in macrosynergy.learning.splitters) (class in macrosynergy.learning.splitters.walk_forward_splitters) ExpandingIncrementPanelSplit (class in macrosynergy.learning.splitters) (class in macrosynergy.learning.splitters.walk_forward_splitters) ExpandingKFoldPanelSplit (class in macrosynergy.learning.splitters) (class in macrosynergy.learning.splitters.kfold_splitters) expo_std() (in module macrosynergy.panel.historic_vol) expo_weights() (in module macrosynergy.panel.historic_vol) expo_weights_arr() (in module macrosynergy.pnl.historic_portfolio_volatility) extend_history() (in module macrosynergy.panel.extend_history) extract_statistics() (BasePanelScaler method), [1], [2] (PanelMinMaxScaler method), [1], [2] (PanelStandardScaler method), [1], [2] extrapolate_cost() (ExampleAdapter static method) (in module macrosynergy.pnl.transaction_costs) (TransactionCosts static method) extrapolate_cost_from_dict() (in module macrosynergy.pnl.transaction_costs)

F

FacetPlot (class in macrosynergy.visuals.facetplot) FactorAvailabilitySelector (class in macrosynergy.learning.preprocessing) (class in macrosynergy.learning.preprocessing.panel_selectors) (class in macrosynergy.learning.preprocessing.panel_selectors.panel_selectors) feature_importance_timeplot() (SignalOptimizer method), [1] feature_names_in_ (BaseImputer attribute), [1], [2] (ConstantImputer attribute), [1], [2] (CrossSectionalImputer attribute), [1], [2] (EstimatorImputer attribute), [1], [2] feature_selection_heatmap() (SignalOptimizer method), [1] FIExtractor (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.meta_estimators) (class in macrosynergy.learning.forecasting.meta_estimators.feature_importances) filter_available_files_by_datetime() (DataQueryFileAPIClient method) filter_expressions_from_catalogue() (JPMaQSDownload method) filter_parquet_table_as_qdf() (in module macrosynergy.download.fusion_interface) fit() (BaseImputer method), [1], [2] (BaseModifiedRegressor method), [1] (BasePanelScaler method), [1], [2] (BasePanelSelector method), [1], [2] (BaseRegressionSystem method), [1] (BaseWeightedRegressor method) (CountryByCountryRegression method), [1], [2] (DataFrameTransformer method), [1], [2] (FIExtractor method), [1], [2] (GlobalLocalRegression method), [1], [2] (KNNClassifier method), [1], [2] (LADRegressor method), [1], [2], [3] (LinearMultiTargetRegression method), [1], [2] (MLPRegressor method), [1] (NaiveRegressor method), [1] (PanelPCA method), [1], [2] (PLSTransformer method), [1], [2] (ProbabilityEstimator method), [1], [2] (RandomEffects method) (TimeWeightedWrapper method), [1], [2] (VotingClassifier method), [1], [2] (VotingRegressor method), [1], [2] (ZnScoreAverager method), [1], [2]

fixed_weight() (Basket method) flat_std() (in module macrosynergy.panel.historic_vol) flat_weights_arr() (in module macrosynergy.pnl.historic_portfolio_volatility) form_full_url() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core) format_invalid_response_msg() (in module macrosynergy.download.dataquery) forward() (MultiLayerPerceptron method), [1], [2] (MultiOutputMCR method), [1], [2] (MultiOutputSharpe method), [1], [2] forward_fill_wide_df() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) from_credentials() (JPMorganOAuth class method) from_credentials_json() (JPMorganOAuth class method) from_isc_df() (InformationStateChanges class method), [1] from_long_df() (QuantamentalDataFrame class method), [1], [2] from_qdf() (InformationStateChanges class method), [1] (TransactionCosts static method) from_qdf_list() (QuantamentalDataFrame class method), [1], [2] from_timeseries() (QuantamentalDataFrame class method), [1], [2] from_wide() (QuantamentalDataFrame class method), [1], [2] FusionOAuth (class in macrosynergy.download.fusion_interface)

G

GaussianConditionalImputer (class in macrosynergy.learning.preprocessing) (class in macrosynergy.learning.preprocessing.imputers) (class in macrosynergy.learning.preprocessing.imputers.imputers) generate_blacklist() (BasePanelImputer method) 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) generic_weights_backend() (in module macrosynergy.panel.adjust_weights) get_all_seriesmembers_for_all_datasets() (JPMaQSFusionClient method) get_asset_returns_data() (NaivePnL method) get_auth() (DataQueryCertAuth method) (JPMorganOAuth method) get_betas() (BetaEstimator method), [1] get_catalogue() (DataQueryInterface method) (JPMaQSDownload method) get_cid() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core) get_client_id_secret() (in module macrosynergy.download.dataquery_file_api) get_col_sort_order() (in module macrosynergy.management.types.qdf.methods) get_common_catalog() (SimpleFusionAPIClient method) get_costs() (SparseCosts method) (TransactionCosts method) get_dataset() (SimpleFusionAPIClient method) get_dataset_available_series() (JPMaQSFusionClient method) get_dataset_series() (SimpleFusionAPIClient method) get_dataset_seriesmember() (SimpleFusionAPIClient method) get_datasets_for_indicators() (DataQueryFileAPIClient method) get_dict_max_depth() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core) get_diff_index() (in module macrosynergy.pnl.transaction_costs) 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_expressions_from_file() (in module macrosynergy.download.jpmaqs) get_feature_correlations() (ReturnForecaster method), [1] (SignalOptimizer method), [1] get_feature_importances() (ReturnForecaster method), [1] (SignalOptimizer method), [1] get_feature_names_out() (BaseImputer method), [1], [2] (BasePanelSelector method), [1], [2] (DataFrameTransformer method), [1], [2] (PanelPCA method), [1], [2] get_fids() (in module macrosynergy.pnl.transaction_costs)

get_generated_signals() (NaivePnL method) get_headers() (DataQueryCertAuth method) (JPMorganOAuth method) get_heatmap_row_order() (in module macrosynergy.management.utils.check_availability) get_hedged_returns() (BetaEstimator method), [1] get_impute_function() (BasePanelImputer method) (MeanPanelImputer method) (MedianPanelImputer method) get_input_signals() (NaivePnL method) get_intercepts() (ReturnForecaster method), [1] (SignalOptimizer method), [1] get_latest_seriesmember_identifier() (JPMaQSFusionClient method) get_mapping_value() (BaseTransformer static method) get_max_lookback() (in module macrosynergy.pnl.historic_portfolio_volatility) get_metadata_catalog() (JPMaQSFusionClient method) get_missing_data_notifications() (DataQueryFileAPIClient method) get_n_splits() (BasePanelSplit method), [1] (ExpandingFrequencyPanelSplit method), [1] (ExpandingIncrementPanelSplit method), [1] get_notifications_distribution() (JPMaQSFusionClient method) get_optimal_models() (BasePanelLearner method), [1] get_optimized_signals() (ReturnForecaster method), [1] (SignalOptimizer method), [1] get_pnls() (MultiPnL method) get_pnls_returns_data() (NaivePnL method) get_product_details() (SimpleFusionAPIClient method) get_products() (SimpleFusionAPIClient method) get_releases() (InformationStateChanges method), [1] get_resources_df() (in module macrosynergy.download.fusion_interface) get_revisions_notifications() (DataQueryFileAPIClient method) get_rowcol() (SignalReturnRelations method) get_selected_features() (ReturnForecaster method), [1] (SignalOptimizer method), [1] get_seriesmember_distribution_details() (SimpleFusionAPIClient method) get_seriesmember_distribution_details_to_disk() (SimpleFusionAPIClient method) get_seriesmember_distributions() (JPMaQSFusionClient method) (SimpleFusionAPIClient method) get_sops() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) get_ticker_metadata() (JPMaQSFusionClient method) get_xcat() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core) GlobalLocalRegression (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.linear_model) (class in macrosynergy.learning.forecasting.linear_model.global_local) 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_portfolio_vol() (in module macrosynergy.pnl.historic_portfolio_volatility) historic_vol() (in module macrosynergy.panel.historic_vol)

I

impute() (BasePanelImputer method) impute_panel() (in module macrosynergy.panel.imputers) IndexCols (QuantamentalDataFrameBase attribute), [1], [2] (QuantamentalDataFrameMeta attribute) IndexColsSortOrder (QuantamentalDataFrameBase attribute), [1], [2] infer_frequency() (in module macrosynergy.management.utils.sparse) InformationStateChanges (class in macrosynergy.management.utils) (class in macrosynergy.management.utils.sparse) initialize_model() (MLPRegressor method), [1] intercepts_timeplot() (SignalOptimizer method), [1] intersection_cids() (CategoryRelations class method)

InvalidDataframeError InvalidResponseError inverse_weight() (Basket method) is_categorical() (QuantamentalDataFrame method), [1], [2] is_categorical_qdf() (in module macrosynergy.management.utils.df_utils) 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) is_valid_xcat() (in module macrosynergy.panel.panel_calculator) items() (InformationStateChanges method), [1]

J

JPMaQSDownload (class in macrosynergy.download.jpmaqs) JPMaQSFusionClient (class in macrosynergy.download.fusion_interface)

JPMaQSParquetSchemaKind (class in macrosynergy.download.dataquery_file_api) JPMorganOAuth (class in macrosynergy.download.jpm_oauth) JSONTransformer (class in macrosynergy.download.external_data_transformer)

K

KendallSignificanceSelector (class in macrosynergy.learning.preprocessing) (class in macrosynergy.learning.preprocessing.panel_selectors) (class in macrosynergy.learning.preprocessing.panel_selectors.panel_selectors) kept_features_ (BaseImputer attribute), [1], [2] (ConstantImputer attribute), [1], [2] (CrossSectionalImputer attribute), [1], [2] (EstimatorImputer attribute), [1], [2]

keys() (InformationStateChanges method), [1] KFoldPanelSplit (class in macrosynergy.learning.splitters) (class in macrosynergy.learning.splitters.base_splitters) KNNClassifier (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.neighbors) (class in macrosynergy.learning.forecasting.neighbors.nearest_neighbors)

L

LADRegressionSystem (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.model_systems) (class in macrosynergy.learning.forecasting.model_systems.regressor_systems) LADRegressor (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.linear_model) (class in macrosynergy.learning.forecasting.linear_model.lad_regressors) (class in macrosynergy.learning.forecasting.linear_model.lad_regressors.lad_regressor) lag_series() (in module macrosynergy.visuals.correlation) lap() (Timer method), [1] large_delta_file_datetimes() (in module macrosynergy.download.dataquery_file_api) LarsSelector (class in macrosynergy.learning.preprocessing) (class in macrosynergy.learning.preprocessing.panel_selectors) (class in macrosynergy.learning.preprocessing.panel_selectors.panel_selectors) LassoSelector (class in macrosynergy.learning.preprocessing) (class in macrosynergy.learning.preprocessing.panel_selectors) (class in macrosynergy.learning.preprocessing.panel_selectors.panel_selectors) lazy_load_from_parquets() (in module macrosynergy.download.dataquery_file_api) lincomb_backend() (in module macrosynergy.panel.adjust_weights) linear_combination_adjustment() (in module macrosynergy.panel.lincomb_adjust) 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) LinearMultiTargetRegression (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.linear_model) (class in macrosynergy.learning.forecasting.linear_model.sur) LinearRegressionSystem (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.model_systems) (class in macrosynergy.learning.forecasting.model_systems.regressor_systems) LinePlot (class in macrosynergy.visuals.lineplot) lineplot() (FacetPlot method) list_available_files() (DataQueryFileAPIClient method) list_available_files_for_all_file_groups() (DataQueryFileAPIClient method) list_datasets() (JPMaQSFusionClient method) list_downloaded_files() (DataQueryFileAPIClient method) list_group_files() (DataQueryFileAPIClient method) list_groups() (DataQueryFileAPIClient method) list_tickers() (JPMaQSFusionClient method) (QuantamentalDataFrame method), [1], [2] load_data() (in module macrosynergy.download.extra) log() (SegmentedFileDownloader method) long_only_pnl() (NaivePnL static method) loss() (GlobalLocalRegression method), [1], [2] loss_derivative() (GlobalLocalRegression method), [1], [2]

M

macrosynergy.compat module macrosynergy.download.dataquery module macrosynergy.download.dataquery_file_api module macrosynergy.download.datastream module macrosynergy.download.exceptions module macrosynergy.download.external_data_transformer module macrosynergy.download.extra module macrosynergy.download.fusion_interface module macrosynergy.download.jpm_oauth module macrosynergy.download.jpmaqs module macrosynergy.download.transaction_costs module macrosynergy.learning.cv_tools module macrosynergy.learning.forecasting module macrosynergy.learning.forecasting.bootstrap module macrosynergy.learning.forecasting.bootstrap.base_modified_regressor module macrosynergy.learning.forecasting.bootstrap.bootstrap module macrosynergy.learning.forecasting.ensemble module macrosynergy.learning.forecasting.ensemble.voting module macrosynergy.learning.forecasting.factor_models module macrosynergy.learning.forecasting.factor_models.pls module macrosynergy.learning.forecasting.linear_model module macrosynergy.learning.forecasting.linear_model.global_local module macrosynergy.learning.forecasting.linear_model.lad_regressors module macrosynergy.learning.forecasting.linear_model.lad_regressors.lad_regressor module macrosynergy.learning.forecasting.linear_model.lad_regressors.weighted_lad_regressors module macrosynergy.learning.forecasting.linear_model.ls_regressors module macrosynergy.learning.forecasting.linear_model.ls_regressors.modified_ls_regressors module macrosynergy.learning.forecasting.linear_model.ls_regressors.weighted_ls_regressors module macrosynergy.learning.forecasting.linear_model.sur module macrosynergy.learning.forecasting.meta_estimators module macrosynergy.learning.forecasting.meta_estimators.country_by_country_regressions module macrosynergy.learning.forecasting.meta_estimators.dataframe_transformer module macrosynergy.learning.forecasting.meta_estimators.feature_importances module macrosynergy.learning.forecasting.meta_estimators.probability module macrosynergy.learning.forecasting.meta_estimators.weighted_predictors module macrosynergy.learning.forecasting.model_systems module macrosynergy.learning.forecasting.model_systems.base_regression_system module macrosynergy.learning.forecasting.model_systems.regressor_systems module macrosynergy.learning.forecasting.naive_predictors module macrosynergy.learning.forecasting.neighbors module macrosynergy.learning.forecasting.neighbors.nearest_neighbors module macrosynergy.learning.forecasting.nn module macrosynergy.learning.forecasting.nn.mlp module macrosynergy.learning.forecasting.torch module macrosynergy.learning.forecasting.torch.losses module macrosynergy.learning.forecasting.torch.losses.mcr_loss module macrosynergy.learning.forecasting.torch.losses.sharpe_loss module macrosynergy.learning.forecasting.torch.models module macrosynergy.learning.forecasting.torch.models.mlps module macrosynergy.learning.forecasting.torch.samplers module macrosynergy.learning.forecasting.torch.samplers.timeseries_sampler module macrosynergy.learning.forecasting.weighted_regressors module macrosynergy.learning.model_evaluation module macrosynergy.learning.model_evaluation.metrics module macrosynergy.learning.model_evaluation.metrics.metrics module macrosynergy.learning.model_evaluation.scorers module macrosynergy.learning.model_evaluation.scorers.scorers module macrosynergy.learning.preprocessing module macrosynergy.learning.preprocessing.imputers module macrosynergy.learning.preprocessing.imputers.imputers module macrosynergy.learning.preprocessing.panel_selectors module macrosynergy.learning.preprocessing.panel_selectors.base_panel_selector module macrosynergy.learning.preprocessing.panel_selectors.panel_selectors module macrosynergy.learning.preprocessing.scalers module macrosynergy.learning.preprocessing.scalers.base_panel_scaler module macrosynergy.learning.preprocessing.scalers.scalers module macrosynergy.learning.preprocessing.transformers module macrosynergy.learning.preprocessing.transformers.transformers module macrosynergy.learning.random_effects module macrosynergy.learning.sequential module macrosynergy.learning.sequential.base_panel_learner module macrosynergy.learning.sequential.beta_estimator module macrosynergy.learning.sequential.return_forecaster module macrosynergy.learning.sequential.signal_optimizer module macrosynergy.learning.splitters module macrosynergy.learning.splitters.base_splitters module macrosynergy.learning.splitters.kfold_splitters module macrosynergy.learning.splitters.walk_forward_splitters 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.types.generic module macrosynergy.management.types.qdf module macrosynergy.management.types.qdf.base module macrosynergy.management.types.qdf.classes module macrosynergy.management.types.qdf.methods 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.utils.sparse module macrosynergy.management.validation module macrosynergy.panel.adjust_weights module macrosynergy.panel.basket module macrosynergy.panel.category_relations module macrosynergy.panel.converge_row module macrosynergy.panel.cross_asset_effects module macrosynergy.panel.extend_history module macrosynergy.panel.granger_causality_test module macrosynergy.panel.historic_vol module macrosynergy.panel.imputers module macrosynergy.panel.lincomb_adjust 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.panel_imputer 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.contract_signals module macrosynergy.pnl.historic_portfolio_volatility module macrosynergy.pnl.multi_pnl module macrosynergy.pnl.naive_pnl module macrosynergy.pnl.notional_positions module macrosynergy.pnl.proxy_pnl module macrosynergy.pnl.proxy_pnl_calc module macrosynergy.pnl.sharpe_stability_ratio module macrosynergy.pnl.transaction_costs module macrosynergy.securities.index module macrosynergy.securities.validate module macrosynergy.signal.signal_return_relations module macrosynergy.signal.target_positions module macrosynergy.version module

macrosynergy.visuals.acf module macrosynergy.visuals.correlation module macrosynergy.visuals.facetplot module macrosynergy.visuals.grades module macrosynergy.visuals.heatmap module macrosynergy.visuals.lagged_corr module macrosynergy.visuals.lineplot module macrosynergy.visuals.metrics module macrosynergy.visuals.multiple_reg_scatter module macrosynergy.visuals.performance module macrosynergy.visuals.plotter module macrosynergy.visuals.ranges module macrosynergy.visuals.score_visualisers module macrosynergy.visuals.table module macrosynergy.visuals.timelines module macrosynergy.visuals.view_availability module macrosynergy.visuals.view_panel_dates module make_basket() (Basket method) make_blacklist() (in module macrosynergy.panel.make_blacklist) make_dataloaders() (MLPRegressor method), [1] make_grade1() (VintageData method), [1] make_grade2() (VintageData method), [1] make_graded() (VintageData method), [1] make_long_pnl() (NaivePnL method) make_optimizer() (MLPRegressor method), [1] 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_scheduler() (MLPRegressor method), [1] make_tensor_datasets() (MLPRegressor method), [1] 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.preprocessing) (class in macrosynergy.learning.preprocessing.panel_selectors) (class in macrosynergy.learning.preprocessing.panel_selectors.panel_selectors) max_weight_func() (Basket static method) MeanPanelImputer (class in macrosynergy.panel.panel_imputer) MedianPanelImputer (class in macrosynergy.panel.panel_imputer) merge_categories() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) metrics (QDFArgs attribute) missing_fraction_by_cid_and_col_ (BaseImputer attribute), [1], [2] (ConstantImputer attribute), [1], [2] (CrossSectionalImputer attribute), [1], [2] (EstimatorImputer attribute), [1], [2] missing_fraction_by_col_ (BaseImputer attribute), [1], [2] (ConstantImputer attribute), [1], [2] (CrossSectionalImputer attribute), [1], [2] (EstimatorImputer attribute), [1], [2] missing_in_df() (in module macrosynergy.management.utils.check_availability) MissingDataError MLPRegressor (class in macrosynergy.learning.forecasting.nn) (class in macrosynergy.learning.forecasting.nn.mlp) models_ (EstimatorImputer attribute), [1], [2] models_heatmap() (BasePanelLearner method), [1] ModifiedLinearRegression (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.linear_model) (class in macrosynergy.learning.forecasting.linear_model.ls_regressors) (class in macrosynergy.learning.forecasting.linear_model.ls_regressors.modified_ls_regressors) ModifiedSignWeightedLinearRegression (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.linear_model) (class in macrosynergy.learning.forecasting.linear_model.ls_regressors) (class in macrosynergy.learning.forecasting.linear_model.ls_regressors.modified_ls_regressors) ModifiedTimeWeightedLinearRegression (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.linear_model) (class in macrosynergy.learning.forecasting.linear_model.ls_regressors) (class in macrosynergy.learning.forecasting.linear_model.ls_regressors.modified_ls_regressors) modify_signals() (in module macrosynergy.signal.target_positions) module macrosynergy.compat macrosynergy.download.dataquery macrosynergy.download.dataquery_file_api macrosynergy.download.datastream macrosynergy.download.exceptions macrosynergy.download.external_data_transformer macrosynergy.download.extra macrosynergy.download.fusion_interface macrosynergy.download.jpm_oauth macrosynergy.download.jpmaqs macrosynergy.download.transaction_costs macrosynergy.learning.cv_tools macrosynergy.learning.forecasting macrosynergy.learning.forecasting.bootstrap macrosynergy.learning.forecasting.bootstrap.base_modified_regressor macrosynergy.learning.forecasting.bootstrap.bootstrap macrosynergy.learning.forecasting.ensemble macrosynergy.learning.forecasting.ensemble.voting macrosynergy.learning.forecasting.factor_models macrosynergy.learning.forecasting.factor_models.pls macrosynergy.learning.forecasting.linear_model macrosynergy.learning.forecasting.linear_model.global_local macrosynergy.learning.forecasting.linear_model.lad_regressors macrosynergy.learning.forecasting.linear_model.lad_regressors.lad_regressor macrosynergy.learning.forecasting.linear_model.lad_regressors.weighted_lad_regressors macrosynergy.learning.forecasting.linear_model.ls_regressors macrosynergy.learning.forecasting.linear_model.ls_regressors.modified_ls_regressors macrosynergy.learning.forecasting.linear_model.ls_regressors.weighted_ls_regressors macrosynergy.learning.forecasting.linear_model.sur macrosynergy.learning.forecasting.meta_estimators macrosynergy.learning.forecasting.meta_estimators.country_by_country_regressions macrosynergy.learning.forecasting.meta_estimators.dataframe_transformer macrosynergy.learning.forecasting.meta_estimators.feature_importances macrosynergy.learning.forecasting.meta_estimators.probability macrosynergy.learning.forecasting.meta_estimators.weighted_predictors macrosynergy.learning.forecasting.model_systems macrosynergy.learning.forecasting.model_systems.base_regression_system macrosynergy.learning.forecasting.model_systems.regressor_systems macrosynergy.learning.forecasting.naive_predictors macrosynergy.learning.forecasting.neighbors macrosynergy.learning.forecasting.neighbors.nearest_neighbors macrosynergy.learning.forecasting.nn macrosynergy.learning.forecasting.nn.mlp macrosynergy.learning.forecasting.torch macrosynergy.learning.forecasting.torch.losses macrosynergy.learning.forecasting.torch.losses.mcr_loss macrosynergy.learning.forecasting.torch.losses.sharpe_loss macrosynergy.learning.forecasting.torch.models macrosynergy.learning.forecasting.torch.models.mlps macrosynergy.learning.forecasting.torch.samplers macrosynergy.learning.forecasting.torch.samplers.timeseries_sampler macrosynergy.learning.forecasting.weighted_regressors macrosynergy.learning.model_evaluation macrosynergy.learning.model_evaluation.metrics macrosynergy.learning.model_evaluation.metrics.metrics macrosynergy.learning.model_evaluation.scorers macrosynergy.learning.model_evaluation.scorers.scorers macrosynergy.learning.preprocessing macrosynergy.learning.preprocessing.imputers macrosynergy.learning.preprocessing.imputers.imputers macrosynergy.learning.preprocessing.panel_selectors macrosynergy.learning.preprocessing.panel_selectors.base_panel_selector macrosynergy.learning.preprocessing.panel_selectors.panel_selectors macrosynergy.learning.preprocessing.scalers macrosynergy.learning.preprocessing.scalers.base_panel_scaler macrosynergy.learning.preprocessing.scalers.scalers macrosynergy.learning.preprocessing.transformers macrosynergy.learning.preprocessing.transformers.transformers macrosynergy.learning.random_effects macrosynergy.learning.sequential macrosynergy.learning.sequential.base_panel_learner macrosynergy.learning.sequential.beta_estimator macrosynergy.learning.sequential.return_forecaster macrosynergy.learning.sequential.signal_optimizer macrosynergy.learning.splitters macrosynergy.learning.splitters.base_splitters macrosynergy.learning.splitters.kfold_splitters macrosynergy.learning.splitters.walk_forward_splitters 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.types.generic macrosynergy.management.types.qdf macrosynergy.management.types.qdf.base macrosynergy.management.types.qdf.classes macrosynergy.management.types.qdf.methods macrosynergy.management.utils macrosynergy.management.utils.check_availability macrosynergy.management.utils.core macrosynergy.management.utils.df_utils macrosynergy.management.utils.math macrosynergy.management.utils.sparse macrosynergy.management.validation macrosynergy.panel.adjust_weights macrosynergy.panel.basket macrosynergy.panel.category_relations macrosynergy.panel.converge_row macrosynergy.panel.cross_asset_effects macrosynergy.panel.extend_history macrosynergy.panel.granger_causality_test macrosynergy.panel.historic_vol macrosynergy.panel.imputers macrosynergy.panel.lincomb_adjust 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.panel_imputer 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.contract_signals macrosynergy.pnl.historic_portfolio_volatility macrosynergy.pnl.multi_pnl macrosynergy.pnl.naive_pnl macrosynergy.pnl.notional_positions macrosynergy.pnl.proxy_pnl macrosynergy.pnl.proxy_pnl_calc macrosynergy.pnl.sharpe_stability_ratio macrosynergy.pnl.transaction_costs macrosynergy.securities.index macrosynergy.securities.validate macrosynergy.signal.signal_return_relations macrosynergy.signal.target_positions macrosynergy.version macrosynergy.visuals.acf macrosynergy.visuals.correlation macrosynergy.visuals.facetplot macrosynergy.visuals.grades macrosynergy.visuals.heatmap macrosynergy.visuals.lagged_corr macrosynergy.visuals.lineplot macrosynergy.visuals.metrics macrosynergy.visuals.multiple_reg_scatter macrosynergy.visuals.performance macrosynergy.visuals.plotter macrosynergy.visuals.ranges macrosynergy.visuals.score_visualisers macrosynergy.visuals.table macrosynergy.visuals.timelines macrosynergy.visuals.view_availability macrosynergy.visuals.view_panel_dates months_btwn_dates() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) multi_output_sharpe() (in module macrosynergy.learning.model_evaluation) (in module macrosynergy.learning.model_evaluation.scorers) (in module macrosynergy.learning.model_evaluation.scorers.scorers) multi_output_sortino() (in module macrosynergy.learning.model_evaluation) (in module macrosynergy.learning.model_evaluation.scorers) (in module macrosynergy.learning.model_evaluation.scorers.scorers) multi_signal_contract_signals() (in module macrosynergy.pnl.contract_signals) MultiLayerPerceptron (class in macrosynergy.learning.forecasting.torch) (class in macrosynergy.learning.forecasting.torch.models) (class in macrosynergy.learning.forecasting.torch.models.mlps) MultiOutputMCR (class in macrosynergy.learning.forecasting.torch) (class in macrosynergy.learning.forecasting.torch.losses) (class in macrosynergy.learning.forecasting.torch.losses.mcr_loss) MultiOutputSharpe (class in macrosynergy.learning.forecasting.torch) (class in macrosynergy.learning.forecasting.torch.losses) (class in macrosynergy.learning.forecasting.torch.losses.sharpe_loss) multiple_reg_scatter() (in module macrosynergy.visuals.multiple_reg_scatter) multiple_relations_table() (SignalReturnRelations method) MultiPnL (class in macrosynergy.pnl.multi_pnl)

N

n_features_out_ (BaseImputer attribute), [1], [2] (ConstantImputer attribute), [1], [2] (CrossSectionalImputer attribute), [1], [2] (EstimatorImputer attribute), [1], [2] NaivePnL (class in macrosynergy.pnl.naive_pnl) NaiveRegressor (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.naive_predictors) neg_mean_abs_corr() (in module macrosynergy.learning.model_evaluation) (in module macrosynergy.learning.model_evaluation.scorers) (in module macrosynergy.learning.model_evaluation.scorers.scorers)

neutral (PnLParams attribute) NoContentError NoneType (class in macrosynergy.management.types) (class in macrosynergy.management.types.generic) NoneTypeMeta (class in macrosynergy.management.types.generic) normalize_weights() (in module macrosynergy.panel.adjust_weights) notional_positions() (in module macrosynergy.pnl.notional_positions) (ProxyPnL method) nsplits_timeplot() (SignalOptimizer method), [1]

O

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.model_evaluation) (in module macrosynergy.learning.model_evaluation.metrics) (in module macrosynergy.learning.model_evaluation.metrics.metrics) PanelMinMaxScaler (class in macrosynergy.learning.preprocessing) (class in macrosynergy.learning.preprocessing.scalers) (class in macrosynergy.learning.preprocessing.scalers.scalers) PanelPCA (class in macrosynergy.learning.preprocessing) (class in macrosynergy.learning.preprocessing.transformers) (class in macrosynergy.learning.preprocessing.transformers.transformers) PanelStandardScaler (class in macrosynergy.learning.preprocessing) (class in macrosynergy.learning.preprocessing.scalers) (class in macrosynergy.learning.preprocessing.scalers.scalers) pd_to_datetime_compat() (in module macrosynergy.download.dataquery_file_api) pivot_dataframe() (Basket static method) plot() (Heatmap method) (LinePlot method) plot_acf() (in module macrosynergy.visuals.acf) plot_costs() (TransactionCosts method) plot_lagged_correlation() (in module macrosynergy.visuals.lagged_corr) plot_metric() (Heatmap method) plot_pacf() (in module macrosynergy.visuals.acf) plot_pnl() (in module macrosynergy.pnl.proxy_pnl_calc) (ProxyPnL method) plot_pnls() (MultiPnL method) (NaivePnL method) plot_single_statistic_heatmap() (SignalReturnRelations method) Plotter (class in macrosynergy.visuals.plotter) PlotterMetaClass (class in macrosynergy.visuals.plotter) PLSTransformer (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.factor_models) (class in macrosynergy.learning.forecasting.factor_models.pls)

pnl_df() (NaivePnL method) pnl_name (PnLParams attribute) pnl_xcats (MultiPnL property) PnLParams (class in macrosynergy.pnl.naive_pnl) predict() (BaseModifiedRegressor method), [1] (BaseRegressionSystem method), [1] (BaseWeightedRegressor method) (CorrelationVolatilitySystem method), [1], [2] (CountryByCountryRegression method), [1], [2] (FIExtractor method), [1], [2] (GlobalLocalRegression method), [1], [2] (KNNClassifier method), [1], [2] (LADRegressor method), [1], [2], [3] (LinearMultiTargetRegression method), [1], [2] (MLPRegressor method), [1] (NaiveRegressor method), [1] (ProbabilityEstimator method), [1], [2] (TimeWeightedWrapper method), [1], [2] predict_proba() (KNNClassifier method), [1], [2] predictor_means_ (EstimatorImputer attribute), [1], [2] prepare_data() (SparseCosts method) print_pnl_names() (NaivePnL method) ProbabilityEstimator (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.meta_estimators) (class in macrosynergy.learning.forecasting.meta_estimators.probability) proxy_pnl_calc() (in module macrosynergy.pnl.proxy_pnl_calc) (ProxyPnL method) ProxyPnL (class in macrosynergy.pnl.proxy_pnl) pvals (RandomEffects property)

Q

QDF (JPMaQSParquetSchemaKind attribute) qdf (TransactionCosts property) qdf_from_timeseries() (in module macrosynergy.management.types.qdf.methods) qdf_to_categorical() (in module macrosynergy.management.types.qdf.methods) qdf_to_string_index() (in module macrosynergy.management.types.qdf.methods) qdf_to_ticker_df() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) qdf_to_wide_df() (in module macrosynergy.management.types.qdf.methods) QDFArgs (class in macrosynergy.management.validation)

QuantamentalDataFrame (class in macrosynergy.management.types) (class in macrosynergy.management.types.qdf) (class in macrosynergy.management.types.qdf.classes) QuantamentalDataFrameBase (class in macrosynergy.management.types) (class in macrosynergy.management.types.qdf) (class in macrosynergy.management.types.qdf.base) QuantamentalDataFrameMeta (class in macrosynergy.management.types.qdf.base) quarters_btwn_dates() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils)

R

RandomEffects (class in macrosynergy.learning.random_effects) read_parquet_from_bytes_to_pandas_dataframe() (in module macrosynergy.download.fusion_interface) read_parquet_from_bytes_to_pyarrow_table() (in module macrosynergy.download.fusion_interface) rebal_freq (PnLParams attribute) rebal_slip (PnLParams attribute) rebalancing() (NaivePnL static method) rec_search_dict() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core) RecencyKFoldPanelSplit (class in macrosynergy.learning.splitters) (class in macrosynergy.learning.splitters.kfold_splitters) reduce_df() (in module macrosynergy.management.types.qdf.methods) (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) (QuantamentalDataFrame method), [1], [2] reduce_df_by_ticker() (in module macrosynergy.management.types.qdf.methods) (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) (QuantamentalDataFrame method), [1], [2] reg_scatter() (CategoryRelations method) regression_accuracy() (in module macrosynergy.learning.model_evaluation) (in module macrosynergy.learning.model_evaluation.metrics) (in module macrosynergy.learning.model_evaluation.metrics.metrics) regression_balanced_accuracy() (in module macrosynergy.learning.model_evaluation) (in module macrosynergy.learning.model_evaluation.metrics) (in module macrosynergy.learning.model_evaluation.metrics.metrics) regression_mcc() (in module macrosynergy.learning.model_evaluation) (in module macrosynergy.learning.model_evaluation.metrics) (in module macrosynergy.learning.model_evaluation.metrics.metrics)

reindex_multindex_df() (SignalReturnRelations method) rename_xcats() (in module macrosynergy.management.types.qdf.methods) (QuantamentalDataFrame method), [1], [2] request_wrapper() (in module macrosynergy.download.dataquery) (in module macrosynergy.download.fusion_interface) request_wrapper_stream_bytes_to_disk() (in module macrosynergy.download.fusion_interface) retrieve_token() (JPMorganOAuth method) return_basket() (Basket method) return_beta() (in module macrosynergy.panel.return_beta) return_blacklist() (BasePanelImputer method) return_weights() (Basket method) return_xcats (MultiPnL property) ReturnForecaster (class in macrosynergy.learning.sequential) (class in macrosynergy.learning.sequential.return_forecaster) RidgeRegressionSystem (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.model_systems) (class in macrosynergy.learning.forecasting.model_systems.regressor_systems) roll_dates() (BaseRegressionSystem method), [1] rollcost() (TransactionCosts method) (TransactionCostsDictAdapter method) RollingKFoldPanelSplit (class in macrosynergy.learning.splitters) (class in macrosynergy.learning.splitters.kfold_splitters) rotate_cid_xcat() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) run() (BasePanelLearner method), [1]

S

save_data() (in module macrosynergy.download.extra) scale() (BasePanelScaler method), [1], [2] (PanelMinMaxScaler method), [1], [2] (PanelStandardScaler method), [1], [2] scale_data() (MLPRegressor method), [1] ScoreVisualisers (class in macrosynergy.visuals.score_visualisers) search_groups() (DataQueryFileAPIClient method) seasonal_adj() (VintageData method), [1] SegmentedFileDownloader (class in macrosynergy.download.dataquery_file_api) set_df_labels() (SignalReturnRelations method) set_fit_request() (GlobalLocalRegression method), [1], [2] (LADRegressor method), [1], [2], [3] (LinearMultiTargetRegression method), [1], [2] (MLPRegressor method), [1] (VotingClassifier method), [1], [2] set_params() (ModifiedLinearRegression method), [1], [2], [3] (ModifiedSignWeightedLinearRegression method), [1], [2], [3] (ModifiedTimeWeightedLinearRegression method), [1], [2], [3] (SignWeightedLADRegressor method), [1], [2], [3] (SignWeightedLinearRegression method), [1], [2], [3] (TimeWeightedLADRegressor method), [1], [2], [3] (TimeWeightedLinearRegression method), [1], [2], [3] set_score_request() (BaseModifiedRegressor method), [1] (BaseRegressionSystem method), [1] (BaseWeightedRegressor method) (CorrelationVolatilitySystem method), [1], [2] (CountryByCountryRegression method), [1], [2] (FIExtractor method), [1], [2] (GlobalLocalRegression method), [1], [2] (KNNClassifier method), [1], [2] (LADRegressionSystem method), [1], [2] (LADRegressor method), [1], [2], [3] (LinearMultiTargetRegression method), [1], [2] (LinearRegressionSystem method), [1], [2] (MLPRegressor method), [1] (ModifiedLinearRegression method), [1], [2], [3] (ModifiedSignWeightedLinearRegression method), [1], [2], [3] (ModifiedTimeWeightedLinearRegression method), [1], [2], [3] (NaiveRegressor method), [1] (ProbabilityEstimator method), [1], [2] (RidgeRegressionSystem method), [1], [2] (SignWeightedLADRegressor method), [1], [2], [3] (SignWeightedLinearRegression method), [1], [2], [3] (SignWeightedRegressor method) (TimeWeightedLADRegressor method), [1], [2], [3] (TimeWeightedLinearRegression method), [1], [2], [3] (TimeWeightedRegressor method) (TimeWeightedWrapper method), [1], [2] (VotingClassifier method), [1], [2] (VotingRegressor method), [1], [2] sharpe_ratio() (in module macrosynergy.learning.model_evaluation) (in module macrosynergy.learning.model_evaluation.metrics) (in module macrosynergy.learning.model_evaluation.metrics.metrics) sharpe_stability_ratio() (in module macrosynergy.pnl.sharpe_stability_ratio) show_single_statistic_table() (SignalReturnRelations method) sig_add (PnLParams attribute) sig_neg (PnLParams attribute)

sig_op (PnLParams attribute) signal (PnLParams attribute) signal_heatmap() (NaivePnL method) SignalOptimizer (class in macrosynergy.learning.sequential) (class in macrosynergy.learning.sequential.signal_optimizer) SignalReturnRelations (class in macrosynergy.signal.signal_return_relations) signals_table() (SignalReturnRelations method) SignWeightedLADRegressor (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.linear_model) (class in macrosynergy.learning.forecasting.linear_model.lad_regressors) (class in macrosynergy.learning.forecasting.linear_model.lad_regressors.weighted_lad_regressors) SignWeightedLinearRegression (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.linear_model) (class in macrosynergy.learning.forecasting.linear_model.ls_regressors) (class in macrosynergy.learning.forecasting.linear_model.ls_regressors.weighted_ls_regressors) SignWeightedRegressor (class in macrosynergy.learning.forecasting.weighted_regressors) SimpleFusionAPIClient (class in macrosynergy.download.fusion_interface) simulate_ar() (in module macrosynergy.management.simulate) (in module macrosynergy.management.simulate.simulate_quantamental_data) simulate_returns_and_signals() (in module macrosynergy.management.simulate) (in module macrosynergy.management.simulate.simulate_quantamental_data) single_relation_table() (SignalReturnRelations method) single_statistic_table() (SignalReturnRelations method) somecalc() (ExampleAdapter method) sortino_ratio() (in module macrosynergy.learning.model_evaluation) (in module macrosynergy.learning.model_evaluation.metrics) (in module macrosynergy.learning.model_evaluation.metrics.metrics) sparse_to_dense() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.sparse) SparseCosts (class in macrosynergy.pnl.transaction_costs) split() (ExpandingFrequencyPanelSplit method), [1] (ExpandingIncrementPanelSplit method), [1] (KFoldPanelSplit method), [1] split_ticker() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.core) split_weights_adj_zns() (in module macrosynergy.panel.adjust_weights) sq_std() (in module macrosynergy.panel.historic_vol) stack_covariances() (in module macrosynergy.pnl.historic_portfolio_volatility) standardise_dataframe() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) start (QDFArgs attribute) startend() (in module macrosynergy.panel.make_blacklist) std() (VolatilityEstimationMethods static method) store_attributes() (Basket method) store_model_info() (BaseRegressionSystem method), [1] (CorrelationVolatilitySystem method), [1], [2] (LADRegressionSystem method), [1], [2] (LinearRegressionSystem method), [1], [2] (RidgeRegressionSystem method), [1], [2] store_split_data() (BasePanelLearner method), [1] (BetaEstimator method), [1] (ReturnForecaster method), [1] (SignalOptimizer method), [1] SubscriptableMeta (class in macrosynergy.management.types) (class in macrosynergy.management.types.generic) (class in macrosynergy.management.utils.sparse) summary_table() (SignalReturnRelations method)

T

target_positions() (in module macrosynergy.signal.target_positions) temporal_aggregator_exponential() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.sparse) temporal_aggregator_mean() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.sparse) temporal_aggregator_period() (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.sparse) (InformationStateChanges method), [1] temporary_seed() (in module macrosynergy.management.simulate.simulate_quantamental_data) thresh (PnLParams attribute) TICKER (JPMaQSParquetSchemaKind attribute) 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) TimeSeriesSampler (class in macrosynergy.learning.forecasting.torch) (class in macrosynergy.learning.forecasting.torch.samplers) (class in macrosynergy.learning.forecasting.torch.samplers.timeseries_sampler) TimeWeightedLADRegressor (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.linear_model) (class in macrosynergy.learning.forecasting.linear_model.lad_regressors) (class in macrosynergy.learning.forecasting.linear_model.lad_regressors.weighted_lad_regressors)

TimeWeightedLinearRegression (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.linear_model) (class in macrosynergy.learning.forecasting.linear_model.ls_regressors) (class in macrosynergy.learning.forecasting.linear_model.ls_regressors.weighted_ls_regressors) TimeWeightedRegressor (class in macrosynergy.learning.forecasting.weighted_regressors) TimeWeightedWrapper (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.meta_estimators) (class in macrosynergy.learning.forecasting.meta_estimators.weighted_predictors) to_categorical() (QuantamentalDataFrame method), [1], [2] to_dict() (InformationStateChanges method), [1] to_json() (InformationStateChanges method), [1] to_original_dtypes() (QuantamentalDataFrame method), [1], [2] to_qdf() (InformationStateChanges method), [1] to_string_type() (QuantamentalDataFrame method), [1], [2] to_wide() (QuantamentalDataFrame method), [1], [2] train_model() (MLPRegressor method), [1] TransactionCosts (class in macrosynergy.pnl.transaction_costs) TransactionCostsDictAdapter (class in macrosynergy.pnl.transaction_costs) transform() (BaseImputer method), [1], [2] (BasePanelScaler method), [1], [2] (BasePanelSelector method), [1], [2] (BaseTransformer method) (DataFrameTransformer method), [1], [2], [3] (JSONTransformer method) (PanelPCA method), [1], [2] (PLSTransformer method), [1], [2] (ZnScoreAverager method), [1], [2] transform_to_qdf() (in module macrosynergy.download.external_data_transformer)

U

unstack_covariances() (in module macrosynergy.pnl.historic_portfolio_volatility) update_categories() (in module macrosynergy.management.types.qdf.methods) (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) update_df() (in module macrosynergy.management.types.qdf.methods) (in module macrosynergy.management.utils) (in module macrosynergy.management.utils.df_utils) (QuantamentalDataFrame method), [1], [2]

update_es_stats() (MLPRegressor method), [1] update_tickers() (in module macrosynergy.management.types.qdf.methods) (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_data() (in module macrosynergy.download.jpmaqs) validate_downloaded_df() (in module macrosynergy.download.jpmaqs) validate_dq_timestamp() (in module macrosynergy.download.dataquery_file_api) validate_response() (in module macrosynergy.download.dataquery) values() (InformationStateChanges method), [1] values_weight() (Basket method) view_availability() (in module macrosynergy.visuals.view_availability) view_cid_evolution() (ScoreVisualisers 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_performance() (in module macrosynergy.visuals.performance) view_ranges() (in module macrosynergy.panel.view_ranges) (in module macrosynergy.visuals.ranges)

view_score_evolution() (ScoreVisualisers method) view_snapshot() (ScoreVisualisers method) 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), [1] (ExpandingFrequencyPanelSplit method), [1] (ExpandingIncrementPanelSplit method), [1] vol_scale (PnLParams attribute) VolatilityEstimationMethods (class in macrosynergy.management.utils.sparse) VotingClassifier (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.ensemble) (class in macrosynergy.learning.forecasting.ensemble.voting) VotingRegressor (class in macrosynergy.learning.forecasting) (class in macrosynergy.learning.forecasting.ensemble) (class in macrosynergy.learning.forecasting.ensemble.voting)

W

WalkForwardPanelSplit (class in macrosynergy.learning.splitters) (class in macrosynergy.learning.splitters.base_splitters) 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_from_frequency() (in module macrosynergy.management.utils.sparse) weight_visualiser() (Basket method) weighted_least_squares() (in module macrosynergy.panel.return_beta)

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.preprocessing) (class in macrosynergy.learning.preprocessing.transformers) (class in macrosynergy.learning.preprocessing.transformers.transformers)