Index

A

adx() (in module quaver.strategies.indicators) all() (quaver.strategies.registry.StrategyRegistry class method) atr() (in module quaver.strategies.indicators)

avg_loss (quaver.backtest.result.BacktestResult property) avg_pnl (quaver.backtest.result.BacktestResult property) avg_win (quaver.backtest.result.BacktestResult property)

B

BacktestEngine (class in quaver.backtest.engine) BacktestResult (class in quaver.backtest.result) BaseStrategy (class in quaver.strategies.base) bollinger_band_width() (in module quaver.strategies.indicators)

bollinger_bands() (in module quaver.strategies.indicators) BOND (quaver.types.InstrumentType attribute) BreakoutConsolidationStrategy (class in quaver.strategies.breakout_consolidation) BUY (quaver.types.SignalDirection attribute) buy_price() (quaver.backtest.portfolio.SlippageConfig method)

C

calc() (quaver.backtest.portfolio.CommissionConfig method) cash (quaver.backtest.portfolio.Portfolio property) cci() (in module quaver.strategies.indicators) check_exit_triggers() (quaver.backtest.portfolio.Portfolio method) clear() (quaver.strategies.registry.StrategyRegistry class method) CLOSE (quaver.types.SignalDirection attribute) close_long() (quaver.backtest.portfolio.Portfolio method) close_short() (quaver.backtest.portfolio.Portfolio method) closed_trades (quaver.backtest.portfolio.Portfolio property) commission (quaver.backtest.portfolio.TradeRecord attribute) CommissionConfig (class in quaver.backtest.portfolio) COMMODITY (quaver.types.InstrumentType attribute)

compute() (quaver.strategies.base.BaseStrategy method) (quaver.strategies.base.MultiAssetStrategy method) (quaver.strategies.breakout_consolidation.BreakoutConsolidationStrategy method) (quaver.strategies.mean_reversion.MeanReversionStrategy method) (quaver.strategies.pairs_mean_reversion.PairsMeanReversionStrategy method) (quaver.strategies.pullback_trend.PullbackTrendStrategy method) (quaver.strategies.regime_mean_reversion.RegimeMeanReversionStrategy method) (quaver.strategies.reversal_support.ReversalSupportStrategy method) (quaver.strategies.vsa_stopping_volume.VSAStoppingVolumeStrategy method) confidence (quaver.strategies.base.SignalOutput attribute) countries (quaver.strategies.base.UniverseFilter attribute) CRYPTO (quaver.types.InstrumentType attribute) cumulative_pnl (quaver.backtest.result.BacktestResult property)

D

D1 (quaver.types.TimeFrame attribute) daily_returns() (in module quaver.strategies.indicators) default_parameters (quaver.types.EngineInfo attribute) description (quaver.strategies.base.BaseStrategy attribute) (quaver.strategies.base.MultiAssetStrategy attribute) (quaver.strategies.breakout_consolidation.BreakoutConsolidationStrategy attribute) (quaver.strategies.mean_reversion.MeanReversionStrategy attribute) (quaver.strategies.pairs_mean_reversion.PairsMeanReversionStrategy attribute) (quaver.strategies.pullback_trend.PullbackTrendStrategy attribute) (quaver.strategies.regime_mean_reversion.RegimeMeanReversionStrategy attribute) (quaver.strategies.reversal_support.ReversalSupportStrategy attribute) (quaver.strategies.vsa_stopping_volume.VSAStoppingVolumeStrategy attribute) (quaver.types.EngineInfo attribute)

direction (quaver.backtest.portfolio.OpenPosition attribute) (quaver.backtest.portfolio.TradeRecord attribute) (quaver.strategies.base.SignalOutput attribute) display_name (quaver.strategies.base.BaseStrategy attribute) (quaver.strategies.base.MultiAssetStrategy attribute) (quaver.strategies.breakout_consolidation.BreakoutConsolidationStrategy attribute) (quaver.strategies.mean_reversion.MeanReversionStrategy attribute) (quaver.strategies.pairs_mean_reversion.PairsMeanReversionStrategy attribute) (quaver.strategies.pullback_trend.PullbackTrendStrategy attribute) (quaver.strategies.regime_mean_reversion.RegimeMeanReversionStrategy attribute) (quaver.strategies.reversal_support.ReversalSupportStrategy attribute) (quaver.strategies.vsa_stopping_volume.VSAStoppingVolumeStrategy attribute) donchian() (in module quaver.strategies.indicators) DuplicateEngineError

E

ema() (in module quaver.strategies.indicators) END_OF_DATA (quaver.types.ExitReason attribute) EngineInfo (class in quaver.types) EngineNotFoundError entry_commission (quaver.backtest.portfolio.OpenPosition attribute) entry_price (quaver.backtest.portfolio.OpenPosition attribute) (quaver.backtest.portfolio.TradeRecord attribute) entry_signal (quaver.backtest.portfolio.OpenPosition attribute) (quaver.backtest.portfolio.TradeRecord attribute) entry_slippage_cost (quaver.backtest.portfolio.OpenPosition attribute) entry_ts (quaver.backtest.portfolio.OpenPosition attribute) (quaver.backtest.portfolio.TradeRecord attribute)

ETF (quaver.types.InstrumentType attribute) events_base (quaver.strategies.regime_mean_reversion.ProbabilityResult attribute) events_regime (quaver.strategies.regime_mean_reversion.ProbabilityResult attribute) exchange_codes (quaver.strategies.base.UniverseFilter attribute) exit_price (quaver.backtest.portfolio.TradeRecord attribute) exit_reason (quaver.backtest.portfolio.TradeRecord attribute) exit_signal (quaver.backtest.portfolio.TradeRecord attribute) exit_ts (quaver.backtest.portfolio.TradeRecord attribute) ExitReason (class in quaver.types) ExitRules (class in quaver.backtest.portfolio) expectancy (quaver.backtest.result.BacktestResult property)

F

final_cash (quaver.backtest.result.BacktestResult attribute) fixed_per_trade (quaver.backtest.portfolio.CommissionConfig attribute)

from_params() (quaver.strategies.base.UniverseFilter class method) from_portfolio() (quaver.backtest.result.BacktestResult class method)

G

get() (quaver.strategies.registry.StrategyRegistry class method) get_default_parameters() (quaver.strategies.base.BaseStrategy class method) (quaver.strategies.base.MultiAssetStrategy class method) (quaver.strategies.breakout_consolidation.BreakoutConsolidationStrategy class method) (quaver.strategies.mean_reversion.MeanReversionStrategy class method) (quaver.strategies.pairs_mean_reversion.PairsMeanReversionStrategy class method) (quaver.strategies.pullback_trend.PullbackTrendStrategy class method) (quaver.strategies.regime_mean_reversion.RegimeMeanReversionStrategy class method) (quaver.strategies.reversal_support.ReversalSupportStrategy class method) (quaver.strategies.vsa_stopping_volume.VSAStoppingVolumeStrategy class method) get_parameter_schema() (quaver.strategies.base.BaseStrategy class method) (quaver.strategies.base.MultiAssetStrategy class method) (quaver.strategies.breakout_consolidation.BreakoutConsolidationStrategy class method) (quaver.strategies.mean_reversion.MeanReversionStrategy class method) (quaver.strategies.pairs_mean_reversion.PairsMeanReversionStrategy class method) (quaver.strategies.pullback_trend.PullbackTrendStrategy class method) (quaver.strategies.regime_mean_reversion.RegimeMeanReversionStrategy class method) (quaver.strategies.reversal_support.ReversalSupportStrategy class method) (quaver.strategies.vsa_stopping_volume.VSAStoppingVolumeStrategy class method)

get_required_candle_count() (quaver.strategies.base.BaseStrategy method) (quaver.strategies.base.MultiAssetStrategy method) (quaver.strategies.breakout_consolidation.BreakoutConsolidationStrategy method) (quaver.strategies.mean_reversion.MeanReversionStrategy method) (quaver.strategies.pairs_mean_reversion.PairsMeanReversionStrategy method) (quaver.strategies.pullback_trend.PullbackTrendStrategy method) (quaver.strategies.regime_mean_reversion.RegimeMeanReversionStrategy method) (quaver.strategies.reversal_support.ReversalSupportStrategy method) (quaver.strategies.vsa_stopping_volume.VSAStoppingVolumeStrategy method) get_required_instrument_ids() (quaver.strategies.base.MultiAssetStrategy method) (quaver.strategies.pairs_mean_reversion.PairsMeanReversionStrategy method) get_strategy_kind() (quaver.strategies.registry.StrategyRegistry class method) get_universe_constraints() (quaver.strategies.base.BaseStrategy class method) get_universe_filter() (quaver.strategies.base.BaseStrategy method) (quaver.strategies.base.MultiAssetStrategy method)

H

H1 (quaver.types.TimeFrame attribute)

H4 (quaver.types.TimeFrame attribute) HOLD (quaver.types.SignalDirection attribute)

I

INDEX (quaver.types.InstrumentType attribute) initial_capital (quaver.backtest.result.BacktestResult attribute) instrument_id (quaver.backtest.portfolio.OpenPosition attribute) (quaver.backtest.portfolio.TradeRecord attribute) (quaver.backtest.result.BacktestResult attribute)

instrument_types (quaver.strategies.base.UniverseFilter attribute) InstrumentType (class in quaver.types) is_flat() (quaver.backtest.portfolio.Portfolio method)

K

keltner() (in module quaver.strategies.indicators)

L

list_engines() (quaver.strategies.registry.StrategyRegistry class method)

listing_ids (quaver.strategies.base.UniverseFilter attribute) losing_trades (quaver.backtest.result.BacktestResult property)

M

M1 (quaver.types.TimeFrame attribute) M15 (quaver.types.TimeFrame attribute) M5 (quaver.types.TimeFrame attribute) macd() (in module quaver.strategies.indicators) max_consecutive_losses (quaver.backtest.result.BacktestResult property) max_consecutive_wins (quaver.backtest.result.BacktestResult property) max_drawdown (quaver.backtest.result.BacktestResult property) MeanReversionStrategy (class in quaver.strategies.mean_reversion) metadata (quaver.strategies.base.MultiAssetStrategyOutput attribute) (quaver.strategies.base.SignalOutput attribute) MODERATE (quaver.types.SignalStrength attribute) module quaver.backtest.data quaver.backtest.engine quaver.backtest.multi_engine quaver.backtest.portfolio quaver.backtest.result quaver.backtest.runner quaver.strategies.base quaver.strategies.breakout_consolidation quaver.strategies.indicators quaver.strategies.mean_reversion quaver.strategies.pairs_mean_reversion quaver.strategies.pullback_trend quaver.strategies.regime_mean_reversion quaver.strategies.registry quaver.strategies.reversal_support quaver.strategies.vsa_stopping_volume quaver.types

MultiAssetBacktestEngine (class in quaver.backtest.multi_engine) MultiAssetStrategy (class in quaver.strategies.base) MultiAssetStrategyOutput (class in quaver.strategies.base)

N

name (quaver.types.EngineInfo attribute) net_pnl (quaver.backtest.portfolio.TradeRecord property)

normalise_candles() (in module quaver.backtest.data) notes (quaver.strategies.base.SignalOutput attribute)

O

obv() (in module quaver.strategies.indicators) open_long() (quaver.backtest.portfolio.Portfolio method)

open_short() (quaver.backtest.portfolio.Portfolio method) OpenPosition (class in quaver.backtest.portfolio)

P

PairsMeanReversionStrategy (class in quaver.strategies.pairs_mean_reversion) parameter_schema (quaver.types.EngineInfo attribute) parameters (quaver.strategies.base.BaseStrategy attribute) (quaver.strategies.base.MultiAssetStrategy attribute) pct_of_notional (quaver.backtest.portfolio.CommissionConfig attribute) pnl (quaver.backtest.portfolio.TradeRecord attribute)

pnl_series (quaver.backtest.result.BacktestResult property) Portfolio (class in quaver.backtest.portfolio) prob_base (quaver.strategies.regime_mean_reversion.ProbabilityResult attribute) prob_regime (quaver.strategies.regime_mean_reversion.ProbabilityResult attribute) ProbabilityResult (class in quaver.strategies.regime_mean_reversion) profit_factor (quaver.backtest.result.BacktestResult property) PullbackTrendStrategy (class in quaver.strategies.pullback_trend)

Q

quantity (quaver.backtest.portfolio.OpenPosition attribute) (quaver.backtest.portfolio.TradeRecord attribute) quaver.backtest.data module quaver.backtest.engine module quaver.backtest.multi_engine module quaver.backtest.portfolio module quaver.backtest.result module quaver.backtest.runner module quaver.strategies.base module quaver.strategies.breakout_consolidation module

quaver.strategies.indicators module quaver.strategies.mean_reversion module quaver.strategies.pairs_mean_reversion module quaver.strategies.pullback_trend module quaver.strategies.regime_mean_reversion module quaver.strategies.registry module quaver.strategies.reversal_support module quaver.strategies.vsa_stopping_volume module quaver.types module

R

recovery_factor (quaver.backtest.result.BacktestResult property) RegimeMeanReversionStrategy (class in quaver.strategies.regime_mean_reversion) register() (quaver.strategies.registry.StrategyRegistry class method) reset() (quaver.backtest.portfolio.Portfolio method) ReversalSupportStrategy (class in quaver.strategies.reversal_support) rolling_max() (in module quaver.strategies.indicators)

rolling_min() (in module quaver.strategies.indicators) rolling_percentile() (in module quaver.strategies.indicators) rsi() (in module quaver.strategies.indicators) run() (quaver.backtest.engine.BacktestEngine method) (quaver.backtest.multi_engine.MultiAssetBacktestEngine method) run_backtest() (in module quaver.backtest.runner) run_multi_asset_backtest() (in module quaver.backtest.runner)

S

sectors (quaver.strategies.base.UniverseFilter attribute) SELL (quaver.types.SignalDirection attribute) sell_price() (quaver.backtest.portfolio.SlippageConfig method) sharpe_ratio (quaver.backtest.result.BacktestResult property) SIGNAL (quaver.types.ExitReason attribute) SignalDirection (class in quaver.types) SignalOutput (class in quaver.strategies.base) signals (quaver.strategies.base.MultiAssetStrategyOutput attribute) SignalStrength (class in quaver.types) slippage_cost (quaver.backtest.portfolio.TradeRecord attribute) slippage_pct (quaver.backtest.portfolio.SlippageConfig attribute)

SlippageConfig (class in quaver.backtest.portfolio) slug (quaver.types.EngineInfo attribute) sma() (in module quaver.strategies.indicators) stochastic() (in module quaver.strategies.indicators) STOCK (quaver.types.InstrumentType attribute) STOP_LOSS (quaver.types.ExitReason attribute) stop_loss_pct (quaver.backtest.portfolio.ExitRules attribute) stop_loss_price (quaver.backtest.portfolio.OpenPosition attribute) StrategyRegistry (class in quaver.strategies.registry) STRONG (quaver.types.SignalStrength attribute) summary() (quaver.backtest.result.BacktestResult method)

T

TAKE_PROFIT (quaver.types.ExitReason attribute) take_profit_pct (quaver.backtest.portfolio.ExitRules attribute) take_profit_price (quaver.backtest.portfolio.OpenPosition attribute) TimeFrame (class in quaver.types) total_commission (quaver.backtest.result.BacktestResult property) total_return (quaver.backtest.result.BacktestResult property) total_slippage (quaver.backtest.result.BacktestResult property)

total_trades (quaver.backtest.result.BacktestResult property) TradeRecord (class in quaver.backtest.portfolio) trades (quaver.backtest.result.BacktestResult attribute) TRAILING_STOP (quaver.types.ExitReason attribute) trailing_stop_extreme (quaver.backtest.portfolio.OpenPosition attribute) trailing_stop_pct (quaver.backtest.portfolio.ExitRules attribute) (quaver.backtest.portfolio.OpenPosition attribute) true_range() (in module quaver.strategies.indicators)

U

universe_constraints (quaver.types.EngineInfo attribute)

UniverseFilter (class in quaver.strategies.base) UNKNOWN (quaver.types.InstrumentType attribute)

V

validate_candles() (in module quaver.backtest.data) (quaver.strategies.base.BaseStrategy method) validate_parameters() (quaver.strategies.base.BaseStrategy method) (quaver.strategies.base.MultiAssetStrategy method) (quaver.strategies.breakout_consolidation.BreakoutConsolidationStrategy method) (quaver.strategies.mean_reversion.MeanReversionStrategy method) (quaver.strategies.pairs_mean_reversion.PairsMeanReversionStrategy method) (quaver.strategies.pullback_trend.PullbackTrendStrategy method) (quaver.strategies.regime_mean_reversion.RegimeMeanReversionStrategy method) (quaver.strategies.reversal_support.ReversalSupportStrategy method) (quaver.strategies.vsa_stopping_volume.VSAStoppingVolumeStrategy method)

volume_relative() (in module quaver.strategies.indicators) VSAStoppingVolumeStrategy (class in quaver.strategies.vsa_stopping_volume) vwap() (in module quaver.strategies.indicators)

W

W1 (quaver.types.TimeFrame attribute) WEAK (quaver.types.SignalStrength attribute) wilder_smooth() (in module quaver.strategies.indicators)

win_rate (quaver.backtest.result.BacktestResult property) winloss_base (quaver.strategies.regime_mean_reversion.ProbabilityResult attribute) winloss_regime (quaver.strategies.regime_mean_reversion.ProbabilityResult attribute) winning_trades (quaver.backtest.result.BacktestResult property)