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dispatch module

Engine-neutral dispatch wrappers for returns functions.

alpha function

alpha(
    returns,
    benchmark_rets,
    ann_factor,
    risk_free=0.0,
    engine=None
)

Engine-neutral alpha_nb().

annualized_return function

annualized_return(
    returns,
    ann_factor,
    engine=None
)

Engine-neutral annualized_return_nb().

annualized_volatility function

annualized_volatility(
    returns,
    ann_factor,
    levy_alpha=2.0,
    ddof=1,
    engine=None
)

Engine-neutral annualized_volatility_nb().

beta function

beta(
    returns,
    benchmark_rets,
    engine=None
)

Engine-neutral beta_nb().

calmar_ratio function

calmar_ratio(
    returns,
    ann_factor,
    engine=None
)

Engine-neutral calmar_ratio_nb().

capture function

capture(
    returns,
    benchmark_rets,
    ann_factor,
    engine=None
)

Engine-neutral capture_nb().

cond_value_at_risk function

cond_value_at_risk(
    returns,
    cutoff=0.05,
    engine=None
)

Engine-neutral cond_value_at_risk_nb().

cum_returns function

cum_returns(
    returns,
    start_value,
    engine=None
)

Engine-neutral cum_returns_nb().

cum_returns_1d function

cum_returns_1d(
    returns,
    start_value,
    engine=None
)

Engine-neutral cum_returns_1d_nb().

cum_returns_final function

cum_returns_final(
    returns,
    start_value=0.0,
    engine=None
)

Engine-neutral cum_returns_final_nb().

cum_returns_final_1d function

cum_returns_final_1d(
    returns,
    start_value=0.0,
    engine=None
)

Engine-neutral cum_returns_final_1d_nb().

down_capture function

down_capture(
    returns,
    benchmark_rets,
    ann_factor,
    engine=None
)

Engine-neutral down_capture_nb().

downside_risk function

downside_risk(
    returns,
    ann_factor,
    required_return=0.0,
    engine=None
)

Engine-neutral downside_risk_nb().

drawdown function

drawdown(
    returns,
    engine=None
)

Engine-neutral drawdown_nb().

get_return function

get_return(
    input_value,
    output_value,
    engine=None
)

Engine-neutral get_return_nb().

information_ratio function

information_ratio(
    returns,
    benchmark_rets,
    ddof=1,
    engine=None
)

Engine-neutral information_ratio_nb().

max_drawdown function

max_drawdown(
    returns,
    engine=None
)

Engine-neutral max_drawdown_nb().

omega_ratio function

omega_ratio(
    returns,
    ann_factor,
    risk_free=0.0,
    required_return=0.0,
    engine=None
)

Engine-neutral omega_ratio_nb().

returns function

returns(
    value,
    init_value,
    engine=None
)

Engine-neutral returns_nb().

returns_1d function

returns_1d(
    value,
    init_value,
    engine=None
)

Engine-neutral returns_1d_nb().

returns_init_value_compatible_with_rust function

returns_init_value_compatible_with_rust(
    value,
    init_value
)

Return whether init_value matches the number of columns in value.

rolling_alpha function

rolling_alpha(
    returns,
    window,
    minp,
    benchmark_rets,
    ann_factor,
    risk_free=0.0,
    engine=None
)

Engine-neutral rolling_alpha_nb().

rolling_annualized_return function

rolling_annualized_return(
    returns,
    window,
    minp,
    ann_factor,
    engine=None
)

Engine-neutral rolling_annualized_return_nb().

rolling_annualized_volatility function

rolling_annualized_volatility(
    returns,
    window,
    minp,
    ann_factor,
    levy_alpha=2.0,
    ddof=1,
    engine=None
)

Engine-neutral rolling_annualized_volatility_nb().

rolling_beta function

rolling_beta(
    returns,
    window,
    minp,
    benchmark_rets,
    engine=None
)

Engine-neutral rolling_beta_nb().

rolling_calmar_ratio function

rolling_calmar_ratio(
    returns,
    window,
    minp,
    ann_factor,
    engine=None
)

Engine-neutral rolling_calmar_ratio_nb().

rolling_capture function

rolling_capture(
    returns,
    window,
    minp,
    benchmark_rets,
    ann_factor,
    engine=None
)

Engine-neutral rolling_capture_nb().

rolling_cond_value_at_risk function

rolling_cond_value_at_risk(
    returns,
    window,
    minp,
    cutoff=0.05,
    engine=None
)

Engine-neutral rolling_cond_value_at_risk_nb().

rolling_cum_returns_final function

rolling_cum_returns_final(
    returns,
    window,
    minp,
    start_value=0.0,
    engine=None
)

Engine-neutral rolling_cum_returns_final_nb().

rolling_down_capture function

rolling_down_capture(
    returns,
    window,
    minp,
    benchmark_rets,
    ann_factor,
    engine=None
)

Engine-neutral rolling_down_capture_nb().

rolling_downside_risk function

rolling_downside_risk(
    returns,
    window,
    minp,
    ann_factor,
    required_return=0.0,
    engine=None
)

Engine-neutral rolling_downside_risk_nb().

rolling_information_ratio function

rolling_information_ratio(
    returns,
    window,
    minp,
    benchmark_rets,
    ddof=1,
    engine=None
)

Engine-neutral rolling_information_ratio_nb().

rolling_max_drawdown function

rolling_max_drawdown(
    returns,
    window,
    minp,
    engine=None
)

Engine-neutral rolling_max_drawdown_nb().

rolling_omega_ratio function

rolling_omega_ratio(
    returns,
    window,
    minp,
    ann_factor,
    risk_free=0.0,
    required_return=0.0,
    engine=None
)

Engine-neutral rolling_omega_ratio_nb().

rolling_sharpe_ratio function

rolling_sharpe_ratio(
    returns,
    window,
    minp,
    ann_factor,
    risk_free=0.0,
    ddof=1,
    engine=None
)

Engine-neutral rolling_sharpe_ratio_nb().

rolling_sortino_ratio function

rolling_sortino_ratio(
    returns,
    window,
    minp,
    ann_factor,
    required_return=0.0,
    engine=None
)

Engine-neutral rolling_sortino_ratio_nb().

rolling_tail_ratio function

rolling_tail_ratio(
    returns,
    window,
    minp,
    engine=None
)

Engine-neutral rolling_tail_ratio_nb().

rolling_up_capture function

rolling_up_capture(
    returns,
    window,
    minp,
    benchmark_rets,
    ann_factor,
    engine=None
)

Engine-neutral rolling_up_capture_nb().

rolling_value_at_risk function

rolling_value_at_risk(
    returns,
    window,
    minp,
    cutoff=0.05,
    engine=None
)

Engine-neutral rolling_value_at_risk_nb().

sharpe_ratio function

sharpe_ratio(
    returns,
    ann_factor,
    risk_free=0.0,
    ddof=1,
    engine=None
)

Engine-neutral sharpe_ratio_nb().

sortino_ratio function

sortino_ratio(
    returns,
    ann_factor,
    required_return=0.0,
    engine=None
)

Engine-neutral sortino_ratio_nb().

tail_ratio function

tail_ratio(
    returns,
    engine=None
)

Engine-neutral tail_ratio_nb().

up_capture function

up_capture(
    returns,
    benchmark_rets,
    ann_factor,
    engine=None
)

Engine-neutral up_capture_nb().

value_at_risk function

value_at_risk(
    returns,
    cutoff=0.05,
    engine=None
)

Engine-neutral value_at_risk_nb().