API by Subject

1. Event-Driven Data and Labeling

• data_structures::standard_bars, data_structures::time_bars, data_structures::run_bars, data_structures::imbalance_bars
• filters::cusum_filter_indices, filters::cusum_filter_timestamps, filters::z_score_filter_indices
• labeling::add_vertical_barrier, labeling::get_events, labeling::get_bins, labeling::drop_labels
• sample_weights::get_weights_by_return, sample_weights::get_weights_by_time_decay

2. Sampling, Validation and ML Diagnostics

• sampling::seq_bootstrap, sampling::get_ind_matrix, sampling::get_ind_mat_average_uniqueness
• cross_validation::ml_cross_val_score, cross_validation::ml_get_train_times, cross_validation::PurgedKFold
• feature_importance::mean_decrease_impurity, feature_importance::mean_decrease_accuracy, feature_importance::single_feature_importance
• fingerprint::RegressionModelFingerprint, fingerprint::ClassificationModelFingerprint
• sb_bagging::SequentiallyBootstrappedBaggingClassifier, sb_bagging::SequentiallyBootstrappedBaggingRegressor

3. Position Sizing and Trade Construction

• bet_sizing::bet_size_probability, bet_sizing::bet_size_dynamic, bet_sizing::bet_size_budget, bet_sizing::bet_size_reserve
• bet_sizing::get_target_pos, bet_sizing::limit_price, bet_sizing::discrete_signal
• etf_trick::EtfTrick, etf_trick::get_futures_roll_series

4. Portfolio Construction and Risk

• portfolio_optimization::allocate_inverse_variance, allocate_min_vol, allocate_max_sharpe, allocate_efficient_risk
• portfolio_optimization::AllocationOptions, ReturnsMethod, MeanVariance
• cla::CLA, hrp::HierarchicalRiskParity, hcaa::HierarchicalClusteringAssetAllocation, onc::get_onc_clusters
• RiskMetrics::calculate_value_at_risk, RiskMetrics::calculate_expected_shortfall, RiskMetrics::calculate_conditional_drawdown_risk
• backtest_statistics::sharpe_ratio, backtest_statistics::deflated_sharpe_ratio, backtest_statistics::drawdown_and_time_under_water

5. Market Microstructure, Dependence and Regime Detection

• microstructural_features::get_roll_measure, get_corwin_schultz_estimator, get_bekker_parkinson_vol, MicrostructuralFeaturesGenerator
• codependence::distance_correlation, codependence::get_mutual_info, codependence::variation_of_information_score
• structural_breaks::get_chow_type_stat, get_chu_stinchcombe_white_statistics, get_sadf
• fracdiff::frac_diff, fracdiff::frac_diff_ffd, util::fast_ewma::ewma

Generate Local Rustdoc

cargo doc --no-deps --workspace
# open target/doc/openquant/index.html in your browser