Arbitrage Index

systematica.api.reports.arbitrage_index

ArbitrageIndexReport

ArbitrageIndexReport(
    data: vectorbtpro.data.base.Data,
    s1: str,
    s2: str,
    model: ~BaseStatArb,
    use_close: bool = True,
    freq: str = 'auto',
)

Breakdown analysis for arbitrage index models, extending BaseModelBreakdownCV. Includes methods to compute Kendall’s Tau, determine the best copula, and extract copula parameters.

Method generated by attrs for class BaseReportCV.

Ancestors

• systematica.api.base.BaseReportCV
• systematica.api.base.BaseReportMixin
• abc.ABC

Methods

get_kendall_tau

get_kendall_tau(
    self,
) ‑> pandas.core.series.Series

Compute Kendall’s Tau correlation coefficient for the training data in each split.

Returns:

Type	Description
pd.Series	Series containing Kendall’s Tau values indexed by the test set index.

get_best_copula

get_best_copula(
    self,
) ‑> pandas.core.series.Series

Identify the best-fitting copula for each training dataset in the splits.

Returns:

Type	Description
pd.Series	Series containing the names of the best-fitting copula models, indexed by the test set index.

get_theta

get_theta(
    self,
) ‑> pandas.core.series.Series

Compute the copula parameter (theta) for the best-fitting copula in each training dataset.

Returns:

Type	Description
pd.Series	Series containing the theta parameter values divided by 10, indexed by the test set index.

plot_kendall_tau

plot_kendall_tau(
    self,
    fig: vectorbtpro.utils.figure.FigureWidget = None,
    **layout_kwargs,
) ‑> vectorbtpro.utils.figure.FigureWidget

Plot Kendall’s Tau values.

Parameters:

Name	Type	Default	Description
fig	vbt.FigureWidget	None	Existing figure to update, by default None.
layout_kwargs	tp.Kwargs	--	Additional layout keyword arguments for customization.

Returns:

Type	Description
vbt.FigureWidget	The figure displaying Kendall’s Tau values.

plot_best_copula

plot_best_copula(
    self,
    fig: vectorbtpro.utils.figure.FigureWidget = None,
    **layout_kwargs,
) ‑> vectorbtpro.utils.figure.FigureWidget

Plot the best-fitting copula models.

Parameters:

Name	Type	Default	Description
fig	vbt.FigureWidget	None	Existing figure to update, by default None.
layout_kwargs	tp.Kwargs	--	Additional layout keyword arguments for customization.

Returns:

Type	Description
vbt.FigureWidget	The figure displaying the best-fitting copula models.

plot_theta

plot_theta(
    self,
    fig: vectorbtpro.utils.figure.FigureWidget = None,
    **layout_kwargs,
) ‑> vectorbtpro.utils.figure.FigureWidget

Plot the theta parameter values divided by 10.

Parameters:

Name	Type	Default	Description
fig	vbt.FigureWidget	None	Existing figure to update, by default None.
layout_kwargs	tp.Kwargs	--	Additional layout keyword arguments for customization.

Returns:

Type	Description
vbt.FigureWidget	The figure displaying theta values.