Momentum

systematica.api.reports.momentum

AverageMomentumFactorCVReport

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

Breakdown analysis for average momentum factor cv model, extending BaseReportCV.

Method generated by attrs for class BaseReportCV.

Ancestors

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

MomentumFactorCVReport

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

Breakdown analysis for momentum factor cv model, extending BaseReportCV.

Method generated by attrs for class BaseReportCV.

Ancestors

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

RollingAverageMomentumFactorReport

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

Breakdown analysis for rolling average momentum factor model, extending BaseRollingReport.

Method generated by attrs for class BaseRollingReport.

Ancestors

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

RollingMomentumFactorReport

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

Breakdown analysis for rolling momentum factor model, extending BaseRollingReport.

Method generated by attrs for class BaseRollingReport.

Ancestors

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