Index

_

__eq__() (Hashabledict method) __hash__() (Hashabledict method) __init__() (AbstractPool method) (AntiMomentumPool method) (BalancerPool method) (BestParamsTracker method) (CowPool method) (CycleEvaluation method) (DifferenceMomentumPool method) (EvaluationResult method) (ExistingRunnerWrapper method) (FunctionWrapper method) (GyroscopePool method) (HashableArrayWrapper method) (HODLPool method) (HyperparamSpace method) (HyperparamTuner method) (MeanReversionChannelPool method) (MinVariancePool method) (MomentumPool method) (MultiPeriodResult method) (NestedHashabledict method) (OptunaManager method) (OptunaRange method) (ParamSpec method) (PeriodSpec method) (PowerChannelPool method) (RandomBaselineWrapper method) (TFMMBasePool method) (TrainerWrapper method) (TrainingEvaluator method) (TripleThreatMeanReversionChannelPool method) (TuningResult method) (WalkForwardCycle method)

__key() (Hashabledict method)

A

AbstractPool (class in quantammsim.pools) add_noise() (AbstractPool method) adjusted_mean_oos_sharpe (EvaluationResult attribute) adjusted_oos_sharpe (CycleEvaluation attribute) aggregate_rademacher (EvaluationResult attribute) AGGREGATORS (in module quantammsim.runners.metric_extraction) all_trials (TuningResult attribute) allocate_memory_budget() (in module quantammsim.runners.jax_runner_utils) AMM (Automated Market Maker)

Amplitude AntiMomentumPool (class in quantammsim.pools) append_json() (in module quantammsim.core_simulator.result_exporter) append_list_json() (in module quantammsim.core_simulator.result_exporter) apply_memory_allocation() (in module quantammsim.runners.jax_runner_utils) Arb Arb Frequency Arbitrage auto_configure_memory_params() (in module quantammsim.runners.jax_runner_utils)

B

BalancerPool (class in quantammsim.pools) Batch Size best_evaluation (TuningResult attribute) best_params (MultiPeriodResult attribute) (TuningResult attribute)

best_value (TuningResult attribute) BestParamsTracker (class in quantammsim.runners.jax_runner_utils) Bout Offset Burn-in

C

calc_alt_lamb() (in module quantammsim.core_simulator.param_utils) calc_ewma_pair() (in module quantammsim.pools.G3M.quantamm.update_rule_estimators.estimators) calc_gradients() (in module quantammsim.pools.G3M.quantamm.update_rule_estimators.estimators) calc_hessian_from_loaded_params() (in module quantammsim.core_simulator.param_utils) calc_lamb() (in module quantammsim.core_simulator.param_utils) calc_lamb_from_index() (in module quantammsim.core_simulator.param_utils) calc_return_variances() (in module quantammsim.pools.G3M.quantamm.update_rule_estimators.estimators) calculate_all_signature_variations() (TFMMBasePool method) calculate_coarse_weight_step() (TFMMBasePool method) calculate_final_weights() (TFMMBasePool method) calculate_fine_weights() (MinVariancePool method), [1] (MomentumPool method), [1] (TFMMBasePool method) calculate_fine_weights_step() (TFMMBasePool method) calculate_initial_weights() (AbstractPool method) (CowPool method) calculate_readouts() (MomentumPool method) (TFMMBasePool method) calculate_reserves_with_dynamic_inputs() (AbstractPool method), [1] (BalancerPool method) (CowPool method) (GyroscopePool method) (HODLPool method) (TFMMBasePool method) calculate_reserves_with_fees() (AbstractPool method), [1] (BalancerPool method) (CowPool method) (GyroscopePool method) (HodlingIndexPool method) (HODLPool method) (TFMMBasePool method) (TradHodlingIndexPool method) calculate_reserves_zero_fees() (AbstractPool method), [1] (BalancerPool method) (CowPool method) (GyroscopePool method) (HodlingIndexPool method) (HODLPool method) (TFMMBasePool method) (TradHodlingIndexPool method) calculate_rule_output_step() (MeanReversionChannelPool method) (MomentumPool method) (PowerChannelPool method) (TFMMBasePool method) calculate_rule_outputs() (AntiMomentumPool method), [1] (DifferenceMomentumPool method), [1] (MeanReversionChannelPool method), [1] (MinVariancePool method), [1] (MomentumPool method), [1] (PowerChannelPool method), [1] (TFMMBasePool method) (TripleThreatMeanReversionChannelPool method)

calculate_rule_outputs_scan() (TFMMBasePool method) calculate_weights() (AbstractPool method) (GyroscopePool method) (HODLPool method) (MinVariancePool method) (MomentumPool method) (TFMMBasePool method) calculate_weights_direct() (TFMMBasePool method) calculate_weights_hybrid() (TFMMBasePool method) calculate_weights_scan() (TFMMBasePool method) calculate_weights_vectorized() (TFMMBasePool method) CFMM (Constant Function Market Maker) Channel Width check_run_fingerprint() (in module quantammsim.core_simulator.param_utils) Chunk Period Coarse Weights combine_param_combinations() (in module quantammsim.core_simulator.param_utils) COMMON_PARAM_SCHEMA (in module quantammsim.core_simulator.param_schema) compare_trainers() (in module quantammsim.runners.training_evaluator) compute_empirical_rademacher() (in module quantammsim.runners.robust_walk_forward) compute_rademacher_haircut() (in module quantammsim.runners.robust_walk_forward) compute_selection_metric() (in module quantammsim.runners.jax_runner_utils) compute_walk_forward_efficiency() (in module quantammsim.runners.robust_walk_forward) config (TrainerWrapper property) convert_parameter_values() (in module quantammsim.core_simulator.param_utils) CoW AMM (Coincidence of Wants AMM) CowPool (class in quantammsim.pools) create() (HyperparamSpace class method) create_daily_unix_array() (in module quantammsim.runners.jax_runner_utils) create_hooked_pool_instance() (in module quantammsim.pools.creator) create_multi_objective() (in module quantammsim.runners.hyperparam_tuner) create_multi_period_training_step() (in module quantammsim.runners.multi_period_sgd) create_objective() (in module quantammsim.runners.hyperparam_tuner) create_pool() (in module quantammsim.pools.creator) create_product_of_arrays() (in module quantammsim.core_simulator.param_utils) create_product_of_linspaces() (in module quantammsim.core_simulator.param_utils) create_static_dict() (in module quantammsim.runners.jax_runner_utils) create_time_step() (in module quantammsim.runners.jax_runner_utils) create_trial_params() (in module quantammsim.runners.jax_runner_utils) CYCLE_METRICS (in module quantammsim.runners.metric_extraction) cycle_number (CycleEvaluation attribute) (WalkForwardCycle attribute) CycleEvaluation (class in quantammsim.runners.training_evaluator) cycles (EvaluationResult attribute)

D

daily_log_sharpe datetime_to_timestamp() (in module quantammsim.runners.robust_walk_forward) default_adam_space() (HyperparamSpace class method) default_multi_period_space() (HyperparamSpace class method) default_set() (in module quantammsim.core_simulator.param_utils) default_set_or_get() (in module quantammsim.core_simulator.param_utils) default_sgd_space() (HyperparamSpace class method)

description (ParamSpec attribute) dict_of_jnp_to_list() (in module quantammsim.core_simulator.param_utils) dict_of_jnp_to_np() (in module quantammsim.core_simulator.param_utils) dict_of_np_to_jnp() (in module quantammsim.core_simulator.param_utils) DifferenceMomentumPool (class in quantammsim.pools) do_run_on_historic_data() (in module quantammsim.runners.jax_runners) do_run_on_historic_data_with_provided_coarse_weights() (in module quantammsim.runners.jax_runners)

E

Early Stopping early_stopping_callback() (OptunaManager method) ECLP (Elliptic Concentrated Liquidity Pool) effectiveness_reasons (EvaluationResult attribute) Ensemble Training epochs_trained (CycleEvaluation attribute) (MultiPeriodResult attribute)

evaluate() (TrainingEvaluator method) evaluate_iter() (TrainingEvaluator method) EvaluationResult (class in quantammsim.runners.training_evaluator) EWMA (Exponentially Weighted Moving Average) ExistingRunnerWrapper (class in quantammsim.runners.training_evaluator) extend_parameters() (AbstractPool method) extract_cycle_metric() (in module quantammsim.runners.metric_extraction)

F

fill_in_missing_values_from_init() (in module quantammsim.core_simulator.param_utils) fill_in_missing_values_from_init_singleton() (in module quantammsim.core_simulator.param_utils) filter_coarse_weights_by_data_indices() (in module quantammsim.core_simulator.windowing_utils) filter_reserves_by_data_indices() (in module quantammsim.core_simulator.windowing_utils) filter_reserves_by_given_timestamp() (in module quantammsim.core_simulator.windowing_utils) final_objective (MultiPeriodResult attribute) find_best_balanced_solution() (in module quantammsim.runners.jax_runner_utils)

Fine Weights for_cycle_duration() (HyperparamSpace class method) Forward Pass forward_pass() (in module quantammsim.core_simulator.forward_pass) forward_pass_nograd() (in module quantammsim.core_simulator.forward_pass) from_function() (TrainingEvaluator class method) from_runner() (TrainingEvaluator class method) FunctionWrapper (class in quantammsim.runners.training_evaluator)

G

G3M (Generalised Mean Market Maker) generate_ensemble_samples() (in module quantammsim.utils.sampling) generate_evaluation_points() (in module quantammsim.runners.jax_runner_utils) generate_param_space_samples() (in module quantammsim.utils.sampling) generate_params_combinations() (in module quantammsim.core_simulator.param_utils) generate_period_specs() (in module quantammsim.runners.multi_period_sgd) generate_run_fingerprint_combinations() (in module quantammsim.core_simulator.param_utils) generate_walk_forward_cycles() (in module quantammsim.runners.robust_walk_forward) get_best_balanced_solution() (in module quantammsim.runners.jax_runner_utils) get_indices() (in module quantammsim.core_simulator.windowing_utils) get_initial_guardrail_state() (TFMMBasePool method) get_initial_rule_state() (MomentumPool method) (TFMMBasePool method) get_log_amplitude() (in module quantammsim.core_simulator.param_utils) get_metric_from_result() (in module quantammsim.runners.metric_extraction)

get_objective_scalar() (in module quantammsim.core_simulator.param_utils) get_optuna_range() (in module quantammsim.core_simulator.param_schema) get_param_schema() (MeanReversionChannelPool class method) (MomentumPool class method) (PowerChannelPool class method) get_param_value() (in module quantammsim.core_simulator.param_schema) get_raw_value() (in module quantammsim.core_simulator.param_utils) get_results() (BestParamsTracker method) get_run_location() (in module quantammsim.core_simulator.param_utils) (in module quantammsim.core_simulator.result_exporter) (in module quantammsim.runners.jax_runner_utils) get_sig_variations() (in module quantammsim.runners.jax_runner_utils) get_trades_and_fees() (in module quantammsim.runners.jax_runner_utils) get_unique_tokens() (in module quantammsim.runners.jax_runner_utils) GyroscopePool (class in quantammsim.pools)

H

has_nan_grads() (in module quantammsim.runners.jax_runner_utils) has_nan_params() (in module quantammsim.runners.jax_runner_utils) HashableArrayWrapper (class in quantammsim.runners.jax_runner_utils) Hashabledict (class in quantammsim.runners.jax_runner_utils) high (OptunaRange attribute)

HodlingIndexPool (class in quantammsim.pools) HODLPool (class in quantammsim.pools) Hook HyperparamSpace (class in quantammsim.runners.hyperparam_tuner) HyperparamTuner (class in quantammsim.runners.hyperparam_tuner)

I

In-Sample (IS) init_base_parameters() (AbstractPool method) (BalancerPool method) (CowPool method) (DifferenceMomentumPool method) (GyroscopePool method) (HODLPool method) (MeanReversionChannelPool method) (MinVariancePool method) (MomentumPool method) (PowerChannelPool method) (TripleThreatMeanReversionChannelPool method) init_parameters() (AbstractPool method) init_params() (in module quantammsim.core_simulator.param_utils) init_params_singleton() (in module quantammsim.core_simulator.param_utils)

initial (ParamSpec attribute) inverse_squareplus() (in module quantammsim.core_simulator.param_utils) inverse_squareplus_np() (in module quantammsim.core_simulator.param_utils) invert_permutation() (in module quantammsim.runners.jax_runner_utils) IS-OOS Gap is_effective (EvaluationResult attribute) is_oos_gap (CycleEvaluation attribute) is_returns_over_hodl (CycleEvaluation attribute) is_sharpe (CycleEvaluation attribute) is_trainable() (AbstractPool method) (BalancerPool method) (CowPool method), [1] (GyroscopePool method) (HODLPool method) (TFMMBasePool method)

J

jax_logit_lamb_to_lamb() (in module quantammsim.core_simulator.param_utils)

jax_memory_days_to_lamb() (in module quantammsim.core_simulator.param_utils)

K

k (k_per_day)

L

lamb_to_memory() (in module quantammsim.core_simulator.param_utils) lamb_to_memory_days() (in module quantammsim.core_simulator.param_utils) lamb_to_memory_days_clipped() (in module quantammsim.core_simulator.param_utils) Lambda length (PeriodSpec property) load() (in module quantammsim.core_simulator.param_utils) load_manually() (in module quantammsim.core_simulator.param_utils)

load_or_init() (in module quantammsim.core_simulator.param_utils) load_result_array() (in module quantammsim.core_simulator.param_utils) log_scale (OptunaRange attribute) logger (OptunaManager attribute) logistic_func() (in module quantammsim.core_simulator.param_utils) low (OptunaRange attribute) LP (Liquidity Provider)

M

make_composite_run_params() (in module quantammsim.core_simulator.param_utils) make_log_range_with_zero() (in module quantammsim.core_simulator.param_utils) make_vmap_in_axes() (AbstractPool method) (TFMMBasePool method) make_vmap_in_axes_dict() (in module quantammsim.core_simulator.param_utils) Maximum Change mean_is_oos_gap (EvaluationResult attribute) mean_oos_sharpe (EvaluationResult attribute) mean_returns_over_hodl (MultiPeriodResult attribute) mean_sharpe (MultiPeriodResult attribute) mean_wfe (EvaluationResult attribute) MeanReversionChannelPool (class in quantammsim.pools) Memory Length memory_days_to_lamb() (in module quantammsim.core_simulator.param_utils) memory_days_to_logit_lamb() (in module quantammsim.core_simulator.param_utils) minimal_space() (HyperparamSpace class method) MinVariancePool (class in quantammsim.pools)

module quantammsim.core_simulator.forward_pass quantammsim.core_simulator.param_schema quantammsim.core_simulator.param_utils quantammsim.core_simulator.result_exporter quantammsim.core_simulator.windowing_utils quantammsim.runners.default_run_fingerprint quantammsim.runners.hyperparam_tuner quantammsim.runners.jax_runner_utils quantammsim.runners.jax_runners quantammsim.runners.metric_extraction quantammsim.runners.multi_period_sgd quantammsim.runners.robust_walk_forward quantammsim.runners.training_evaluator quantammsim.utils.sampling MomentumPool (class in quantammsim.pools) multi_period_sgd_training() (in module quantammsim.runners.multi_period_sgd) MultiPeriodResult (class in quantammsim.runners.multi_period_sgd)

N

n_completed (TuningResult attribute) n_failed (TuningResult attribute) n_pruned (TuningResult attribute) n_trials (TuningResult attribute)

name (TrainerWrapper property) nan_param_reinit() (in module quantammsim.runners.jax_runner_utils) nan_rollback() (in module quantammsim.runners.jax_runner_utils) NestedHashabledict (class in quantammsim.runners.jax_runner_utils) NumpyEncoder (class in quantammsim.core_simulator.param_utils)

O

oos_returns_over_hodl (CycleEvaluation attribute) oos_sharpe (CycleEvaluation attribute) optimize() (OptunaManager method) optimized_output_conversion() (in module quantammsim.runners.jax_runner_utils)

optuna (ParamSpec attribute) OptunaManager (class in quantammsim.runners.jax_runner_utils) OptunaRange (class in quantammsim.core_simulator.param_schema) Out-of-Sample (OOS)

P

PARAM_SCHEMA (MeanReversionChannelPool attribute) (MomentumPool attribute) (PowerChannelPool attribute) Parameter Set ParamSpec (class in quantammsim.core_simulator.param_schema) pareto_front (TuningResult attribute) period_id (PeriodSpec attribute) period_returns (MultiPeriodResult attribute) period_returns_over_hodl (MultiPeriodResult attribute) period_sharpes (MultiPeriodResult attribute) PeriodSpec (class in quantammsim.runners.multi_period_sgd)

permute_list_of_params() (in module quantammsim.runners.jax_runner_utils) Pool Value PowerChannelPool (class in quantammsim.pools) Price Noise print_report() (TrainingEvaluator method) probe_max_n_parameter_sets() (in module quantammsim.runners.jax_runner_utils) process_initial_values() (in module quantammsim.core_simulator.param_utils) process_parameters() (AbstractPool class method) (GyroscopePool class method) (MinVariancePool class method) (TFMMBasePool class method)

Q

quantammsim.core_simulator.forward_pass module quantammsim.core_simulator.param_schema module quantammsim.core_simulator.param_utils module quantammsim.core_simulator.result_exporter module quantammsim.core_simulator.windowing_utils module quantammsim.runners.default_run_fingerprint module quantammsim.runners.hyperparam_tuner module

quantammsim.runners.jax_runner_utils module quantammsim.runners.jax_runners module quantammsim.runners.metric_extraction module quantammsim.runners.multi_period_sgd module quantammsim.runners.robust_walk_forward module quantammsim.runners.training_evaluator module quantammsim.utils.sampling module quick_tune() (in module quantammsim.runners.hyperparam_tuner)

R

Rademacher Complexity rademacher_complexity (CycleEvaluation attribute) random_baseline() (TrainingEvaluator class method) RandomBaselineWrapper (class in quantammsim.runners.training_evaluator) raw_fee_like_amounts_to_fee_like_array() (in module quantammsim.core_simulator.windowing_utils) raw_trades_to_trade_array() (in module quantammsim.core_simulator.windowing_utils) recursive_default_set() (in module quantammsim.core_simulator.param_utils) rel_end (PeriodSpec attribute)

rel_start (PeriodSpec attribute) Reserves retrieve_best() (in module quantammsim.core_simulator.param_utils) Return Metric return_val Run Fingerprint run_fingerprint (CycleEvaluation attribute) run_location (CycleEvaluation attribute)

S

sample_in_range() (in module quantammsim.core_simulator.param_schema) save_multi_params() (in module quantammsim.core_simulator.result_exporter) save_optuna_results_sgd_format() (in module quantammsim.core_simulator.result_exporter) save_params() (in module quantammsim.core_simulator.result_exporter) save_results() (OptunaManager method) scalar (OptunaRange attribute) select_param_set() (BestParamsTracker method) setup_study() (OptunaManager method) split_list() (in module quantammsim.runners.jax_runner_utils)

split_param_combinations() (in module quantammsim.core_simulator.param_utils) squareplus() (in module quantammsim.core_simulator.param_utils) std_oos_sharpe (EvaluationResult attribute) std_sharpe (MultiPeriodResult attribute) STE (Straight-Through Estimator) study (OptunaManager attribute) suggest() (HyperparamSpace method) supports_scan_path() (TFMMBasePool method) supports_vectorized_path() (TFMMBasePool method) SWA (Stochastic Weight Averaging)

T

test_end_date (WalkForwardCycle attribute) test_end_idx (WalkForwardCycle attribute) test_start_date (WalkForwardCycle attribute) test_start_idx (WalkForwardCycle attribute) TFMMBasePool (class in quantammsim.pools) timestamp_to_datetime() (in module quantammsim.runners.robust_walk_forward) total_time_seconds (TuningResult attribute) TradHodlingIndexPool (class in quantammsim.pools) train() (ExistingRunnerWrapper method) (FunctionWrapper method) (RandomBaselineWrapper method) (TrainerWrapper method) train_end_date (WalkForwardCycle attribute) train_end_idx (WalkForwardCycle attribute)

train_on_historic_data() (in module quantammsim.runners.jax_runners) train_start_date (WalkForwardCycle attribute) train_start_idx (WalkForwardCycle attribute) trainable (ParamSpec attribute) trained_params (CycleEvaluation attribute) trainer_config (EvaluationResult attribute) trainer_name (EvaluationResult attribute) TrainerWrapper (class in quantammsim.runners.training_evaluator) TrainingEvaluator (class in quantammsim.runners.training_evaluator) transform (ParamSpec attribute) TripleThreatMeanReversionChannelPool (class in quantammsim.pools) tune() (HyperparamTuner method) tune_for_robustness() (in module quantammsim.runners.hyperparam_tuner) TuningResult (class in quantammsim.runners.hyperparam_tuner) Turnover Penalty

U

unpermute_list_of_params() (in module quantammsim.runners.jax_runner_utils)

Update Rule update() (BestParamsTracker method)

W

Walk-Forward Analysis (WFA) Walk-Forward Efficiency (WFE) walk_forward_efficiency (CycleEvaluation attribute) WalkForwardCycle (class in quantammsim.runners.robust_walk_forward) Weight Interpolation

Weight Interpolation Period weights_needs_original_methods() (AbstractPool method) (GyroscopePool method) worst_oos_sharpe (EvaluationResult attribute) worst_sharpe (MultiPeriodResult attribute)