pipefolio.enums

Classes

DataPeriod	Enum for periodicity of data.
SelectMode	Enum for selection modes.
OptimizeObjective	Enum for optimization objectives.
RiskMetric	Enum for risk metrics.

Module Contents

class pipefolio.enums.DataPeriod(*args, **kwds)

Bases: enum.Enum

Enum for periodicity of data.

DAILY

Daily periodicity.

WEEKLY

Weekly periodicity.

MONTHLY

Monthly periodicity.

QUARTERLY

Quarterly periodicity.

YEARLY

Yearly periodicity.

DAILY = 'daily'

WEEKLY = 'weekly'

MONTHLY = 'monthly'

QUARTERLY = 'quarterly'

YEARLY = 'yearly'

class pipefolio.enums.SelectMode(*args, **kwds)

Bases: enum.Enum

Enum for selection modes.

LARGEST

Select the largest values.

SMALLEST

Select the smallest values.

LARGEST

SMALLEST

class pipefolio.enums.OptimizeObjective(*args, **kwds)

Bases: enum.Enum

Enum for optimization objectives.

MINIMIZE_RISK

Minimize risk.

MAXIMIZE_RETURN

Maximize return.

MAXIMIZE_UTILITY

Maximize utility (return minus risk).

MAXIMIZE_RATIO

Maximize the ratio of return to risk.

MINIMIZE_RISK

MAXIMIZE_RETURN

MAXIMIZE_UTILITY

MAXIMIZE_RATIO

class pipefolio.enums.RiskMetric(*args, **kwds)

Bases: enum.Enum

Enum for risk metrics.

VARIANCE

Variance

SEMI_VARIANCE

Semi-variance

STANDARD_DEVIATION

Standard deviation

SEMI_DEVIATION

Semi-deviation

MEAN_ABSOLUTE_DEVIATION

Mean absolute deviation

CVAR

Conditional value at risk

CDAR

Conditional drawdown at risk

WORST_REALIZATION

Worst realization

MAX_DRAWDOWN

Maximum drawdown

AVERAGE_DRAWDOWN

Average drawdown

VARIANCE

SEMI_VARIANCE

STANDARD_DEVIATION

SEMI_DEVIATION

MEAN_ABSOLUTE_DEVIATION

CVAR

CDAR

WORST_REALIZATION

MAX_DRAWDOWN

AVERAGE_DRAWDOWN