bayesline.api.equity.MovingAverageRSquaredMeasureSettings

pydantic model bayesline.api.equity.MovingAverageRSquaredMeasureSettings

Settings for moving average R-squared measure.

This class defines settings for a moving average R-squared measure, which provides moving average R-squared calculations for time series data.

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{
   "title": "MovingAverageRSquaredMeasureSettings",
   "description": "Settings for moving average R-squared measure.\n\nThis class defines settings for a moving average R-squared measure,\nwhich provides moving average R-squared calculations for time series data.",
   "type": "object",
   "properties": {
      "type": {
         "const": "MovingAverageRSquared",
         "default": "MovingAverageRSquared",
         "title": "Type",
         "type": "string"
      },
      "rescale_bench": {
         "default": true,
         "description": "Rescale the benchmark holdings to sum to the sum of the holdings.",
         "title": "Rescale Bench",
         "type": "boolean"
      },
      "normalize_holdings": {
         "default": true,
         "description": "Make holdings sum to one.",
         "title": "Normalize Holdings",
         "type": "boolean"
      },
      "window": {
         "default": "6mo",
         "description": "The size of the rolling window",
         "title": "Window",
         "type": "string"
      }
   },
   "additionalProperties": false
}

Config:

• frozen: bool = True

• extra: str = forbid

Fields:

• normalize_holdings (bool)

• rescale_bench (bool)

• type (Literal['MovingAverageRSquared'])

• window (str)

field type: Literal['MovingAverageRSquared'] = 'MovingAverageRSquared'

field rescale_bench: bool = True

Rescale the benchmark holdings to sum to the sum of the holdings.

field normalize_holdings: bool = True

Make holdings sum to one.

field window: str = '6mo'

The size of the rolling window