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7,046 changes: 7,046 additions & 0 deletions docs-site/package-lock.json

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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/adapters.md
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description: "Polars DataFrame adapters for signals, events, weights, backtest curves, and streaming buffers."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/backtest-statistics.md
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description: "Performance diagnostics for strategy returns and position trajectories."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/backtesting-engine.md
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description: "Backtesting core with walk-forward, purged CV, and combinatorial purged CV (CPCV) workflows."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/bet-sizing.md
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description: "Transforms model confidence and constraints into executable position sizes."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/cla.md
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description: "Critical Line Algorithm implementation for constrained mean-variance optimization."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/codependence.md
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description: "Dependence metrics beyond linear correlation for feature and asset relationships."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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Expand Up @@ -3,7 +3,7 @@ title: "combinatorial_optimization"
description: "AFML Chapter 21 integer-encoded optimization and trajectory state-space tooling with exact baselines and solver adapters."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/cross-validation.md
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description: "Purged cross-validation utilities designed for label overlap and leakage control."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/data-structures.md
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description: "Constructs standard/time/run/imbalance bars from trade streams."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/data.md
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description: "OHLCV loading, cleaning, calendar alignment, and data quality reporting."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/ef3m.md
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description: "Moment-based mixture fitting utilities for two-normal components."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/ensemble-methods.md
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description: "Bias/variance diagnostics and practical bagging-vs-boosting ensemble utilities."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/etf-trick.md
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description: "Synthetic ETF and futures roll utilities for realistic PnL path construction."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/feature-diagnostics.md
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description: "Feature importance diagnostics: MDI, MDA, SFI, PCA orthogonalization, and substitution-effect analysis."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/feature-importance.md
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description: "Feature ranking methods: MDI, MDA, and single-feature importance with PCA diagnostics."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/filters.md
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description: "CUSUM and z-score event filters for event-driven sampling."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/fingerprint.md
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Expand Up @@ -3,7 +3,7 @@ title: "fingerprint"
description: "Model fingerprinting for linear, non-linear, and pairwise feature effects."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/fracdiff.md
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description: "Fractional differentiation to improve stationarity while retaining memory."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/hcaa.md
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Expand Up @@ -3,7 +3,7 @@ title: "hcaa"
description: "Hierarchical Clustering Asset Allocation variant with cluster-level constraints."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/hpc-parallel.md
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Expand Up @@ -3,7 +3,7 @@ title: "hpc_parallel"
description: "AFML Chapter 20 atom/molecule execution utilities with serial/threaded modes and partition diagnostics."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/hrp.md
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description: "Hierarchical Risk Parity allocation with recursive bisection."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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Expand Up @@ -3,7 +3,7 @@ title: "hyperparameter_tuning"
description: "Leakage-aware grid/randomized hyper-parameter search with purged CV and weighted scoring."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/index.md
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Expand Up @@ -3,7 +3,7 @@ title: "Module Reference Index"
description: "Full OpenQuant module documentation index with AFML-aligned summaries."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/labeling.md
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Expand Up @@ -3,7 +3,7 @@ title: "labeling"
description: "Triple-barrier event labeling and metadata generation."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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Expand Up @@ -3,7 +3,7 @@ title: "microstructural_features"
description: "Price-impact, spread, entropy, and flow toxicity estimators."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/onc.md
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Expand Up @@ -3,7 +3,7 @@ title: "onc"
description: "Optimal Number of Clusters utilities for clustering stability and allocation workflows."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/pipeline.md
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Expand Up @@ -3,7 +3,7 @@ title: "pipeline"
description: "End-to-end AFML research pipeline: events → signals → portfolio → risk → backtest with leakage checks."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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Expand Up @@ -3,7 +3,7 @@ title: "portfolio_optimization"
description: "Mean-variance and constrained allocation methods with ergonomic APIs."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/research.md
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Expand Up @@ -3,7 +3,7 @@ title: "research"
description: "Synthetic dataset generation and flywheel research iteration with cost modeling and promotion gates."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/risk-metrics.md
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Expand Up @@ -3,7 +3,7 @@ title: "risk_metrics"
description: "Portfolio and return-distribution risk measures for downside control."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/sample-weights.md
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Expand Up @@ -3,7 +3,7 @@ title: "sample_weights"
description: "Sample weighting utilities for overlapping event structure."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/sampling.md
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Expand Up @@ -3,7 +3,7 @@ title: "sampling"
description: "Indicator matrix and sequential bootstrap tooling."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/sb-bagging.md
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Expand Up @@ -3,7 +3,7 @@ title: "sb_bagging"
description: "Sequentially bootstrapped bagging classifiers/regressors."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/strategy-risk.md
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Expand Up @@ -3,7 +3,7 @@ title: "strategy_risk"
description: "AFML Chapter 15 strategy-viability diagnostics based on precision, payout asymmetry, and bet frequency."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/streaming-hpc.md
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Expand Up @@ -3,7 +3,7 @@ title: "streaming_hpc"
description: "AFML Chapter 22 streaming analytics utilities for low-latency early-warning metrics with bounded-memory incremental state."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/structural-breaks.md
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Expand Up @@ -3,7 +3,7 @@ title: "structural_breaks"
description: "Regime change and bubble diagnostics (Chow, CUSUM variants, SADF)."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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Expand Up @@ -3,7 +3,7 @@ title: "synthetic_backtesting"
description: "Synthetic-data OTR backtesting with O-U calibration, PT/SL mesh search, and stability diagnostics."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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2 changes: 1 addition & 1 deletion docs-site/src/content/docs/modules/util-fast-ewma.md
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Expand Up @@ -3,7 +3,7 @@ title: "util::fast_ewma"
description: "Fast EWMA primitive shared across feature and volatility routines."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
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12 changes: 6 additions & 6 deletions docs-site/src/content/docs/modules/util-volatility.md
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Expand Up @@ -3,7 +3,7 @@ title: "util::volatility"
description: "Volatility estimators used across labeling and risk workflows."
status: generated
generated_from: src/data/moduleDocs.ts
last_generated: '2026-08-30'
last_generated: '2026-08-31'
banner:
content: '<span class="doc-status doc-status--generated">Generated</span> Assembled automatically from <code>moduleDocs.ts</code>. No human has reviewed this page.'
audience:
Expand All @@ -13,7 +13,7 @@ module: "util::volatility"
api_surface: "both"
rust_api:
- "get_daily_vol"
- "get_parksinson_vol"
- "get_parkinson_vol"
- "get_garman_class_vol"
- "get_yang_zhang_vol"
sidebar:
Expand Down Expand Up @@ -50,7 +50,7 @@ where $\sigma_o^2$ is the overnight (close-to-open) variance, $\sigma_c^2$ the o

```rust
use chrono::{Duration, NaiveDateTime};
use openquant::util::volatility::{get_daily_vol, get_parksinson_vol};
use openquant::util::volatility::{get_daily_vol, get_parkinson_vol};

let t0 = NaiveDateTime::parse_from_str("2024-01-02 00:00:00", "%Y-%m-%d %H:%M:%S")?;
let close: Vec<(NaiveDateTime, f64)> = (0..300)
Expand All @@ -62,7 +62,7 @@ let low: Vec<f64> = close.iter().map(|(_, p)| p - 0.4).collect();
// Close-to-close EWMA vol on a timestamped series; `lookback` is the EWMA span.
let daily = get_daily_vol(&close, 100);
// Parkinson uses the high/low range, so it needs no timestamps — `window` bars.
let parkinson = get_parksinson_vol(&high, &low, 20);
let parkinson = get_parkinson_vol(&high, &low, 20);

println!("daily vol tail = {:?}", daily.last());
println!("parkinson vol tail = {:?}", parkinson.last());
Expand All @@ -73,14 +73,14 @@ println!("parkinson vol tail = {:?}", parkinson.last());
### Python API

- `volatility.get_daily_vol`
- `volatility.get_parksinson_vol`
- `volatility.get_parkinson_vol`
- `volatility.get_garman_class_vol`
- `volatility.get_yang_zhang_vol`

### Rust API

- `get_daily_vol`
- `get_parksinson_vol`
- `get_parkinson_vol`
- `get_garman_class_vol`
- `get_yang_zhang_vol`

Expand Down
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