https://github.com/lipskiyp/trading_dashboard
Pandas framework to analyze financial time-series and calculate various performance metrics (e.g. Sharpe Ratio and Max Drawdown Duration).
https://github.com/lipskiyp/trading_dashboard
financial-analysis numpy pandas
Last synced: about 2 months ago
JSON representation
Pandas framework to analyze financial time-series and calculate various performance metrics (e.g. Sharpe Ratio and Max Drawdown Duration).
- Host: GitHub
- URL: https://github.com/lipskiyp/trading_dashboard
- Owner: lipskiyp
- Created: 2023-12-17T16:52:20.000Z (over 2 years ago)
- Default Branch: main
- Last Pushed: 2024-04-01T17:29:11.000Z (about 2 years ago)
- Last Synced: 2025-10-10T23:09:53.945Z (9 months ago)
- Topics: financial-analysis, numpy, pandas
- Language: Python
- Homepage:
- Size: 15.6 KB
- Stars: 0
- Watchers: 1
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
Awesome Lists containing this project
README
# Pandas Trading Dashbaord
Pandas framework to calculate performance metrics for financial time-series.
## Overview
The aim of the project was to design a Pandas framework to analyze financial time-series and calculate various performance metrics (such as Sharpe Ratio and Max Drawdown Duration).
## Example Output
```bash
benchmark ts_1 ts_2
Avg. Price Change 0.06783 -0.062331 -0.092221
Avg. Annual Return 0.190378 -0.144275 -0.209066
CAGR 0.20279 -0.138661 -0.19213
Var 0.009869 0.011089 0.010094
Vol 0.099343 0.105305 0.100471
DownsideVol 0.176494 0.196947 0.198266
UpsideVol 0.011422 0.0177 0.013514
CoVar 0.009869 -0.000021 0.000511
Corr 1.0 -0.001972 0.051221
Skew 0.0 0.00001 0.000009
CoSkew 0.0 -0.000003 0.000004
Kurt 0.000145 0.000228 0.000189
CoKurt 0.000145 -0.000006 0.000016
DD -0.183349 -0.009844 -0.010982
DDur 355 days 00:00:00 7 days 00:00:00 63 days 00:00:00
MaxDD -0.183349 -0.076455 -0.085263
MaxDDur 355 days 00:00:00 101 days 00:00:00 59 days 00:00:00
PainIdx 0.10961 0.018286 0.020202
```
## Requirements
Library requirements can be installed using your preferred package manager, e.g. pip:
```bash
pip3 install -r requirements.txt
```
## Launch
To display the example trading dashboard:
```python
python3 main.py
```
## Folders Overview
### /dashborad/dashboard.py
Contains trading dashboard client example implementation which acts as an interface for metrics services.
### /dashborad/metrics
Contains metrics clients used to calculate metrics for financial time-series.
### /dashborad/timeseries
Contains time-series object for all interactions with the financial time-series.
### /timeseries
Contains random time-series factory.