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https://github.com/quantopian/empyrical
Common financial risk and performance metrics. Used by zipline and pyfolio.
https://github.com/quantopian/empyrical
Last synced: 4 days ago
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Common financial risk and performance metrics. Used by zipline and pyfolio.
- Host: GitHub
- URL: https://github.com/quantopian/empyrical
- Owner: quantopian
- License: apache-2.0
- Created: 2016-03-18T10:22:52.000Z (almost 9 years ago)
- Default Branch: master
- Last Pushed: 2024-07-26T06:19:42.000Z (6 months ago)
- Last Synced: 2024-12-31T12:06:22.486Z (11 days ago)
- Language: Python
- Homepage: https://quantopian.github.io/empyrical
- Size: 1.13 MB
- Stars: 1,320
- Watchers: 72
- Forks: 411
- Open Issues: 36
-
Metadata Files:
- Readme: README.md
- License: LICENSE
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README
[](https://travis-ci.org/quantopian/empyrical)
[](https://pypi.org/project/empyrical/)
# empyrical
Common financial risk metrics.
## Table of Contents
- [Installation](#installation)
- [Usage](#usage)
- [Support](#support)
- [Contributing](#contributing)
- [Testing](#testing)
## Installation
```
pip install empyrical
```
## Usage
Simple Statistics
```python
import numpy as np
from empyrical import max_drawdown, alpha_beta
returns = np.array([.01, .02, .03, -.4, -.06, -.02])
benchmark_returns = np.array([.02, .02, .03, -.35, -.05, -.01])
# calculate the max drawdown
max_drawdown(returns)
# calculate alpha and beta
alpha, beta = alpha_beta(returns, benchmark_returns)
```
Rolling Measures
```python
import numpy as np
from empyrical import roll_max_drawdown
returns = np.array([.01, .02, .03, -.4, -.06, -.02])
# calculate the rolling max drawdown
roll_max_drawdown(returns, window=3)
```
Pandas Support
```python
import pandas as pd
from empyrical import roll_up_capture, capture
returns = pd.Series([.01, .02, .03, -.4, -.06, -.02])
# calculate a capture ratio
capture(returns)
# calculate capture for up markets on a rolling 60 day basis
roll_up_capture(returns, window=60)
```
## Support
Please [open an issue](https://github.com/quantopian/empyrical/issues/new) for support.
### Deprecated: Data Reading via `pandas-datareader`
As of early 2018, Yahoo Finance has suffered major API breaks with no stable
replacement, and the Google Finance API has not been stable since late 2017
[(source)](https://github.com/pydata/pandas-datareader/blob/da18fbd7621d473828d7fa81dfa5e0f9516b6793/README.rst).
In recent months it has become a greater and greater strain on the `empyrical`
development team to maintain support for fetching data through
`pandas-datareader` and other third-party libraries, as these APIs are known to
be unstable.
As a result, all `empyrical` support for data reading functionality has been
deprecated and will be removed in a future version.
Users should beware that the following functions are now deprecated:
- `empyrical.utils.cache_dir`
- `empyrical.utils.data_path`
- `empyrical.utils.ensure_directory`
- `empyrical.utils.get_fama_french`
- `empyrical.utils.load_portfolio_risk_factors`
- `empyrical.utils.default_returns_func`
- `empyrical.utils.get_symbol_returns_from_yahoo`
Users should expect regular failures from the following functions, pending
patches to the Yahoo or Google Finance API:
- `empyrical.utils.default_returns_func`
- `empyrical.utils.get_symbol_returns_from_yahoo`
## Contributing
Please contribute using [Github Flow](https://guides.github.com/introduction/flow/). Create a branch, add commits, and [open a pull request](https://github.com/quantopian/empyrical/compare/).
## Testing
- install requirements
- "nose>=1.3.7",
- "parameterized>=0.6.1"
```
./runtests.py
```