empyrical

Common financial risk metrics.

Source location

Hosted on GitHub: https://github.com/quantopian/empyrical

Installation

pip install empyrical

Usage

Simple Statistics

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

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

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 for support.

Contributing

Please contribute using Github Flow. Create a branch, add commits, and open a pull request.

Testing

  • install requirements
  • “nose>=1.3.7”,
  • “parameterized>=0.6.1”
python -m unittest

Documentation

To build this documentation requires sphinx

cd docs
make_docs.bat

Indices and tables