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quantopian avatar

quantopian/pyfolio

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View on GitHub↗
6,333 stars·1,885 forks·Jupyter Notebook·Apache-2.0·7 vuesquantopian.github.io/pyfolio↗

Pyfolio

Portfolio and risk analytics in Python

Features

  • Fama-French Factor Exposures - Computes risk decomposition using Fama-French factor regressions and rolling beta estimations.
  • Strategy Evaluations - Assesses algorithmic trading strategy effectiveness through comprehensive tear sheets and visual analytics.
  • Portfolio Return Distributions - Models portfolio return distributions with Bayesian statistics to quantify uncertainty in performance metrics.
  • Trading Algorithm Reports - Produces comprehensive sets of plots and metrics summarizing trading algorithm performance and risk.
  • Portfolio Performance Metrics - Analyzes historical portfolio returns and risk metrics to evaluate trading strategy performance.
  • Portfolio Risk Metrics - Monitors and manages portfolio risk exposure using standard financial metrics like Sharpe ratio and drawdown.
  • Bayesian Portfolio Uncertainty - Applies Bayesian statistics to measure uncertainty in portfolio metrics for probabilistic risk insights.
  • Pandas Vectorized Operations - Leverages pandas DataFrame operations for all return calculations, factor exposures, and rolling risk metrics.
  • Plotting Compositions - Separates visualization logic into standalone functions for flexible composition of matplotlib figures.
  • Trading Day Alignments - Aligns portfolio returns with market calendar data to handle trading day irregularities.
  • Quantitative Workflow Orchestrators - Supports quantitative analysts in backtesting and refining trading models with reproducible performance reports.
  • Portfolio Uncertainty Reports - Generates probabilistic performance analyses using Bayesian statistics to quantify uncertainty in portfolio metrics.
  • Report Orchestrations - Assembles multiple independent analytical modules into a single report by orchestrating plot and metric generation.
  • Data Processing & Analysis - Tool for analyzing portfolio performance and generating professional risk reports.
  • Financial Analytics - Portfolio and risk analytics for financial data.
  • Financial Analytics Tools - Portfolio and risk analytics library for Python.
  • Portfolio Management - Portfolio and risk analytics library for Python.
  • Portfolio Optimization - Analytics for portfolio performance and risk assessment.
  • Python Libraries - Library for performance and risk analysis of portfolios.
  • Quantitative Research Tools - Library for portfolio and risk analytics.
  • Trading Platforms - Performance and risk analysis library for financial portfolios.
  • Outils de visualisation - Specialized performance and risk analysis for trading strategies.

Historique des stars

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Questions fréquentes

Que fait quantopian/pyfolio ?

Portfolio and risk analytics in Python

Quelles sont les fonctionnalités principales de quantopian/pyfolio ?

Les fonctionnalités principales de quantopian/pyfolio sont : Fama-French Factor Exposures, Strategy Evaluations, Portfolio Return Distributions, Trading Algorithm Reports, Portfolio Performance Metrics, Portfolio Risk Metrics, Bayesian Portfolio Uncertainty, Pandas Vectorized Operations.

Quelles sont les alternatives open-source à quantopian/pyfolio ?

Les alternatives open-source à quantopian/pyfolio incluent : quantopian/alphalens — Alphalens is a quantitative alpha factor analysis library designed to measure the predictive power of financial… ranaroussi/quantstats — QuantStats is an open-source Python library that calculates risk and return metrics from a portfolio return series and… dcajasn/riskfolio-lib — Riskfolio-Lib is a Python portfolio optimization library and convex risk management tool. It provides a framework for… jankrepl/deepdow. robertmartin8/pyportfolioopt — PyPortfolioOpt is a comprehensive portfolio optimization library for Python that provides a full suite of methods for… jerbouma/financetoolkit — The FinanceToolkit is an open-source Python library for quantitative finance that provides a unified framework for…