Common financial risk and performance metrics. Used by zipline and pyfolio.
The main features of quantopian/empyrical are: Financial Analytics, Portfolio Optimization, Quantitative Research Tools.
Open-source alternatives to quantopian/empyrical include: quantopian/pyfolio — Portfolio and risk analytics in Python. jankrepl/deepdow. quantopian/alphalens — Alphalens is a quantitative alpha factor analysis library designed to measure the predictive power of financial… dcajasn/riskfolio-lib — Riskfolio-Lib is a Python portfolio optimization library and convex risk management tool. It provides a framework for… robertmartin8/pyportfolioopt — PyPortfolioOpt is a comprehensive portfolio optimization library for Python that provides a full suite of methods for… ssantoshp/empyrial — An Open Source Portfolio Backtesting Engine for Everyone | 面向所有人的开源投资组合回测引擎.
Portfolio and risk analytics in Python
Riskfolio-Lib is a Python portfolio optimization library and convex risk management tool. It provides a framework for calculating optimal asset allocations using convex risk measures and mathematical programming solvers, supporting linear, quadratic, and semidefinite programming. The library features a hierarchical risk parity framework and financial asset clustering tools to group similar instruments and improve diversification. It includes a portfolio backtesting engine for simulating investment strategies using historical data and cross-validation. The system covers a broad range of quant
Alphalens is a quantitative alpha factor analysis library designed to measure the predictive power of financial factors. It serves as a computational toolset for processing financial time series and calculating performance metrics to evaluate quantitative trading hypotheses. The library distinguishes itself through the use of quantile-based data binning to analyze return distributions across different factor strength levels. It aligns historical alpha signals with forward-looking price changes to isolate predictive effects and transforms these metrics into heatmaps and time-series charts for
