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quantopian
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empyrical
Common financial risk and performance metrics. Used by zipline and pyfolio.
https://quantopian.github.io/empyrical
Apache License 2.0
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MAINT: use int for groupby
#92
vikram-narayan
opened
6 years ago
1
Just installed Pyfolio, getting error AttributeError: module 'empyrical.utils' has no attribute 'default_returns_func'
#91
Dan733
opened
6 years ago
2
Calmar Ratio w/ EMDD
#90
akaniklaus
opened
6 years ago
3
Change default_returns_func to use Quandl API
#89
jaycode
closed
5 years ago
4
fix: Correct get_symbol_returns_from_yahoo
#88
jaycode
closed
6 years ago
1
Capture ratio support annualization?
#87
huaiweicheng
opened
6 years ago
0
BUG: Preserve columns in cum_returns.
#86
ssanderson
closed
6 years ago
1
BUG: Preserve output index in `cum_returns`.
#85
ssanderson
closed
6 years ago
2
Added LICENSE to manifest
#84
ghost
closed
6 years ago
0
ENH: support rolling calculations through vectorization
#83
llllllllll
closed
6 years ago
0
Docstring cleanup for cum_returns
#82
rsheftel
closed
6 years ago
2
Correct Roll Related Tests, then Fix Roll Functions
#81
cgdeboer
closed
6 years ago
2
Fixed Tests, Corrected Roll Functions
#80
cgdeboer
closed
6 years ago
1
BUG: Roll() function is incorrect
#79
rsheftel
closed
6 years ago
4
Fix duplicate functions: annual_return and cagr
#78
rsheftel
closed
6 years ago
1
CANCEL: (replaced) Fix duplicate functions: annual_return and cagr
#77
rsheftel
closed
6 years ago
1
MAINT: add perf attrib to empyrical
#76
vikram-narayan
closed
6 years ago
1
ReadTheDoc setup for auto-generation of documentation
#75
rsheftel
closed
6 years ago
3
Proper change to Sortino ratio to clarify the math
#74
rsheftel
closed
6 years ago
3
Should returns be lognormal or normal
#73
rsheftel
closed
6 years ago
3
Documentation http://quantopian.github.io/empyrical links to is outdated
#72
appletonwebb
opened
6 years ago
1
cannot concatenate a non-NDFrame object
#71
JohnnyPP
closed
4 years ago
3
Fixing SystemError: <class 'str'> returned a result with an error set
#70
wilsonwang371
closed
6 years ago
0
*** SystemError: <class 'str'> returned a result with an error set
#69
wilsonwang371
opened
6 years ago
4
'int' object has no attribute 'year'
#68
ACPK
opened
6 years ago
0
Travis pandas numpy wheels
#67
richafrank
closed
6 years ago
3
Removed ellipsis in Pandas Support
#66
riabaldevia
closed
6 years ago
1
Remove yahoo finance
#65
twiecki
opened
6 years ago
8
Stripping of name will have no effect if cached Fama-French exists
#64
twiecki
opened
6 years ago
2
MAINT: strip whitespace from get_fama_french
#63
vikram-narayan
closed
6 years ago
0
Fixed #61, annualization of Sortino Ratio
#62
gabrieleiacono
closed
6 years ago
4
Wrong annualization of Sortino Ratio?
#61
gabrieleiacono
closed
6 years ago
5
BUG: fix annualization of alpha
#60
vikram-narayan
closed
5 years ago
9
Bug in annualization of alpha?
#59
twiecki
closed
5 years ago
0
Release a new empyrical version
#58
twiecki
closed
4 years ago
0
forgot a data loader
#57
jameschristopher
closed
7 years ago
1
Migrate data loaders and related functions from pyfolio
#56
jameschristopher
closed
7 years ago
9
Get Fama French factors from empyrical?
#55
eigenfoo
closed
7 years ago
1
Standard Deviation: Sample vs. Population
#54
yehoshuadimarsky
closed
7 years ago
1
AttributeError: 'str' object has no attribute 'year'
#53
kmikael
closed
7 years ago
2
Just installed Pyfolio getting AttributeError: module 'empyrical' has no attribute 'information_ratio'
#52
dartdog
opened
7 years ago
11
Fix sortino_ratio downside_risk v2
#51
lostVkng
closed
7 years ago
6
Revert "Fix sortino_ratio downside_risk"
#50
twiecki
closed
7 years ago
0
Fix sortino_ratio downside_risk
#49
lostVkng
closed
7 years ago
5
Add VaR and CVaR functions
#48
dmichalowicz
closed
7 years ago
2
Additional Calculations & Roll, Up, Down Helpers
#47
cgdeboer
closed
7 years ago
21
Add Additional Calculations & Rolling Periods
#46
cgdeboer
closed
6 years ago
2
fix43: wrap logic in a try suite
#45
avi-analytics
closed
7 years ago
8
Fix issue #43
#44
avi-analytics
closed
7 years ago
0
Ensure max_drawdown returns a float scalar
#43
avi-analytics
closed
7 years ago
2
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