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quantopian
/
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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ENH Add beta_fragility_heuristic and gpd_risk_estimates functions
#42
jeyoor
closed
5 years ago
10
Remove Information Ratio
#41
twiecki
closed
7 years ago
6
Investigate replacing all NaNs everywhere
#40
gusgordon
opened
7 years ago
0
ENH Allow cum_returns to accept DataFrame
#39
gusgordon
closed
7 years ago
2
ENH Allow cum_returns to accept DataFrame
#38
gusgordon
closed
7 years ago
10
ENH: Use nanstd and nanmean, remove skipped test
#37
analicia
closed
7 years ago
1
ENH: Use ddof=0 and nanstd, remove skipped test
#36
analicia
closed
7 years ago
5
API for setting default annualization factor
#35
luoq
opened
8 years ago
0
Add conda builds
#34
twiecki
closed
8 years ago
7
ENH: Add total_return function
#33
analicia
closed
8 years ago
3
Enumpycal
#32
richafrank
closed
8 years ago
2
TST: Change noop assertions to check for nan
#31
richafrank
closed
8 years ago
6
MAINT Beta calculation does not require explicity variance calculation.
#30
twiecki
closed
8 years ago
0
Add tz testcases
#29
analicia
closed
8 years ago
0
WIP Beta should use slope, not correlation. Improve unittests to also…
#28
twiecki
closed
8 years ago
1
PERF/BUG: Improve performance; prevent return-stream mutation
#27
jdricklefs
closed
8 years ago
3
WIP Bug 23 fix2
#26
twiecki
closed
8 years ago
4
BUG: Beta works with sparse timezoned input
#25
analicia
closed
8 years ago
3
BUG: 23 Beta issue with timezones
#24
analicia
closed
8 years ago
1
BUG: beta does not work with pandas Series
#23
twiecki
closed
8 years ago
3
Add docs
#22
analicia
closed
6 years ago
11
ENH: Add SQN calculation
#21
LotannaEzenwa
closed
5 years ago
2
Proposal: change period/annualization API
#20
twiecki
opened
8 years ago
6
ENH: Add CAGR metric with testing
#19
analicia
closed
8 years ago
1
TST: Include sparse input test for alpha and beta
#18
analicia
closed
8 years ago
1
Add CAGR
#17
twiecki
closed
8 years ago
1
ENH: Remove dropna from beta function
#16
analicia
closed
8 years ago
2
ENH: Remove dropna from beta function
#15
analicia
closed
8 years ago
0
Use Hypothesis for testing
#14
analicia
opened
8 years ago
0
ENH: Change package name from qrisk to empyrical
#13
analicia
closed
8 years ago
2
Add sphinx documentation
#12
twiecki
closed
7 years ago
3
BLD: Test on pandas 18 and python 2.7.
#11
ssanderson
closed
8 years ago
1
Alternative alphabeta
#10
analicia
closed
8 years ago
5
Add SQN metric
#9
twiecki
opened
8 years ago
2
ENH: Use bottleneck to speed up calculations
#8
analicia
closed
8 years ago
6
ENH: Annualize alpha calculation
#7
analicia
closed
8 years ago
2
Changed index to multi index in aggregate returns function
#6
analicia
closed
8 years ago
1
Merge pull request #3 from quantopian/travis
#5
analicia
closed
8 years ago
0
r-value needs to be squared
#4
jameschristopher
closed
8 years ago
1
ENH: Added Travis CI
#3
analicia
closed
8 years ago
4
ENH: At least one test per function
#2
analicia
closed
8 years ago
4
API: Changed package name from pyrisk to qrisk
#1
analicia
closed
8 years ago
5
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