alphaengine 0.1.0__py3-none-any.whl

alphaengine/__init__.py

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+"""AlphaEngine, validated research tooling for investment strategies.
+
+Answers one question honestly: **is this result an edge, or did you try enough
+things that something was bound to look good?**
+
+    from alphaengine import sweep
+
+    r = sweep(backtest_fn, grid, data=prices)   # runs every combination
+    r.surface()                                 # stable plateau, or a knife edge
+    r.verdict()                                 # deflated for the trials you ran
+    r.save("study.json")                        # the artifact, on your disk
+
+WHY A SWEEP AND NOT A CALCULATOR
+    The correction that makes a Sharpe ratio honest needs to know how many
+    variants you tested. Ask a person for that number and you get the number
+    that flatters them, not from dishonesty, but because nobody counts the
+    thing they threw away. Run the grid and the count is `len(grid)`, so the
+    question never has to be asked.
+
+WHAT THIS LIBRARY IS NOT
+    Not a backtester. `sweep()` takes YOUR function. We orchestrate and measure;
+    you simulate. The engine you already trust stays the engine you trust.
+
+OFFLINE BY CONSTRUCTION
+    Importing this module makes no network call and needs no account. numpy and
+    scipy, nothing else. Everything above runs on a laptop with the wifi off,
+    and your data never leaves the machine.
+"""
+
+from ._version import __version__
+from .study import SCHEMA_VERSION, Study, load, save
+from .sweep import SweepResult, sweep
+
+# `sweep` is bound here to the FUNCTION, deliberately shadowing the subpackage
+# of the same name. The documented entry point is `from alphaengine import
+# sweep`, and a user who writes that and gets a module back has hit a bug on
+# their first line. `from alphaengine.sweep import ...` still resolves through
+# sys.modules for anyone who wants the module explicitly.
+__all__ = [
+    "__version__",
+    "sweep",
+    "SweepResult",
+    "Study",
+    "save",
+    "load",
+    "SCHEMA_VERSION",
+]

alphaengine/_version.py

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+"""Single source of the version.
+
+Read by hatchling at build time (see [tool.hatch.version] in pyproject.toml), so
+this file and the published artifact can never disagree.
+
+SEMVER, WITH ONE LOCAL RULE: a MAJOR bump is required whenever a computed value
+changes. Once this is on PyPI the numbers are a public contract, somebody's
+saved study has to reproduce in two years, so a different result from the same
+inputs is a breaking change even when the signature is untouched.
+
+While the leading digit is 0, the MINOR position carries that rule: 0.1 -> 0.2
+is what a changed figure costs. The API may still move underneath it.
+"""
+
+__version__ = "0.1.0"

alphaengine/core/__init__.py

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+"""Deterministic quantitative primitives.
+
+Pure functions over arrays. No I/O, no network, no global state, no clock, the
+same inputs return the same outputs on every machine, which is the property
+everything else here is built on. numpy and scipy only.
+
+These are published methods, not proprietary formulae:
+
+  probabilistic / deflated Sharpe   Bailey & Lopez de Prado (2014)
+  PBO via CSCV                      Bailey, Borwein, Lopez de Prado & Zhu (2017)
+  CPCV                              purged, embargoed cross-validation
+  minimum track record length       how long a record must be before skill is
+                                    distinguishable from luck
+
+That they are published is the point. A referee whose reasoning you cannot
+inspect is not a referee.
+
+THE RETURN VALUES ARE A PUBLIC CONTRACT. A study written today has to reproduce
+in two years, so a changed number is a breaking change requiring a major version
+bump even when the signature is untouched. See tests/test_goldens.py.
+
+Exports are listed explicitly rather than star-imported: on a published package
+the difference between the API and an implementation detail should be a
+decision, not an accident of which names happen to be module-level.
+
+`factors` and `pairs` are NOT imported here. They need statsmodels, which is an
+optional extra, and importing them eagerly would make the core install fail for
+everyone who does not need them:
+
+    from alphaengine.core.factors import decompose_factors   # pip install 'alphaengine[factors]'
+    from alphaengine.core.pairs import find_cointegrated_pairs
+"""
+
+from .backtest import run_backtest, score_backtest
+from .performance import performance_report
+from .risk import compute_var_cvar
+from .technical import technical_features
+from .validation import (
+    cpcv_score,
+    deflated_sharpe,
+    expected_max_sharpe,
+    min_track_record_length,
+    pbo_cscv,
+    probabilistic_sharpe_ratio,
+)
+
+__all__ = [
+    # validation, the honesty layer
+    "deflated_sharpe",
+    "probabilistic_sharpe_ratio",
+    "expected_max_sharpe",
+    "min_track_record_length",
+    "pbo_cscv",
+    "cpcv_score",
+    # performance and risk
+    "performance_report",
+    "compute_var_cvar",
+    # simulation and scoring
+    "run_backtest",
+    "score_backtest",
+    # features
+    "technical_features",
+]