jquantstats 0.0.2__tar.gz
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- jquantstats-0.0.2/.gitignore +11 -0
- jquantstats-0.0.2/LICENSE.txt +175 -0
- jquantstats-0.0.2/PKG-INFO +150 -0
- jquantstats-0.0.2/README.md +131 -0
- jquantstats-0.0.2/pyproject.toml +61 -0
- jquantstats-0.0.2/src/jquantstats/__init__.py +0 -0
- jquantstats-0.0.2/src/jquantstats/_plots.py +308 -0
- jquantstats-0.0.2/src/jquantstats/_stats.py +450 -0
- jquantstats-0.0.2/src/jquantstats/api.py +222 -0
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Metadata-Version: 2.4
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Name: jquantstats
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Version: 0.0.2
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Summary: Toying with quantstats
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Project-URL: repository, https://github.com/tschm/jquantstats
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Author-email: tschm <thomas.schmelzer@gmail.com>
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License-File: LICENSE.txt
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Requires-Python: >=3.10
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Requires-Dist: kaleido==0.2.1
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Requires-Dist: numpy>=2.2.3
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Requires-Dist: plotly>=6.0.0
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Requires-Dist: polars==1.29.0
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Provides-Extra: dev
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Requires-Dist: pre-commit==4.2.0; extra == 'dev'
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Requires-Dist: pytest-cov==6.1.1; extra == 'dev'
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Requires-Dist: pytest==8.3.5; extra == 'dev'
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Requires-Dist: yfinance==0.2.58; extra == 'dev'
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Description-Content-Type: text/markdown
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# [jQuantStats](https://tschm.github.io/jquantstats/book): Portfolio analytics for quants
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[](https://badge.fury.io/py/jquantstats)
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[](LICENSE.txt)
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[](https://github.com/tschm/jquantstats/actions/workflows/ci.yml)
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[](https://coveralls.io/github/tschm/jquantstats?branch=main)
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[](https://www.codefactor.io/repository/github/tschm/quantstats)
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[](https://github.com/renovatebot/renovate)
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[](https://codespaces.new/tschm/jquantstats)
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## Overview
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**jQuantStats** is a Python library for portfolio analytics
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that helps quants and portfolio managers understand
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their performance through in-depth analytics and risk metrics.
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It provides tools for calculating various performance metrics
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and visualizing portfolio performance.
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The library is inspired by and currently exposes a subset of the
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functionality of [QuantStats](https://github.com/ranaroussi/quantstats),
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focusing on providing a clean, modern API with enhanced
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visualization capabilities using Plotly.
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We have made the following changes when compared to quantstats:
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- added tests (based on pytest), pre-commit hooks and
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github ci/cd workflows
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- removed a direct dependency on yfinance to inject data
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- moved all graphical output to plotly and removed the matplotlib dependency
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- removed some statistical metrics but intend to bring them back
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- moved to Marimo for demos
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- gave up on the very tight coupling with pandas
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Along the way we broke downwards compatibility with quantstats but the
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underlying usage pattern is too different. Users familiar with
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Dataclasses may find the chosen path appealing.
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A data class is
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constructed using the `build_data` function.
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This function is essentially
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the only viable entry point into jquantstats.
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It constructs and returns
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a `_Data` object which exposes plots and stats via its member attributes.
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At this early stage the user would have to define a benchmark
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and set the underlying risk-free rate.
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## Features
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- **Performance Metrics**: Calculate key metrics like Sharpe ratio, Sortino ratio,
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drawdowns, volatility, and many more
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- **Risk Analysis**: Analyze risk through metrics like Value at Risk (VaR),
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Conditional VaR, and drawdown analysis
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- **Visualization**: Create interactive plots for portfolio performance, drawdowns,
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return distributions, and monthly heatmaps
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- **Benchmark Comparison**: Compare your portfolio performance against benchmarks
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## Installation
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```bash
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pip install jquantstats
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```
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For development:
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```bash
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pip install jquantstats[dev]
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```
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## Quick Start
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```python
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import pandas as pd
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from jquantstats.api import build_data
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# Create a Data object from returns
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returns = pd.DataFrame(...) # Your returns data
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# Basic usage
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data = build_data(returns=returns)
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# With benchmark and risk-free rate
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benchmark = pd.Series(...) # Your benchmark returns
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data = build_data(
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returns=returns,
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benchmark=benchmark,
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rf=0.02, # risk-free rate (e.g., 2% annual rate)
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nperiods=252 # number of trading days per year
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)
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# Calculate statistics
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sharpe = data.stats.sharpe()
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volatility = data.stats.volatility()
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# Create visualizations
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fig = data.plots.plot_snapshot(title="Portfolio Performance")
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fig.show()
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# Monthly returns heatmap
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fig = data.plots.monthly_heatmap()
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fig.show()
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```
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## Documentation
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For detailed documentation,
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visit [jQuantStats Documentation](https://tschm.github.io/jquantstats/book).
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## Requirements
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- Python 3.10+
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- numpy
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- pandas
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- scipy
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- plotly
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- kaleido (for static image export)
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## Contributing
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Contributions are welcome! Please feel free to submit a Pull Request.
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1. Fork the repository
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2. Create your feature branch (`git checkout -b feature/amazing-feature`)
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3. Commit your changes (`git commit -m 'Add some amazing feature'`)
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4. Push to the branch (`git push origin feature/amazing-feature`)
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5. Open a Pull Request
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## License
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This project is licensed under the
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Apache License 2.0 - see the [LICENSE.txt](LICENSE.txt) file for details.
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# [jQuantStats](https://tschm.github.io/jquantstats/book): Portfolio analytics for quants
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[](https://badge.fury.io/py/jquantstats)
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[](LICENSE.txt)
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[](https://github.com/tschm/jquantstats/actions/workflows/ci.yml)
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[](https://coveralls.io/github/tschm/jquantstats?branch=main)
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[](https://www.codefactor.io/repository/github/tschm/quantstats)
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[](https://github.com/renovatebot/renovate)
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[](https://codespaces.new/tschm/jquantstats)
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## Overview
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**jQuantStats** is a Python library for portfolio analytics
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that helps quants and portfolio managers understand
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their performance through in-depth analytics and risk metrics.
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It provides tools for calculating various performance metrics
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and visualizing portfolio performance.
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The library is inspired by and currently exposes a subset of the
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functionality of [QuantStats](https://github.com/ranaroussi/quantstats),
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focusing on providing a clean, modern API with enhanced
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visualization capabilities using Plotly.
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We have made the following changes when compared to quantstats:
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- added tests (based on pytest), pre-commit hooks and
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github ci/cd workflows
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- removed a direct dependency on yfinance to inject data
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- moved all graphical output to plotly and removed the matplotlib dependency
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- removed some statistical metrics but intend to bring them back
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- moved to Marimo for demos
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- gave up on the very tight coupling with pandas
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Along the way we broke downwards compatibility with quantstats but the
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underlying usage pattern is too different. Users familiar with
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Dataclasses may find the chosen path appealing.
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A data class is
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constructed using the `build_data` function.
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This function is essentially
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the only viable entry point into jquantstats.
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It constructs and returns
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a `_Data` object which exposes plots and stats via its member attributes.
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At this early stage the user would have to define a benchmark
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and set the underlying risk-free rate.
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## Features
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- **Performance Metrics**: Calculate key metrics like Sharpe ratio, Sortino ratio,
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drawdowns, volatility, and many more
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- **Risk Analysis**: Analyze risk through metrics like Value at Risk (VaR),
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Conditional VaR, and drawdown analysis
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- **Visualization**: Create interactive plots for portfolio performance, drawdowns,
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return distributions, and monthly heatmaps
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- **Benchmark Comparison**: Compare your portfolio performance against benchmarks
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## Installation
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```bash
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pip install jquantstats
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```
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For development:
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```bash
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pip install jquantstats[dev]
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```
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## Quick Start
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```python
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import pandas as pd
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from jquantstats.api import build_data
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# Create a Data object from returns
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returns = pd.DataFrame(...) # Your returns data
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# Basic usage
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data = build_data(returns=returns)
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# With benchmark and risk-free rate
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benchmark = pd.Series(...) # Your benchmark returns
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data = build_data(
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returns=returns,
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benchmark=benchmark,
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rf=0.02, # risk-free rate (e.g., 2% annual rate)
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nperiods=252 # number of trading days per year
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)
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# Calculate statistics
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sharpe = data.stats.sharpe()
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volatility = data.stats.volatility()
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# Create visualizations
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fig = data.plots.plot_snapshot(title="Portfolio Performance")
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fig.show()
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# Monthly returns heatmap
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fig = data.plots.monthly_heatmap()
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fig.show()
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```
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## Documentation
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For detailed documentation,
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visit [jQuantStats Documentation](https://tschm.github.io/jquantstats/book).
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|
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## Requirements
|
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|
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- Python 3.10+
|
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- numpy
|
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- pandas
|
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- scipy
|
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- plotly
|
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- kaleido (for static image export)
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|
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## Contributing
|
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|
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Contributions are welcome! Please feel free to submit a Pull Request.
|
|
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|
+
|
|
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1. Fork the repository
|
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2. Create your feature branch (`git checkout -b feature/amazing-feature`)
|
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3. Commit your changes (`git commit -m 'Add some amazing feature'`)
|
|
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|
+
4. Push to the branch (`git push origin feature/amazing-feature`)
|
|
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+
5. Open a Pull Request
|
|
127
|
+
|
|
128
|
+
## License
|
|
129
|
+
|
|
130
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This project is licensed under the
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Apache License 2.0 - see the [LICENSE.txt](LICENSE.txt) file for details.
|
|
@@ -0,0 +1,61 @@
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[project]
|
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name = 'jquantstats'
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|
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version = "v0.0.2"
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|
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description = "Toying with quantstats"
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|
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# Please add authors and correct the email...
|
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authors = [{name='tschm', email= 'thomas.schmelzer@gmail.com'}]
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readme = "README.md"
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requires-python = ">=3.10"
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dependencies = [
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"numpy>=2.2.3",
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"plotly>=6.0.0",
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"kaleido==0.2.1",
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"polars==1.29.0"
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]
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|
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[project.urls]
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repository = "https://github.com/tschm/jquantstats"
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[project.optional-dependencies]
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dev = [
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"pytest-cov==6.1.1",
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"pytest==8.3.5",
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"pre-commit==4.2.0",
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"yfinance==0.2.58",
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]
|
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|
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[tool.ruff]
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line-length = 120
|
|
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+
target-version = "py312"
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exclude = [
|
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"*__init__.py"
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+
]
|
|
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|
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extend-ignore = ["F821"]
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|
+
|
|
35
|
+
[tool.ruff.lint]
|
|
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|
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select = ["E", "F", "I"]
|
|
37
|
+
|
|
38
|
+
[build-system]
|
|
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+
requires = ["hatchling"]
|
|
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|
+
build-backend = "hatchling.build"
|
|
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|
+
|
|
42
|
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[tool.hatch.build.targets.wheel]
|
|
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|
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packages = ["src/jquantstats"]
|
|
44
|
+
|
|
45
|
+
[tool.hatch.build]
|
|
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|
+
include = [
|
|
47
|
+
"LICENSE", # Ensure the LICENSE file is included in your package
|
|
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|
+
"README.md",
|
|
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|
+
"jquantstats"
|
|
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|
+
]
|
|
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|
+
|
|
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|
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[tool.bandit]
|
|
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|
+
exclude_dirs = ["src/tests"]
|
|
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|
+
|
|
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|
+
|
|
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|
+
[tool.deptry]
|
|
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|
+
# see https://deptry.com/usage/#pep-621-dev-dependency-groups
|
|
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|
+
pep621_dev_dependency_groups = ["dev"]
|
|
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|
+
|
|
60
|
+
[tool.deptry.per_rule_ignores]
|
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+
DEP002 = ["kaleido"]
|
|
File without changes
|