numfolio 0.0.1__py3-none-any.whl

numfolio-0.0.1.dist-info/METADATA

@@ -0,0 +1,111 @@
+Metadata-Version: 2.4
+Name: numfolio
+Version: 0.0.1
+Author-email: agdiiura <andreadiiura@gmail.com>
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Requires-Dist: joblib>=1.3.2
+Requires-Dist: pandas>=2.2.1
+Requires-Dist: numpy>=1.22
+Requires-Dist: scikit-learn>=1.5.0
+Requires-Dist: scipy>=1.12.0
+Requires-Dist: arch>=6.3.0
+Requires-Dist: numba>0.59.0
+Provides-Extra: build
+Requires-Dist: ruff>=0.11.0; extra == "build"
+Requires-Dist: colorama>=0.4.6; extra == "build"
+Requires-Dist: coverage>=7.0; extra == "build"
+Requires-Dist: isort>=6.0.0; extra == "build"
+Requires-Dist: pre-commit>=4.0.0; extra == "build"
+Requires-Dist: setuptools-git-versioning>=1.13.4; extra == "build"
+Requires-Dist: unittest-xml-reporting>=3.2.0; extra == "build"
+Provides-Extra: docs
+Requires-Dist: mkdocs>=1.6.0; extra == "docs"
+Requires-Dist: mkdocstrings[python]==0.26.2; extra == "docs"
+Dynamic: license-file
+
+# numfolio ⚡
+Portfolio performance accelerated by Numba
+
+A lightweight, flexible Python package for analyzing portfolio returns,
+risk metrics, and correlations using modern statistical and machine learning methods.
+
+---
+
+## 🚀 Features
+
+✅ Bootstrapped metric estimation (e.g., Sharpe Ratio, Sortino Ratio)
+
+✅ Automatic Scorecard Generation with time-based aggregation (Yearly, Quarterly, Monthly)
+
+✅ Covariance and Correlation estimation with robust shrinkage methods
+
+✅ Parallel computation for scalability
+
+✅ Clean, consistent API inspired by scikit-learn & pandas
+
+
+---
+
+## 🔧 Installation
+
+To install the package the simplest procedure is:
+```bash
+pip install numfolio
+```
+Now you can test the installation... In a python shell:
+
+```python
+import numfolio as nf
+
+nf.__version__
+```
+
+Optional dependencies are `docs` for documentation and
+`build` for development. To install optional
+dependencies `pip install numfolio[docs,build]`.
+
+## 📚 Example Usage
+
+### 1. Compute Scorecard from PnL or Returns:
+
+```python
+import pandas as pd
+from numfolio import get_scorecard
+
+# Sample PnL data
+dates = pd.date_range("2025-01-01", periods=60, freq="D")
+pnl = pd.Series(range(100, 160), index=dates)
+
+df = pd.DataFrame({"pnl": pnl})
+
+scorecard = get_scorecard(df, freq="M")
+print(scorecard)
+```
+
+### 2. Estimate Bootstrapped Sharpe Ratio:
+
+```python
+import numpy as np
+from numfolio import bootstrap_metric
+
+# Generate fake returns
+returns = np.random.default_rng().normal(0, 1, 100)
+
+bootstrapped = bootstrap_metric(returns, metric="sharpe_ratio", n_bootstraps=500)
+print("Bootstrapped Sharpe Ratios:", bootstrapped[:5])
+```
+
+### 3. Estimate Correlation Matrix:
+
+```python
+import pandas as pd
+import numpy as np
+from numfolio import estimate_correlation
+
+dates = pd.date_range("2025-01-01", periods=100, freq="D")
+returns = pd.DataFrame(np.random.default_rng().normal(0, 1, (100, 3)), columns=["A", "B", "C"], index=dates)
+
+correlation = estimate_correlation(returns, method="ledoit_wolf", n_bootstraps=200)
+print(correlation)
+```

numfolio-0.0.1.dist-info/RECORD

@@ -0,0 +1,5 @@
+numfolio-0.0.1.dist-info/licenses/LICENSE,sha256=H-tRTUYkf6FsB6gRbZclO0NAbh8-3hzJKr0lTAltPSU,1063
+numfolio-0.0.1.dist-info/METADATA,sha256=pPHvMPDRMH5NBoS4o2HC2-fLQxITQsVBSdlzCaBs7BA,2951
+numfolio-0.0.1.dist-info/WHEEL,sha256=_zCd3N1l69ArxyTb8rzEoP9TpbYXkqRFSNOD5OuxnTs,91
+numfolio-0.0.1.dist-info/top_level.txt,sha256=S-k06nr433UVQykNfpWpfgtsvn6n47_ou53wfXhJsuc,9
+numfolio-0.0.1.dist-info/RECORD,,

numfolio-0.0.1.dist-info/WHEEL

@@ -0,0 +1,5 @@
+Wheel-Version: 1.0
+Generator: setuptools (80.9.0)
+Root-Is-Purelib: true
+Tag: py3-none-any
+

numfolio-0.0.1.dist-info/licenses/LICENSE

@@ -0,0 +1,21 @@
+MIT License
+
+Copyright (c) 2025 Andrea
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

numfolio-0.0.1.dist-info/top_level.txt

@@ -0,0 +1 @@
+numfolio