numfolio 0.0.1__tar.gz

numfolio-0.0.1/CONTRIBUTING.md

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+## Development 👩‍💻
+
+### GitFlow
+
+The development cycle follows a *[GitFlow](https://www.atlassian.com/git/tutorials/comparing-workflows/gitflow-workflow)*
+paradigm. The releases are contained in the `master` branch, which
+must contain stable code. The main development branch
+is `develop`. Pull requests are used to align feature branches to `develop` and
+`develop` to `master`. Automatic tests are run to assess the
+code quality, see [`tests`](tests) folder.
+
+### Code style
+
+The style and the quality of the code is managed
+by [`ruff`](https://docs.astral.sh/ruff/). See  [`pyproject.toml`](pyproject.toml) for configuration.
+A plugin for a documentation is also used, the `md` paradigm for [`mkdocs`](https://www.mkdocs.org/)
+has been chosen. See [`docs`](docs) folder for documentation-related issues.
+The import rules are managed through [`isort`](https://pycqa.github.io/isort/), see [`pyproject.toml`](pyproject.toml) file, section
+`[tool.isort]`.
+
+The style syntax rules are imposed with the help of [`pre-commit`](https://pre-commit.com/) tool.
+Those are specified in the [`.pre-commit-config.yaml`](.pre-commit-config.yaml) file.
+To initialize the tool run
+```bash
+pre-commit install
+```
+A common error on `macOS` is related to `UTC-8` format. See [this](https://stackoverflow.com/questions/60557160/python3-8-fails-with-fatal-python-error-config-get-locale-encoding) issue
+on StackOverflow. To update the tool use `pre-commit autoupdate`.
+
+
+### Contributors
+
+Authors and contributors have been collected in [`AUTHORS.md`](docs/docs/authors.md) file.

numfolio-0.0.1/LICENSE

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+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/MANIFEST.in

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+# Include the README
+include *.md
+include pyproject.toml
+include *.rst

numfolio-0.0.1/PKG-INFO

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+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/README.md

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+# 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/numfolio.egg-info/PKG-INFO

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+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/numfolio.egg-info/SOURCES.txt

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+CONTRIBUTING.md
+LICENSE
+MANIFEST.in
+README.md
+pyproject.toml
+numfolio.egg-info/PKG-INFO
+numfolio.egg-info/SOURCES.txt
+numfolio.egg-info/dependency_links.txt
+numfolio.egg-info/requires.txt
+numfolio.egg-info/top_level.txt

numfolio-0.0.1/numfolio.egg-info/dependency_links.txt

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+

numfolio-0.0.1/numfolio.egg-info/requires.txt

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+joblib>=1.3.2
+pandas>=2.2.1
+numpy>=1.22
+scikit-learn>=1.5.0
+scipy>=1.12.0
+arch>=6.3.0
+numba>0.59.0
+
+[build]
+ruff>=0.11.0
+colorama>=0.4.6
+coverage>=7.0
+isort>=6.0.0
+pre-commit>=4.0.0
+setuptools-git-versioning>=1.13.4
+unittest-xml-reporting>=3.2.0
+
+[docs]
+mkdocs>=1.6.0
+mkdocstrings[python]==0.26.2

numfolio-0.0.1/numfolio.egg-info/top_level.txt

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+numfolio

numfolio-0.0.1/pyproject.toml

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+# The addition of the pyproject.toml activates the so-called "build-isolation" mode of pip,
+# where each build environment is created ad-hoc, and it's isolated from the active virtual
+# environment where the package is being installed. This may create unwanted behaviours,
+# as the rebuilding of the build dependencies even when they have been already installed previously.
+# To prevent this behavior, either remove the pyproject.toml or launch pip the option --no-build-isolation.
+
+[build-system]
+requires = ["setuptools", "setuptools-git-versioning", "wheel"]
+build-backend = "setuptools.build_meta"
+
+[project]
+name = "numfolio"
+version = "0.0.1"
+readme = "README.md"
+authors = [
+    {name = "agdiiura", email="andreadiiura@gmail.com"}
+]
+
+dependencies = [
+    "joblib>=1.3.2",
+    "pandas>=2.2.1",
+    "numpy>=1.22",
+    "scikit-learn>=1.5.0",
+    "scipy>=1.12.0",
+    "arch>=6.3.0",
+    "numba>0.59.0",
+]
+
+[project.optional-dependencies]
+build = [
+    "ruff>=0.11.0",
+    "colorama>=0.4.6",
+    "coverage>=7.0",
+    "isort>=6.0.0",
+    "pre-commit>=4.0.0",
+    "setuptools-git-versioning>=1.13.4",
+    "unittest-xml-reporting>=3.2.0"
+]
+docs = [
+    "mkdocs>=1.6.0",
+    "mkdocstrings[python]==0.26.2"
+]
+
+[tool.setuptools]
+py-modules = ["numfolio"]
+
+[tool.ruff]
+src = ["numfolio"]
+line-length = 90
+extend-exclude = ["*.ipynb"]
+
+[tool.ruff.lint]
+select = ['E', 'W', 'D']
+ignore = [
+    #"W503",
+    #"W504",
+    "E402",
+    "E731",
+    #"S001",
+    "D400",
+    "D202",
+    "D203",
+    "D212",
+    "D415",
+    "D205",
+    "D407", # Missing dashed underline after section
+    "D406", # Section name should end with a newline
+    "D412", # No blank lines allowed between a section header and its content
+]
+exclude = [
+    "docs/sphinxext/*.py",
+    "docs/build/*.py",
+    "docs/temp/*.py",
+    "docs/source/conf.py",
+    ".eggs/*.py",
+    "env",
+    "*.ipynb"
+]
+
+[tool.ruff.lint.per-file-ignores]
+"*__init__.py" = ["F401", "F403"]
+"setup.py" = ["F401", "D100"]
+#"tests/*.py" = ["I900"]
+#"examples/*.py" = ["I900"]
+
+[tool.ruff.lint.pycodestyle]
+max-line-length = 119
+
+[tool.isort]
+combine_as_imports = true
+multi_line_output = 0
+length_sort = true
+lines_between_types = 1
+sections = ["FUTURE","STDLIB","THIRDPARTY","FIRSTPARTY","LOCALFOLDER"]
+
+[tool.codespell]
+quiet-level = 0
+ignore-words-list = "sur,manuel,assertIn"
+skip = "*.ipynb,*.html,pyproject.toml"

numfolio-0.0.1/setup.cfg

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+[egg_info]
+tag_build = 
+tag_date = 0
+