openseries 1.9.2__tar.gz → 1.9.3__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.
Files changed (17) hide show
  1. {openseries-1.9.2 → openseries-1.9.3}/PKG-INFO +64 -62
  2. {openseries-1.9.2 → openseries-1.9.3}/README.md +63 -61
  3. {openseries-1.9.2 → openseries-1.9.3}/openseries/_common_model.py +98 -65
  4. {openseries-1.9.2 → openseries-1.9.3}/openseries/frame.py +144 -89
  5. {openseries-1.9.2 → openseries-1.9.3}/openseries/load_plotly.py +1 -1
  6. {openseries-1.9.2 → openseries-1.9.3}/openseries/owntypes.py +3 -0
  7. {openseries-1.9.2 → openseries-1.9.3}/openseries/portfoliotools.py +11 -7
  8. {openseries-1.9.2 → openseries-1.9.3}/openseries/report.py +3 -3
  9. {openseries-1.9.2 → openseries-1.9.3}/openseries/series.py +6 -6
  10. {openseries-1.9.2 → openseries-1.9.3}/openseries/simulation.py +6 -10
  11. {openseries-1.9.2 → openseries-1.9.3}/pyproject.toml +16 -18
  12. {openseries-1.9.2 → openseries-1.9.3}/LICENSE.md +0 -0
  13. {openseries-1.9.2 → openseries-1.9.3}/openseries/__init__.py +0 -0
  14. {openseries-1.9.2 → openseries-1.9.3}/openseries/_risk.py +0 -0
  15. {openseries-1.9.2 → openseries-1.9.3}/openseries/datefixer.py +0 -0
  16. {openseries-1.9.2 → openseries-1.9.3}/openseries/plotly_captor_logo.json +0 -0
  17. {openseries-1.9.2 → openseries-1.9.3}/openseries/plotly_layouts.json +0 -0
{openseries-1.9.2 → openseries-1.9.3}/PKG-INFO RENAMED
@@ -1,6 +1,6 @@
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  Metadata-Version: 2.3
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  Name: openseries
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- Version: 1.9.2
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+ Version: 1.9.3
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  Summary: Tools for analyzing financial timeseries.
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  License: # BSD 3-Clause License
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@@ -267,25 +267,26 @@ make lint
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  ### Methods that apply only to the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class.
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- | Method | Applies to | Description |
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- |:------------------------|:------------|:-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
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- | `merge_series` | `OpenFrame` | Merges the Pandas Dataframes of the constituent OpenTimeSeries. |
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- | `trunc_frame` | `OpenFrame` | Truncates the OpenFrame to a common period. |
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- | `add_timeseries` | `OpenFrame` | Adds a given OpenTimeSeries to the OpenFrame. |
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- | `delete_timeseries` | `OpenFrame` | Deletes an OpenTimeSeries from the OpenFrame. |
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- | `relative` | `OpenFrame` | Calculates a new series that is the relative performance of two others. |
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- | `make_portfolio` | `OpenFrame` | Calculates a portfolio timeseries based on the series and weights. Weights can be provided as a list, or a weight strategy can be set as *equal weights* or *inverted volatility*. |
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- | `ord_least_squares_fit` | `OpenFrame` | Performs a regression and an [Ordinary Least Squares](https://www.statsmodels.org/stable/examples/notebooks/generated/ols.html) fit. |
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- | `beta` | `OpenFrame` | Calculates [Beta](https://www.investopedia.com/terms/b/beta.asp) of an asset relative a market. |
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- | `jensen_alpha` | `OpenFrame` | Calculates [Jensen's Alpha](https://www.investopedia.com/terms/j/jensensmeasure.asp) of an asset relative a market. |
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- | `tracking_error_func` | `OpenFrame` | Calculates the [tracking errors](https://www.investopedia.com/terms/t/trackingerror.asp) relative to a selected series in the OpenFrame. |
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- | `info_ratio_func` | `OpenFrame` | Calculates the [information ratios](https://www.investopedia.com/terms/i/informationratio.asp) relative to a selected series in the OpenFrame. |
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- | `capture_ratio_func` | `OpenFrame` | Calculates up, down and up/down [capture ratios](https://www.investopedia.com/terms/d/down-market-capture-ratio.asp) relative to a selected series. |
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- | `rolling_info_ratio` | `OpenFrame` | Returns a pandas.DataFrame with the rolling [information ratio](https://www.investopedia.com/terms/i/informationratio.asp) between two series. |
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- | `rolling_beta` | `OpenFrame` | Returns a pandas.DataFrame with the rolling [Beta](https://www.investopedia.com/terms/b/beta.asp) of an asset relative a market. |
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- | `rolling_corr` | `OpenFrame` | Calculates and adds a series of rolling [correlations](https://www.investopedia.com/terms/c/correlation.asp) between two other series. |
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- | `correl_matrix` | `OpenFrame` | Returns a `pandas.DataFrame` with a correlation matrix. |
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- | `ewma_risk` | `OpenFrame` | Returns a `pandas.DataFrame` with volatility and correlation based on [Exponentially Weighted Moving Average](https://www.investopedia.com/articles/07/ewma.asp). |
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+ | Method | Applies to | Description |
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+ |:---------------------------------|:------------|:--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
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+ | `merge_series` | `OpenFrame` | Merges the Pandas Dataframes of the constituent OpenTimeSeries. |
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+ | `trunc_frame` | `OpenFrame` | Truncates the OpenFrame to a common period. |
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+ | `add_timeseries` | `OpenFrame` | Adds a given OpenTimeSeries to the OpenFrame. |
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+ | `delete_timeseries` | `OpenFrame` | Deletes an OpenTimeSeries from the OpenFrame. |
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+ | `relative` | `OpenFrame` | Calculates a new series that is the relative performance of two others. |
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+ | `make_portfolio` | `OpenFrame` | Calculates a portfolio timeseries based on the series and weights. Weights can be provided as a list, or a weight strategy can be set as *equal weights* or *inverted volatility*. |
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+ | `ord_least_squares_fit` | `OpenFrame` | Performs a regression and an [Ordinary Least Squares](https://www.statsmodels.org/stable/examples/notebooks/generated/ols.html) fit. |
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+ | `beta` | `OpenFrame` | Calculates [Beta](https://www.investopedia.com/terms/b/beta.asp) of an asset relative a market. |
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+ | `jensen_alpha` | `OpenFrame` | Calculates [Jensen's Alpha](https://www.investopedia.com/terms/j/jensensmeasure.asp) of an asset relative a market. |
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+ | `tracking_error_func` | `OpenFrame` | Calculates the [tracking errors](https://www.investopedia.com/terms/t/trackingerror.asp) relative to a selected series in the OpenFrame. |
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+ | `info_ratio_func` | `OpenFrame` | Calculates the [information ratios](https://www.investopedia.com/terms/i/informationratio.asp) relative to a selected series in the OpenFrame. |
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+ | `capture_ratio_func` | `OpenFrame` | Calculates up, down and up/down [capture ratios](https://www.investopedia.com/terms/d/down-market-capture-ratio.asp) relative to a selected series. |
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+ | `rolling_info_ratio` | `OpenFrame` | Returns a pandas.DataFrame with the rolling [information ratio](https://www.investopedia.com/terms/i/informationratio.asp) between two series. |
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+ | `rolling_beta` | `OpenFrame` | Returns a pandas.DataFrame with the rolling [Beta](https://www.investopedia.com/terms/b/beta.asp) of an asset relative a market. |
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+ | `rolling_corr` | `OpenFrame` | Calculates and adds a series of rolling [correlations](https://www.investopedia.com/terms/c/correlation.asp) between two other series. |
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+ | `correl_matrix` | `OpenFrame` | Returns a `pandas.DataFrame` with a correlation matrix. |
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+ | `ewma_risk` | `OpenFrame` | Returns a `pandas.DataFrame` with volatility and correlation based on [Exponentially Weighted Moving Average](https://www.investopedia.com/articles/07/ewma.asp). |
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+ | `multi_factor_linear_regression` | `OpenFrame` | Treats one specified series as the dependent variable (y) and uses all remaining series as independent variables (X) in a linear regression and returns a DataFrame with summary output and a series of predicted values. |
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  ### Methods that apply to both the [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) and the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class.
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  ### Numerical properties available for individual [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) or on all series in an [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py).
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- | Property | type | Applies to | Description |
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- |:------------------------|:-------------------------|:------------------------------|:------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
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- | `all_properties` | `pandas.DataFrame` | `OpenTimeSeries`, `OpenFrame` | Returns most of the properties in one go. |
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- | `arithmetic_ret` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Annualized arithmetic mean of returns](https://www.investopedia.com/terms/a/arithmeticmean.asp). |
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- | `geo_ret` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Compound Annual Growth Rate(CAGR)](https://www.investopedia.com/terms/c/cagr.asp), a specific implementation of geometric mean. |
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- | `value_ret` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Simple return from first to last observation. |
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- | `vol` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Annualized [volatility](https://www.investopedia.com/terms/v/volatility.asp). Pandas .std() is the equivalent of stdev.s([...]) in MS excel. |
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- | `downside_deviation` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Downside deviation](https://www.investopedia.com/terms/d/downside-deviation.asp) is the volatility of all negative return observations. Minimum Accepted Return (MAR) set to zero. |
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- | `ret_vol_ratio` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Ratio of arithmetic mean return and annualized volatility. It is the [Sharpe Ratio](https://www.investopedia.com/terms/s/sharperatio.asp) with the riskfree rate set to zero. |
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- | `sortino_ratio` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The [Sortino Ratio](https://www.investopedia.com/terms/s/sortinoratio.asp) is the arithmetic mean return divided by the downside deviation. This attribute assumes that the riskfree rate and the MAR are both zero. |
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- | `omega_ratio` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The [Omega Ratio](https://en.wikipedia.org/wiki/Omega_ratio) compares returns above a certain target level (MAR) to the total downside risk below MAR. |
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- | `var_down` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Downside 95% [Value At Risk](https://www.investopedia.com/terms/v/var.asp), "VaR". The equivalent of percentile.inc([...], 1-level) over returns in MS Excel. For other confidence levels use the corresponding method. |
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- | `cvar_down` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Downside 95% [Conditional Value At Risk](https://www.investopedia.com/terms/c/conditional_value_at_risk.asp), "CVaR". For other confidence levels use the corresponding method. |
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- | `worst` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Most negative percentage change of a single observation. |
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- | `worst_month` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Most negative month. |
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- | `max_drawdown` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Maximum drawdown](https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp). |
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- | `max_drawdown_cal_year` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Max drawdown in a single calendar year. |
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- | `positive_share` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The share of percentage changes that are positive. |
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- | `vol_from_var` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Implied annualized volatility from the Downside VaR using the assumption that returns are normally distributed. |
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- | `skew` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Skew](https://www.investopedia.com/terms/s/skewness.asp) of the return distribution. |
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- | `kurtosis` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Kurtosis](https://www.investopedia.com/terms/k/kurtosis.asp) of the return distribution. |
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- | `z_score` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Z-score](https://www.investopedia.com/terms/z/zscore.asp) as (last return - mean return) / standard deviation of returns. |
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+ | Property | type | Applies to | Description |
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+ |:------------------------|:-------------------------|:------------------------------|:-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
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+ | `all_properties` | `pandas.DataFrame` | `OpenTimeSeries`, `OpenFrame` | Returns most of the properties in one go. |
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+ | `arithmetic_ret` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Annualized arithmetic mean of returns](https://www.investopedia.com/terms/a/arithmeticmean.asp). |
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+ | `geo_ret` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Compound Annual Growth Rate(CAGR)](https://www.investopedia.com/terms/c/cagr.asp), a specific implementation of geometric mean. |
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+ | `value_ret` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Simple return from first to last observation. |
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+ | `vol` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Annualized [volatility](https://www.investopedia.com/terms/v/volatility.asp). Pandas .std() is the equivalent of stdev.s([...]) in MS excel. |
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+ | `downside_deviation` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Downside deviation](https://www.investopedia.com/terms/d/downside-deviation.asp) is the volatility of all negative return observations. Minimum Accepted Return (MAR) set to zero. |
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+ | `ret_vol_ratio` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Ratio of arithmetic mean return and annualized volatility. It is the [Sharpe Ratio](https://www.investopedia.com/terms/s/sharperatio.asp) with the riskfree rate set to zero. |
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+ | `sortino_ratio` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The [Sortino Ratio](https://www.investopedia.com/terms/s/sortinoratio.asp) is the arithmetic mean return divided by the downside deviation. This attribute assumes that the riskfree rate and the MAR are both zero. |
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+ | `kappa3_ratio` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The Kappa-3 Ratio is the arithmetic mean return divided by the cubic-root of the lower partial moment of order 3. It penalizes larger downside outcomes more heavily than the Sortino ratio (which uses order 2). This attribute assumes that the riskfree rate and the MAR are both zero. |
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+ | `omega_ratio` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The [Omega Ratio](https://en.wikipedia.org/wiki/Omega_ratio) compares returns above a certain target level (MAR) to the total downside risk below MAR. |
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+ | `var_down` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Downside 95% [Value At Risk](https://www.investopedia.com/terms/v/var.asp), "VaR". The equivalent of percentile.inc([...], 1-level) over returns in MS Excel. For other confidence levels use the corresponding method. |
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+ | `cvar_down` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Downside 95% [Conditional Value At Risk](https://www.investopedia.com/terms/c/conditional_value_at_risk.asp), "CVaR". For other confidence levels use the corresponding method. |
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+ | `worst` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Most negative percentage change of a single observation. |
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+ | `worst_month` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Most negative month. |
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+ | `max_drawdown` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Maximum drawdown](https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp). |
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+ | `max_drawdown_cal_year` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Max drawdown in a single calendar year. |
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+ | `positive_share` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The share of percentage changes that are positive. |
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+ | `vol_from_var` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Implied annualized volatility from the Downside VaR using the assumption that returns are normally distributed. |
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+ | `skew` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Skew](https://www.investopedia.com/terms/s/skewness.asp) of the return distribution. |
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+ | `kurtosis` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Kurtosis](https://www.investopedia.com/terms/k/kurtosis.asp) of the return distribution. |
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+ | `z_score` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Z-score](https://www.investopedia.com/terms/z/zscore.asp) as (last return - mean return) / standard deviation of returns. |
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  ### Methods below are identical to the Numerical Properties above.
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  _They are simply methods that take different date or length inputs to return the
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  properties for subset periods._
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- | Method | type | Applies to | Description |
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- |:--------------------------|:-------------------------|:------------------------------|:---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
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- | `arithmetic_ret_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Annualized arithmetic mean of returns](https://www.investopedia.com/terms/a/arithmeticmean.asp). |
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- | `geo_ret_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Compound Annual Growth Rate(CAGR)](https://www.investopedia.com/terms/c/cagr.asp), a specific implementation of geometric mean. |
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- | `value_ret_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Simple return from first to last observation. |
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- | `vol_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Annualized [volatility](https://www.investopedia.com/terms/v/volatility.asp). Pandas .std() is the equivalent of stdev.s([...]) in MS excel. |
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- | `downside_deviation_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Downside deviation](https://www.investopedia.com/terms/d/downside-deviation.asp) is the volatility of all negative return observations. MAR and riskfree rate can be set. |
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- | `ret_vol_ratio_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Ratio of arithmetic mean return and annualized volatility. It is the [Sharpe Ratio](https://www.investopedia.com/terms/s/sharperatio.asp) with the riskfree rate set to zero. A riskfree rate can be set as a float or a series chosen for the frame function. |
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- | `sortino_ratio_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The [Sortino Ratio](https://www.investopedia.com/terms/s/sortinoratio.asp) is the arithmetic mean return divided by the downside deviation. A riskfree rate can be set as a float or a series chosen for the frame function. MAR is set to zero. |
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- | `omega_ratio_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The [Omega Ratio](https://en.wikipedia.org/wiki/Omega_ratio) compares returns above a certain target level (MAR) to the total downside risk below MAR. |
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- | `var_down_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Downside 95% [Value At Risk](https://www.investopedia.com/terms/v/var.asp), "VaR". The equivalent of percentile.inc([...], 1-level) over returns in MS Excel. Default is 95% confidence level. |
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- | `cvar_down_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Downside 95% [Conditional Value At Risk](https://www.investopedia.com/terms/c/conditional_value_at_risk.asp), "CVaR". Default is 95% confidence level. |
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- | `worst_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Most negative percentage change for a given number of observations (default=1). |
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- | `max_drawdown_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Maximum drawdown](https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp). |
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- | `positive_share_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The share of percentage changes that are positive. |
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- | `vol_from_var_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Implied annualized volatility from the Downside VaR using the assumption that returns are normally distributed. |
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- | `skew_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Skew](https://www.investopedia.com/terms/s/skewness.asp) of the return distribution. |
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- | `kurtosis_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Kurtosis](https://www.investopedia.com/terms/k/kurtosis.asp) of the return distribution. |
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- | `z_score_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Z-score](https://www.investopedia.com/terms/z/zscore.asp) as (last return - mean return) / standard deviation of returns. |
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- | `target_weight_from_var` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | A position target weight from the ratio between a VaR implied volatility and a given target volatility. |
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+ | Method | type | Applies to | Description |
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+ |:----------------------------|:-------------------------|:------------------------------|:----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
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+ | `arithmetic_ret_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Annualized arithmetic mean of returns](https://www.investopedia.com/terms/a/arithmeticmean.asp). |
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+ | `geo_ret_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Compound Annual Growth Rate(CAGR)](https://www.investopedia.com/terms/c/cagr.asp), a specific implementation of geometric mean. |
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+ | `value_ret_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Simple return from first to last observation. |
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+ | `vol_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Annualized [volatility](https://www.investopedia.com/terms/v/volatility.asp). Pandas .std() is the equivalent of stdev.s([...]) in MS excel. |
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+ | `lower_partial_moment_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Downside deviation](https://www.investopedia.com/terms/d/downside-deviation.asp) is the volatility of all negative return observations when order is set to 2. MAR and riskfree rate can be set. If order is set to 3 this function is used as the denominator when calculating the Kappa-3 Ratio. |
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+ | `ret_vol_ratio_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Ratio of arithmetic mean return and annualized volatility. It is the [Sharpe Ratio](https://www.investopedia.com/terms/s/sharperatio.asp) with the riskfree rate set to zero. A riskfree rate can be set as a float or a series chosen for the frame function. |
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+ | `sortino_ratio_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The [Sortino Ratio](https://www.investopedia.com/terms/s/sortinoratio.asp) is the arithmetic mean return divided by the downside deviation when order is set to 2. MAR and riskfree rate can be set. If order is set to 3 this function calculates the Kappa-3 Ratio. |
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+ | `omega_ratio_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The [Omega Ratio](https://en.wikipedia.org/wiki/Omega_ratio) compares returns above a certain target level (MAR) to the total downside risk below MAR. |
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+ | `var_down_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Downside 95% [Value At Risk](https://www.investopedia.com/terms/v/var.asp), "VaR". The equivalent of percentile.inc([...], 1-level) over returns in MS Excel. Default is 95% confidence level. |
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+ | `cvar_down_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Downside 95% [Conditional Value At Risk](https://www.investopedia.com/terms/c/conditional_value_at_risk.asp), "CVaR". Default is 95% confidence level. |
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+ | `worst_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Most negative percentage change for a given number of observations (default=1). |
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+ | `max_drawdown_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Maximum drawdown](https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp). |
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+ | `positive_share_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The share of percentage changes that are positive. |
363
+ | `vol_from_var_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Implied annualized volatility from the Downside VaR using the assumption that returns are normally distributed. |
364
+ | `skew_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Skew](https://www.investopedia.com/terms/s/skewness.asp) of the return distribution. |
365
+ | `kurtosis_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Kurtosis](https://www.investopedia.com/terms/k/kurtosis.asp) of the return distribution. |
366
+ | `z_score_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Z-score](https://www.investopedia.com/terms/z/zscore.asp) as (last return - mean return) / standard deviation of returns. |
367
+ | `target_weight_from_var` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | A position target weight from the ratio between a VaR implied volatility and a given target volatility. |
366
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{openseries-1.9.2 → openseries-1.9.3}/README.md RENAMED
@@ -202,25 +202,26 @@ make lint
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  ### Methods that apply only to the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class.
204
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205
- | Method | Applies to | Description |
206
- |:------------------------|:------------|:-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
207
- | `merge_series` | `OpenFrame` | Merges the Pandas Dataframes of the constituent OpenTimeSeries. |
208
- | `trunc_frame` | `OpenFrame` | Truncates the OpenFrame to a common period. |
209
- | `add_timeseries` | `OpenFrame` | Adds a given OpenTimeSeries to the OpenFrame. |
210
- | `delete_timeseries` | `OpenFrame` | Deletes an OpenTimeSeries from the OpenFrame. |
211
- | `relative` | `OpenFrame` | Calculates a new series that is the relative performance of two others. |
212
- | `make_portfolio` | `OpenFrame` | Calculates a portfolio timeseries based on the series and weights. Weights can be provided as a list, or a weight strategy can be set as *equal weights* or *inverted volatility*. |
213
- | `ord_least_squares_fit` | `OpenFrame` | Performs a regression and an [Ordinary Least Squares](https://www.statsmodels.org/stable/examples/notebooks/generated/ols.html) fit. |
214
- | `beta` | `OpenFrame` | Calculates [Beta](https://www.investopedia.com/terms/b/beta.asp) of an asset relative a market. |
215
- | `jensen_alpha` | `OpenFrame` | Calculates [Jensen's Alpha](https://www.investopedia.com/terms/j/jensensmeasure.asp) of an asset relative a market. |
216
- | `tracking_error_func` | `OpenFrame` | Calculates the [tracking errors](https://www.investopedia.com/terms/t/trackingerror.asp) relative to a selected series in the OpenFrame. |
217
- | `info_ratio_func` | `OpenFrame` | Calculates the [information ratios](https://www.investopedia.com/terms/i/informationratio.asp) relative to a selected series in the OpenFrame. |
218
- | `capture_ratio_func` | `OpenFrame` | Calculates up, down and up/down [capture ratios](https://www.investopedia.com/terms/d/down-market-capture-ratio.asp) relative to a selected series. |
219
- | `rolling_info_ratio` | `OpenFrame` | Returns a pandas.DataFrame with the rolling [information ratio](https://www.investopedia.com/terms/i/informationratio.asp) between two series. |
220
- | `rolling_beta` | `OpenFrame` | Returns a pandas.DataFrame with the rolling [Beta](https://www.investopedia.com/terms/b/beta.asp) of an asset relative a market. |
221
- | `rolling_corr` | `OpenFrame` | Calculates and adds a series of rolling [correlations](https://www.investopedia.com/terms/c/correlation.asp) between two other series. |
222
- | `correl_matrix` | `OpenFrame` | Returns a `pandas.DataFrame` with a correlation matrix. |
223
- | `ewma_risk` | `OpenFrame` | Returns a `pandas.DataFrame` with volatility and correlation based on [Exponentially Weighted Moving Average](https://www.investopedia.com/articles/07/ewma.asp). |
205
+ | Method | Applies to | Description |
206
+ |:---------------------------------|:------------|:--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
207
+ | `merge_series` | `OpenFrame` | Merges the Pandas Dataframes of the constituent OpenTimeSeries. |
208
+ | `trunc_frame` | `OpenFrame` | Truncates the OpenFrame to a common period. |
209
+ | `add_timeseries` | `OpenFrame` | Adds a given OpenTimeSeries to the OpenFrame. |
210
+ | `delete_timeseries` | `OpenFrame` | Deletes an OpenTimeSeries from the OpenFrame. |
211
+ | `relative` | `OpenFrame` | Calculates a new series that is the relative performance of two others. |
212
+ | `make_portfolio` | `OpenFrame` | Calculates a portfolio timeseries based on the series and weights. Weights can be provided as a list, or a weight strategy can be set as *equal weights* or *inverted volatility*. |
213
+ | `ord_least_squares_fit` | `OpenFrame` | Performs a regression and an [Ordinary Least Squares](https://www.statsmodels.org/stable/examples/notebooks/generated/ols.html) fit. |
214
+ | `beta` | `OpenFrame` | Calculates [Beta](https://www.investopedia.com/terms/b/beta.asp) of an asset relative a market. |
215
+ | `jensen_alpha` | `OpenFrame` | Calculates [Jensen's Alpha](https://www.investopedia.com/terms/j/jensensmeasure.asp) of an asset relative a market. |
216
+ | `tracking_error_func` | `OpenFrame` | Calculates the [tracking errors](https://www.investopedia.com/terms/t/trackingerror.asp) relative to a selected series in the OpenFrame. |
217
+ | `info_ratio_func` | `OpenFrame` | Calculates the [information ratios](https://www.investopedia.com/terms/i/informationratio.asp) relative to a selected series in the OpenFrame. |
218
+ | `capture_ratio_func` | `OpenFrame` | Calculates up, down and up/down [capture ratios](https://www.investopedia.com/terms/d/down-market-capture-ratio.asp) relative to a selected series. |
219
+ | `rolling_info_ratio` | `OpenFrame` | Returns a pandas.DataFrame with the rolling [information ratio](https://www.investopedia.com/terms/i/informationratio.asp) between two series. |
220
+ | `rolling_beta` | `OpenFrame` | Returns a pandas.DataFrame with the rolling [Beta](https://www.investopedia.com/terms/b/beta.asp) of an asset relative a market. |
221
+ | `rolling_corr` | `OpenFrame` | Calculates and adds a series of rolling [correlations](https://www.investopedia.com/terms/c/correlation.asp) between two other series. |
222
+ | `correl_matrix` | `OpenFrame` | Returns a `pandas.DataFrame` with a correlation matrix. |
223
+ | `ewma_risk` | `OpenFrame` | Returns a `pandas.DataFrame` with volatility and correlation based on [Exponentially Weighted Moving Average](https://www.investopedia.com/articles/07/ewma.asp). |
224
+ | `multi_factor_linear_regression` | `OpenFrame` | Treats one specified series as the dependent variable (y) and uses all remaining series as independent variables (X) in a linear regression and returns a DataFrame with summary output and a series of predicted values. |
224
225
 
225
226
  ### Methods that apply to both the [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) and the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class.
226
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@@ -250,51 +251,52 @@ make lint
250
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251
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  ### Numerical properties available for individual [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) or on all series in an [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py).
252
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253
- | Property | type | Applies to | Description |
254
- |:------------------------|:-------------------------|:------------------------------|:------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
255
- | `all_properties` | `pandas.DataFrame` | `OpenTimeSeries`, `OpenFrame` | Returns most of the properties in one go. |
256
- | `arithmetic_ret` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Annualized arithmetic mean of returns](https://www.investopedia.com/terms/a/arithmeticmean.asp). |
257
- | `geo_ret` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Compound Annual Growth Rate(CAGR)](https://www.investopedia.com/terms/c/cagr.asp), a specific implementation of geometric mean. |
258
- | `value_ret` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Simple return from first to last observation. |
259
- | `vol` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Annualized [volatility](https://www.investopedia.com/terms/v/volatility.asp). Pandas .std() is the equivalent of stdev.s([...]) in MS excel. |
260
- | `downside_deviation` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Downside deviation](https://www.investopedia.com/terms/d/downside-deviation.asp) is the volatility of all negative return observations. Minimum Accepted Return (MAR) set to zero. |
261
- | `ret_vol_ratio` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Ratio of arithmetic mean return and annualized volatility. It is the [Sharpe Ratio](https://www.investopedia.com/terms/s/sharperatio.asp) with the riskfree rate set to zero. |
262
- | `sortino_ratio` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The [Sortino Ratio](https://www.investopedia.com/terms/s/sortinoratio.asp) is the arithmetic mean return divided by the downside deviation. This attribute assumes that the riskfree rate and the MAR are both zero. |
263
- | `omega_ratio` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The [Omega Ratio](https://en.wikipedia.org/wiki/Omega_ratio) compares returns above a certain target level (MAR) to the total downside risk below MAR. |
264
- | `var_down` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Downside 95% [Value At Risk](https://www.investopedia.com/terms/v/var.asp), "VaR". The equivalent of percentile.inc([...], 1-level) over returns in MS Excel. For other confidence levels use the corresponding method. |
265
- | `cvar_down` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Downside 95% [Conditional Value At Risk](https://www.investopedia.com/terms/c/conditional_value_at_risk.asp), "CVaR". For other confidence levels use the corresponding method. |
266
- | `worst` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Most negative percentage change of a single observation. |
267
- | `worst_month` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Most negative month. |
268
- | `max_drawdown` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Maximum drawdown](https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp). |
269
- | `max_drawdown_cal_year` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Max drawdown in a single calendar year. |
270
- | `positive_share` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The share of percentage changes that are positive. |
271
- | `vol_from_var` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Implied annualized volatility from the Downside VaR using the assumption that returns are normally distributed. |
272
- | `skew` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Skew](https://www.investopedia.com/terms/s/skewness.asp) of the return distribution. |
273
- | `kurtosis` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Kurtosis](https://www.investopedia.com/terms/k/kurtosis.asp) of the return distribution. |
274
- | `z_score` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Z-score](https://www.investopedia.com/terms/z/zscore.asp) as (last return - mean return) / standard deviation of returns. |
254
+ | Property | type | Applies to | Description |
255
+ |:------------------------|:-------------------------|:------------------------------|:-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
256
+ | `all_properties` | `pandas.DataFrame` | `OpenTimeSeries`, `OpenFrame` | Returns most of the properties in one go. |
257
+ | `arithmetic_ret` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Annualized arithmetic mean of returns](https://www.investopedia.com/terms/a/arithmeticmean.asp). |
258
+ | `geo_ret` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Compound Annual Growth Rate(CAGR)](https://www.investopedia.com/terms/c/cagr.asp), a specific implementation of geometric mean. |
259
+ | `value_ret` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Simple return from first to last observation. |
260
+ | `vol` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Annualized [volatility](https://www.investopedia.com/terms/v/volatility.asp). Pandas .std() is the equivalent of stdev.s([...]) in MS excel. |
261
+ | `downside_deviation` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Downside deviation](https://www.investopedia.com/terms/d/downside-deviation.asp) is the volatility of all negative return observations. Minimum Accepted Return (MAR) set to zero. |
262
+ | `ret_vol_ratio` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Ratio of arithmetic mean return and annualized volatility. It is the [Sharpe Ratio](https://www.investopedia.com/terms/s/sharperatio.asp) with the riskfree rate set to zero. |
263
+ | `sortino_ratio` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The [Sortino Ratio](https://www.investopedia.com/terms/s/sortinoratio.asp) is the arithmetic mean return divided by the downside deviation. This attribute assumes that the riskfree rate and the MAR are both zero. |
264
+ | `kappa3_ratio` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The Kappa-3 Ratio is the arithmetic mean return divided by the cubic-root of the lower partial moment of order 3. It penalizes larger downside outcomes more heavily than the Sortino ratio (which uses order 2). This attribute assumes that the riskfree rate and the MAR are both zero. |
265
+ | `omega_ratio` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The [Omega Ratio](https://en.wikipedia.org/wiki/Omega_ratio) compares returns above a certain target level (MAR) to the total downside risk below MAR. |
266
+ | `var_down` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Downside 95% [Value At Risk](https://www.investopedia.com/terms/v/var.asp), "VaR". The equivalent of percentile.inc([...], 1-level) over returns in MS Excel. For other confidence levels use the corresponding method. |
267
+ | `cvar_down` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Downside 95% [Conditional Value At Risk](https://www.investopedia.com/terms/c/conditional_value_at_risk.asp), "CVaR". For other confidence levels use the corresponding method. |
268
+ | `worst` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Most negative percentage change of a single observation. |
269
+ | `worst_month` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Most negative month. |
270
+ | `max_drawdown` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Maximum drawdown](https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp). |
271
+ | `max_drawdown_cal_year` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Max drawdown in a single calendar year. |
272
+ | `positive_share` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The share of percentage changes that are positive. |
273
+ | `vol_from_var` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Implied annualized volatility from the Downside VaR using the assumption that returns are normally distributed. |
274
+ | `skew` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Skew](https://www.investopedia.com/terms/s/skewness.asp) of the return distribution. |
275
+ | `kurtosis` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Kurtosis](https://www.investopedia.com/terms/k/kurtosis.asp) of the return distribution. |
276
+ | `z_score` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Z-score](https://www.investopedia.com/terms/z/zscore.asp) as (last return - mean return) / standard deviation of returns. |
275
277
 
276
278
  ### Methods below are identical to the Numerical Properties above.
277
279
 
278
280
  _They are simply methods that take different date or length inputs to return the
279
281
  properties for subset periods._
280
282
 
281
- | Method | type | Applies to | Description |
282
- |:--------------------------|:-------------------------|:------------------------------|:---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
283
- | `arithmetic_ret_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Annualized arithmetic mean of returns](https://www.investopedia.com/terms/a/arithmeticmean.asp). |
284
- | `geo_ret_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Compound Annual Growth Rate(CAGR)](https://www.investopedia.com/terms/c/cagr.asp), a specific implementation of geometric mean. |
285
- | `value_ret_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Simple return from first to last observation. |
286
- | `vol_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Annualized [volatility](https://www.investopedia.com/terms/v/volatility.asp). Pandas .std() is the equivalent of stdev.s([...]) in MS excel. |
287
- | `downside_deviation_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Downside deviation](https://www.investopedia.com/terms/d/downside-deviation.asp) is the volatility of all negative return observations. MAR and riskfree rate can be set. |
288
- | `ret_vol_ratio_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Ratio of arithmetic mean return and annualized volatility. It is the [Sharpe Ratio](https://www.investopedia.com/terms/s/sharperatio.asp) with the riskfree rate set to zero. A riskfree rate can be set as a float or a series chosen for the frame function. |
289
- | `sortino_ratio_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The [Sortino Ratio](https://www.investopedia.com/terms/s/sortinoratio.asp) is the arithmetic mean return divided by the downside deviation. A riskfree rate can be set as a float or a series chosen for the frame function. MAR is set to zero. |
290
- | `omega_ratio_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The [Omega Ratio](https://en.wikipedia.org/wiki/Omega_ratio) compares returns above a certain target level (MAR) to the total downside risk below MAR. |
291
- | `var_down_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Downside 95% [Value At Risk](https://www.investopedia.com/terms/v/var.asp), "VaR". The equivalent of percentile.inc([...], 1-level) over returns in MS Excel. Default is 95% confidence level. |
292
- | `cvar_down_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Downside 95% [Conditional Value At Risk](https://www.investopedia.com/terms/c/conditional_value_at_risk.asp), "CVaR". Default is 95% confidence level. |
293
- | `worst_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Most negative percentage change for a given number of observations (default=1). |
294
- | `max_drawdown_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Maximum drawdown](https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp). |
295
- | `positive_share_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The share of percentage changes that are positive. |
296
- | `vol_from_var_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Implied annualized volatility from the Downside VaR using the assumption that returns are normally distributed. |
297
- | `skew_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Skew](https://www.investopedia.com/terms/s/skewness.asp) of the return distribution. |
298
- | `kurtosis_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Kurtosis](https://www.investopedia.com/terms/k/kurtosis.asp) of the return distribution. |
299
- | `z_score_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Z-score](https://www.investopedia.com/terms/z/zscore.asp) as (last return - mean return) / standard deviation of returns. |
300
- | `target_weight_from_var` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | A position target weight from the ratio between a VaR implied volatility and a given target volatility. |
283
+ | Method | type | Applies to | Description |
284
+ |:----------------------------|:-------------------------|:------------------------------|:----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
285
+ | `arithmetic_ret_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Annualized arithmetic mean of returns](https://www.investopedia.com/terms/a/arithmeticmean.asp). |
286
+ | `geo_ret_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Compound Annual Growth Rate(CAGR)](https://www.investopedia.com/terms/c/cagr.asp), a specific implementation of geometric mean. |
287
+ | `value_ret_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Simple return from first to last observation. |
288
+ | `vol_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Annualized [volatility](https://www.investopedia.com/terms/v/volatility.asp). Pandas .std() is the equivalent of stdev.s([...]) in MS excel. |
289
+ | `lower_partial_moment_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Downside deviation](https://www.investopedia.com/terms/d/downside-deviation.asp) is the volatility of all negative return observations when order is set to 2. MAR and riskfree rate can be set. If order is set to 3 this function is used as the denominator when calculating the Kappa-3 Ratio. |
290
+ | `ret_vol_ratio_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Ratio of arithmetic mean return and annualized volatility. It is the [Sharpe Ratio](https://www.investopedia.com/terms/s/sharperatio.asp) with the riskfree rate set to zero. A riskfree rate can be set as a float or a series chosen for the frame function. |
291
+ | `sortino_ratio_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The [Sortino Ratio](https://www.investopedia.com/terms/s/sortinoratio.asp) is the arithmetic mean return divided by the downside deviation when order is set to 2. MAR and riskfree rate can be set. If order is set to 3 this function calculates the Kappa-3 Ratio. |
292
+ | `omega_ratio_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The [Omega Ratio](https://en.wikipedia.org/wiki/Omega_ratio) compares returns above a certain target level (MAR) to the total downside risk below MAR. |
293
+ | `var_down_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Downside 95% [Value At Risk](https://www.investopedia.com/terms/v/var.asp), "VaR". The equivalent of percentile.inc([...], 1-level) over returns in MS Excel. Default is 95% confidence level. |
294
+ | `cvar_down_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Downside 95% [Conditional Value At Risk](https://www.investopedia.com/terms/c/conditional_value_at_risk.asp), "CVaR". Default is 95% confidence level. |
295
+ | `worst_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Most negative percentage change for a given number of observations (default=1). |
296
+ | `max_drawdown_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Maximum drawdown](https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp). |
297
+ | `positive_share_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | The share of percentage changes that are positive. |
298
+ | `vol_from_var_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | Implied annualized volatility from the Downside VaR using the assumption that returns are normally distributed. |
299
+ | `skew_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Skew](https://www.investopedia.com/terms/s/skewness.asp) of the return distribution. |
300
+ | `kurtosis_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Kurtosis](https://www.investopedia.com/terms/k/kurtosis.asp) of the return distribution. |
301
+ | `z_score_func` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Z-score](https://www.investopedia.com/terms/z/zscore.asp) as (last return - mean return) / standard deviation of returns. |
302
+ | `target_weight_from_var` | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | A position target weight from the ratio between a VaR implied volatility and a given target volatility. |