sigmaquant 0.1.0__py3-none-any.whl
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.
- sigma_quant/__init__.py +34 -0
- sigma_quant/custom_typing.py +13 -0
- sigma_quant/performance/__init__.py +32 -0
- sigma_quant/performance/metrics.py +665 -0
- sigma_quant/performance/report.py +482 -0
- sigma_quant/performance/report_models.py +130 -0
- sigma_quant/performance/returns.py +250 -0
- sigma_quant/performance/risk.py +460 -0
- sigma_quant/performance/rolling.py +70 -0
- sigma_quant/research/__init__.py +7 -0
- sigma_quant/research/autocorr.py +223 -0
- sigma_quant/utils.py +42 -0
- sigmaquant-0.1.0.dist-info/METADATA +77 -0
- sigmaquant-0.1.0.dist-info/RECORD +16 -0
- sigmaquant-0.1.0.dist-info/WHEEL +5 -0
- sigmaquant-0.1.0.dist-info/top_level.txt +1 -0
sigma_quant/__init__.py
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from .custom_typing import Frequency
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from .performance.returns import (
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cum_returns,
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annual_return,
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aggregate_returns,
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)
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from .performance.risk import (
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drawdown,
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max_drawdown,
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annual_vola,
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downside_risk,
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upside_risk,
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time_underwater,
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drawdown_stats,
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tail_ratio,
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)
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from .performance.metrics import (
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sharpe_ratio,
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sortino_ratio,
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calmar_ratio,
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omega_ratio,
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hit_rate,
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period_hit_rate,
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skew,
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excess_kurtosis,
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tracking_error,
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information_ratio,
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)
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from .performance.rolling import rolling_metric
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from .performance.report import ascii_report
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from .returns import (
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cum_returns,
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annual_return,
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aggregate_returns,
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)
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from .risk import (
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drawdown,
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max_drawdown,
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10
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annual_vola,
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downside_risk,
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12
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upside_risk,
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13
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time_underwater,
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14
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drawdown_stats,
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15
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tail_ratio,
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)
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from .metrics import (
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sharpe_ratio,
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sortino_ratio,
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calmar_ratio,
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omega_ratio,
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hit_rate,
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period_hit_rate,
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skew,
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26
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excess_kurtosis,
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27
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tracking_error,
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information_ratio,
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)
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from .rolling import rolling_metric
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from .report import ascii_report
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