sigmaquant 0.1.0__tar.gz

sigmaquant-0.1.0/PKG-INFO

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+Metadata-Version: 2.4
+Name: sigmaquant
+Version: 0.1.0
+Summary: Python library providing performance, risk, and distribution metrics for quantitative finance workflows
+Author: Lorenzo Santarsieri
+License-Expression: MIT
+Requires-Python: >=3.11
+Description-Content-Type: text/markdown
+Requires-Dist: numpy<3,>=2.2
+Requires-Dist: scipy<2,>=1.15
+Requires-Dist: pandas<3,>=2.2
+Requires-Dist: statsmodels<1,>=0.14
+
+
+<p align="center">
+  <img src="https://img.shields.io/badge/Python-3776AB?style=for-the-badge&logo=python&logoColor=white" alt="Python">
+  <img src="https://img.shields.io/badge/NumPy-013243?style=for-the-badge&logo=numpy&logoColor=white" alt="NumPy">
+  <img src="https://img.shields.io/badge/Pandas-150458?style=for-the-badge&logo=pandas&logoColor=white" alt="Pandas">
+  <img src="https://img.shields.io/badge/Quantitative%20Finance-2E8B57?style=for-the-badge" alt="Quant Finance">
+  <img src="https://img.shields.io/badge/Research%20Grade-6A0DAD?style=for-the-badge" alt="Research Grade">
+</p>
+
+<p align="center">
+  <b>Research-Grade Performance & Risk Metrics</b><br>
+  <i>Statistically consistent analytics for quantitative finance</i>
+</p>
+
+
+sigma-quant is a lightweight Python library providing performance,
+risk, and distribution metrics for quantitative finance workflows.
+
+
+### 📦 Installation (PyPI Package)
+------------
+Install the package from **PyPI**:
+
+```bash
+pip install sigma-quant
+```
+
+### 📘Documentation
+-------------
+This README is intentionally high-level.
+
+For the complete API reference, mathematical definitions, statistical
+conventions, and usage examples, please refer to the official
+documentation:
+
+https://sigma-quant.readthedocs.io/en/latest/index.html
+
+
+### ASCII Report
+
+Generate a fast portfolio performance report using `ascii_report`.
+If the input series represents **PnL**, set `kind="pnl"` and optionally
+specify the currency.
+
+```python
+import sigmaquant
+
+report = sigmaquant.ascii_report(
+    returns=portfolio_returns,
+    frequency="D",
+    strategy_name="My Portfolio",
+    kind="simple",
+)
+
+print(report)
+
+# Optional exports
+df = report.to_dataframe()
+data = report.to_dict()
+```
+
+### 🪪 License
+------------
+MIT © 2025 — Developed with ❤️ by Lorenzo Santarsieri & Tommaso Grandi

sigmaquant-0.1.0/README.md

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+
+<p align="center">
+  <img src="https://img.shields.io/badge/Python-3776AB?style=for-the-badge&logo=python&logoColor=white" alt="Python">
+  <img src="https://img.shields.io/badge/NumPy-013243?style=for-the-badge&logo=numpy&logoColor=white" alt="NumPy">
+  <img src="https://img.shields.io/badge/Pandas-150458?style=for-the-badge&logo=pandas&logoColor=white" alt="Pandas">
+  <img src="https://img.shields.io/badge/Quantitative%20Finance-2E8B57?style=for-the-badge" alt="Quant Finance">
+  <img src="https://img.shields.io/badge/Research%20Grade-6A0DAD?style=for-the-badge" alt="Research Grade">
+</p>
+
+<p align="center">
+  <b>Research-Grade Performance & Risk Metrics</b><br>
+  <i>Statistically consistent analytics for quantitative finance</i>
+</p>
+
+
+sigma-quant is a lightweight Python library providing performance,
+risk, and distribution metrics for quantitative finance workflows.
+
+
+### 📦 Installation (PyPI Package)
+------------
+Install the package from **PyPI**:
+
+```bash
+pip install sigma-quant
+```
+
+### 📘Documentation
+-------------
+This README is intentionally high-level.
+
+For the complete API reference, mathematical definitions, statistical
+conventions, and usage examples, please refer to the official
+documentation:
+
+https://sigma-quant.readthedocs.io/en/latest/index.html
+
+
+### ASCII Report
+
+Generate a fast portfolio performance report using `ascii_report`.
+If the input series represents **PnL**, set `kind="pnl"` and optionally
+specify the currency.
+
+```python
+import sigmaquant
+
+report = sigmaquant.ascii_report(
+    returns=portfolio_returns,
+    frequency="D",
+    strategy_name="My Portfolio",
+    kind="simple",
+)
+
+print(report)
+
+# Optional exports
+df = report.to_dataframe()
+data = report.to_dict()
+```
+
+### 🪪 License
+------------
+MIT © 2025 — Developed with ❤️ by Lorenzo Santarsieri & Tommaso Grandi

sigmaquant-0.1.0/pyproject.toml

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+[project]
+name = "sigmaquant"
+version = "0.1.0"
+description = "Python library providing performance, risk, and distribution metrics for quantitative finance workflows"
+readme = "README.md"
+license = "MIT"
+authors = [{ name = "Lorenzo Santarsieri" }]
+requires-python = ">=3.11"
+dependencies = [
+    "numpy>=2.2,<3",
+    "scipy>=1.15,<2",
+    "pandas>=2.2,<3",
+    "statsmodels>=0.14,<1"
+]
+
+[build-system]
+requires = ["setuptools>=61.0"]
+build-backend = "setuptools.build_meta"

sigmaquant-0.1.0/setup.cfg

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

sigmaquant-0.1.0/sigma_quant/__init__.py

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+from .custom_typing import Frequency
+
+from .performance.returns import (
+    cum_returns,
+    annual_return,
+    aggregate_returns,
+)
+
+from .performance.risk import (
+    drawdown,
+    max_drawdown,
+    annual_vola,
+    downside_risk,
+    upside_risk,
+    time_underwater,
+    drawdown_stats,
+    tail_ratio,
+)
+
+from .performance.metrics import (
+    sharpe_ratio,
+    sortino_ratio,
+    calmar_ratio,
+    omega_ratio,
+    hit_rate,
+    period_hit_rate,
+    skew,
+    excess_kurtosis,
+    tracking_error,
+    information_ratio,
+)
+
+from .performance.rolling import rolling_metric
+from .performance.report import ascii_report

sigmaquant-0.1.0/sigma_quant/custom_typing.py

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+from __future__ import annotations
+
+from typing import Literal, Iterable, Union
+import pandas as pd
+import numpy as np
+
+Frequency = Literal["D", "W", "M", "Y"]
+
+ArrayLike = Union[
+    Iterable[float],
+    np.ndarray,
+    pd.Series,
+]

sigmaquant-0.1.0/sigma_quant/performance/__init__.py

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+from .returns import (
+    cum_returns,
+    annual_return,
+    aggregate_returns,
+)
+
+from .risk import (
+    drawdown,
+    max_drawdown,
+    annual_vola,
+    downside_risk,
+    upside_risk,
+    time_underwater,
+    drawdown_stats,
+    tail_ratio,
+)
+
+from .metrics import (
+    sharpe_ratio,
+    sortino_ratio,
+    calmar_ratio,
+    omega_ratio,
+    hit_rate,
+    period_hit_rate,
+    skew,
+    excess_kurtosis,
+    tracking_error,
+    information_ratio,
+)
+
+from .rolling import rolling_metric
+from .report import ascii_report