squarequant 0.1.0__tar.gz

squarequant-0.1.0/LICENSE

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+MIT License
+
+Copyright (c) 2025 Gabriel Bosch
+
+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.

squarequant-0.1.0/PKG-INFO

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+Metadata-Version: 2.2
+Name: squarequant
+Version: 0.1.0
+Summary: A Python package for quantitative finance
+Home-page: https://github.com/SquareQuant/squarequant-package
+Author: Gabriel Bosch
+Author-email: contact@suqarequant.org
+Project-URL: Documentation, https://squarequant.readthedocs.io
+Project-URL: Bug Tracker, https://github.com/SquareQuant/squarequant-package/issues
+Keywords: finance,risk,portfolio,investment,stocks,analysis,visualization
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.7
+Classifier: Programming Language :: Python :: 3.8
+Classifier: Programming Language :: Python :: 3.9
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Operating System :: OS Independent
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Classifier: Topic :: Scientific/Engineering :: Information Analysis
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Intended Audience :: Science/Research
+Classifier: Development Status :: 4 - Beta
+Requires-Python: >=3.7
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Requires-Dist: pandas>=1.0.0
+Requires-Dist: numpy>=1.18.0
+Requires-Dist: yfinance>=0.1.63
+Requires-Dist: scipy>=1.5.0
+Requires-Dist: matplotlib>=3.3.0
+Provides-Extra: optimization
+Requires-Dist: cvxpy>=1.0.0; extra == "optimization"
+Provides-Extra: dev
+Requires-Dist: pytest>=6.0.0; extra == "dev"
+Requires-Dist: black>=21.5b2; extra == "dev"
+Requires-Dist: flake8>=3.9.0; extra == "dev"
+Requires-Dist: sphinx>=4.0.0; extra == "dev"
+Requires-Dist: sphinx-rtd-theme>=0.5.0; extra == "dev"
+Dynamic: author
+Dynamic: author-email
+Dynamic: classifier
+Dynamic: description
+Dynamic: description-content-type
+Dynamic: home-page
+Dynamic: keywords
+Dynamic: project-url
+Dynamic: provides-extra
+Dynamic: requires-dist
+Dynamic: requires-python
+Dynamic: summary
+
+# SquareQuant
+
+A professional-grade Python package for financial risk analysis, advanced portfolio metrics, and investment visualization with a focus on performance and usability.
+
+## Features
+
+### Data Management
+- Seamless download and integration with Yahoo Finance data
+- Flexible data filtering and preprocessing utilities
+- Configurable date ranges and interval selection
+
+### Risk Metrics
+- **Standard Metrics**:
+  - Sharpe & Sortino Ratios
+  - Volatility & Semi-Deviation
+  - Maximum Drawdown (MDD) & Average Drawdown
+  - Value at Risk (VaR) & Conditional Value at Risk (CVaR)
+- **Advanced Metrics**:
+  - Mean Absolute Deviation (MAD)
+  - Ulcer Index
+  - Entropic Risk Measure (ERM)
+  - Entropic Value at Risk (EVaR)
+  - Conditional Drawdown at Risk (CDaR)
+  - Entropic Drawdown at Risk (EDaR)
+
+### Visualization
+- Interactive risk metrics dashboards
+- Correlation matrix heatmaps
+- Drawdown analysis charts
+- Return distribution visualization
+- Risk contribution analysis
+- Portfolio weight allocation diagrams
+
+### Implementation Advantages
+- Memory-efficient vectorized calculations
+- Dual API approaches: functional & object-oriented
+- Configurable window sizes for all metrics
+- Minimal external dependencies
+
+## Installation
+
+```bash
+pip install squarequant
+```
+
+## Quick Start Guide
+
+```python
+import squarequant as sq
+import matplotlib.pyplot as plt
+
+# Download stock data
+tickers = ["AAPL", "MSFT", "GOOGL"]
+config = sq.DownloadConfig(
+    start_date="2020-01-01",
+    end_date="2023-01-01",
+    interval="1d"
+)
+data = sq.download_tickers(tickers, config)
+
+# Calculate risk metrics
+assets = ["AAPL_Close", "MSFT_Close", "GOOGL_Close"]
+
+# Sharpe ratio with a 1-year rolling window
+sharpe_ratios = sq.sharpe(data, assets, window=252)
+
+# Plot the results
+plt.figure(figsize=(12, 8))
+sharpe_ratios.plot()
+plt.title("Rolling Sharpe Ratios")
+plt.show()
+```
+
+## Advanced Usage Examples
+
+### Multiple Risk Metrics Visualization
+
+```python
+# Create a visualization of multiple risk metrics
+sq.plot_rolling_metrics(
+    data=data,
+    assets=assets,
+    metrics=['sharpe', 'vol', 'mdd', 'var'],
+    windows={'vol': 20, 'mdd': 252}
+)
+plt.show()
+```
+
+### Risk Comparison Dashboard
+
+```python
+# Create a risk comparison dashboard
+sq.plot_risk_comparison(
+    data=data,
+    assets=assets,
+    risk_metrics=['vol', 'mdd', 'var', 'cvar', 'semidev', 'ulcer'],
+)
+plt.show()
+```
+
+### Performance Metrics Table
+
+```python
+# Generate a performance metrics table
+sq.plot_performance_metrics(
+    data=data,
+    assets=assets,
+    risk_free=0.02,  # 2% risk-free rate
+)
+plt.show()
+```
+
+### Object-Oriented Interface
+
+SquareQuant provides an object-oriented interface for more advanced use cases:
+
+```python
+from squarequant.core.metrics import EntropicValueAtRisk
+
+# Create an EVaR calculator
+calculator = EntropicValueAtRisk(
+    data=data,
+    assets=assets,
+    alpha=0.95,  # 95% confidence level
+    window=252,
+    start="2021-01-01",
+    end="2022-01-01"
+)
+
+# Calculate EVaR
+evar_values = calculator.calculate()
+```
+
+## Configuration Options
+
+### Custom Risk-Free Rate
+
+```python
+# Using a constant value
+sharpe_ratios = sq.sharpe(data, assets, freerate_value=0.02)
+
+# Using a column in your data
+sharpe_ratios = sq.sharpe(data, assets, freerate="TREASURY_YIELD")
+```
+
+### Custom Confidence Levels
+
+```python
+# Calculate VaR with 99% confidence
+var_values = sq.var(data, assets, confidence=0.99)
+```
+
+## Documentation
+
+For full documentation, visit [https://squarequant.readthedocs.io](https://squarequant.readthedocs.io)
+
+## Contributing
+
+Contributions are welcome! Please feel free to submit a Pull Request.
+
+## License
+
+MIT
+
+## Author
+
+Gabriel Bosch

squarequant-0.1.0/README.md

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+# SquareQuant
+
+A professional-grade Python package for financial risk analysis, advanced portfolio metrics, and investment visualization with a focus on performance and usability.
+
+## Features
+
+### Data Management
+- Seamless download and integration with Yahoo Finance data
+- Flexible data filtering and preprocessing utilities
+- Configurable date ranges and interval selection
+
+### Risk Metrics
+- **Standard Metrics**:
+  - Sharpe & Sortino Ratios
+  - Volatility & Semi-Deviation
+  - Maximum Drawdown (MDD) & Average Drawdown
+  - Value at Risk (VaR) & Conditional Value at Risk (CVaR)
+- **Advanced Metrics**:
+  - Mean Absolute Deviation (MAD)
+  - Ulcer Index
+  - Entropic Risk Measure (ERM)
+  - Entropic Value at Risk (EVaR)
+  - Conditional Drawdown at Risk (CDaR)
+  - Entropic Drawdown at Risk (EDaR)
+
+### Visualization
+- Interactive risk metrics dashboards
+- Correlation matrix heatmaps
+- Drawdown analysis charts
+- Return distribution visualization
+- Risk contribution analysis
+- Portfolio weight allocation diagrams
+
+### Implementation Advantages
+- Memory-efficient vectorized calculations
+- Dual API approaches: functional & object-oriented
+- Configurable window sizes for all metrics
+- Minimal external dependencies
+
+## Installation
+
+```bash
+pip install squarequant
+```
+
+## Quick Start Guide
+
+```python
+import squarequant as sq
+import matplotlib.pyplot as plt
+
+# Download stock data
+tickers = ["AAPL", "MSFT", "GOOGL"]
+config = sq.DownloadConfig(
+    start_date="2020-01-01",
+    end_date="2023-01-01",
+    interval="1d"
+)
+data = sq.download_tickers(tickers, config)
+
+# Calculate risk metrics
+assets = ["AAPL_Close", "MSFT_Close", "GOOGL_Close"]
+
+# Sharpe ratio with a 1-year rolling window
+sharpe_ratios = sq.sharpe(data, assets, window=252)
+
+# Plot the results
+plt.figure(figsize=(12, 8))
+sharpe_ratios.plot()
+plt.title("Rolling Sharpe Ratios")
+plt.show()
+```
+
+## Advanced Usage Examples
+
+### Multiple Risk Metrics Visualization
+
+```python
+# Create a visualization of multiple risk metrics
+sq.plot_rolling_metrics(
+    data=data,
+    assets=assets,
+    metrics=['sharpe', 'vol', 'mdd', 'var'],
+    windows={'vol': 20, 'mdd': 252}
+)
+plt.show()
+```
+
+### Risk Comparison Dashboard
+
+```python
+# Create a risk comparison dashboard
+sq.plot_risk_comparison(
+    data=data,
+    assets=assets,
+    risk_metrics=['vol', 'mdd', 'var', 'cvar', 'semidev', 'ulcer'],
+)
+plt.show()
+```
+
+### Performance Metrics Table
+
+```python
+# Generate a performance metrics table
+sq.plot_performance_metrics(
+    data=data,
+    assets=assets,
+    risk_free=0.02,  # 2% risk-free rate
+)
+plt.show()
+```
+
+### Object-Oriented Interface
+
+SquareQuant provides an object-oriented interface for more advanced use cases:
+
+```python
+from squarequant.core.metrics import EntropicValueAtRisk
+
+# Create an EVaR calculator
+calculator = EntropicValueAtRisk(
+    data=data,
+    assets=assets,
+    alpha=0.95,  # 95% confidence level
+    window=252,
+    start="2021-01-01",
+    end="2022-01-01"
+)
+
+# Calculate EVaR
+evar_values = calculator.calculate()
+```
+
+## Configuration Options
+
+### Custom Risk-Free Rate
+
+```python
+# Using a constant value
+sharpe_ratios = sq.sharpe(data, assets, freerate_value=0.02)
+
+# Using a column in your data
+sharpe_ratios = sq.sharpe(data, assets, freerate="TREASURY_YIELD")
+```
+
+### Custom Confidence Levels
+
+```python
+# Calculate VaR with 99% confidence
+var_values = sq.var(data, assets, confidence=0.99)
+```
+
+## Documentation
+
+For full documentation, visit [https://squarequant.readthedocs.io](https://squarequant.readthedocs.io)
+
+## Contributing
+
+Contributions are welcome! Please feel free to submit a Pull Request.
+
+## License
+
+MIT
+
+## Author
+
+Gabriel Bosch

squarequant-0.1.0/setup.cfg

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

squarequant-0.1.0/setup.py

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+from setuptools import setup, find_packages
+
+with open("README.md", "r", encoding="utf-8") as fh:
+    long_description = fh.read()
+
+setup(
+    name="squarequant",
+    version="0.1.0",
+    author="Gabriel Bosch",
+    author_email="contact@suqarequant.org",
+    description="A Python package for quantitative finance",
+    long_description=long_description,
+    long_description_content_type="text/markdown",
+    url="https://github.com/SquareQuant/squarequant-package",
+    project_urls={
+        "Documentation": "https://squarequant.readthedocs.io",
+        "Bug Tracker": "https://github.com/SquareQuant/squarequant-package/issues",
+    },
+    packages=find_packages(),
+    classifiers=[
+        "Programming Language :: Python :: 3",
+        "Programming Language :: Python :: 3.7",
+        "Programming Language :: Python :: 3.8",
+        "Programming Language :: Python :: 3.9",
+        "License :: OSI Approved :: MIT License",
+        "Operating System :: OS Independent",
+        "Topic :: Office/Business :: Financial :: Investment",
+        "Topic :: Scientific/Engineering :: Information Analysis",
+        "Intended Audience :: Financial and Insurance Industry",
+        "Intended Audience :: Science/Research",
+        "Development Status :: 4 - Beta",
+    ],
+    python_requires=">=3.7",
+    install_requires=[
+        "pandas>=1.0.0",
+        "numpy>=1.18.0",
+        "yfinance>=0.1.63",
+        "scipy>=1.5.0",
+        "matplotlib>=3.3.0",
+    ],
+    extras_require={
+        "optimization": ["cvxpy>=1.0.0"],
+        "dev": [
+            "pytest>=6.0.0",
+            "black>=21.5b2",
+            "flake8>=3.9.0",
+            "sphinx>=4.0.0",
+            "sphinx-rtd-theme>=0.5.0",
+        ],
+    },
+    keywords="finance, risk, portfolio, investment, stocks, analysis, visualization",
+)

squarequant-0.1.0/squarequant/__init__.py

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+# squarequant/__init__.py
+"""
+SquareQuant: A Python package for financial risk metrics and stock data analysis
+"""
+
+__version__ = '0.1.0'
+
+# Import main functions for easy access
+from squarequant.core.data import download_tickers, DownloadConfig
+from squarequant.core.metrics import (
+    SharpeRatio,
+    SortinoRatio,
+    Volatility,
+    MaximumDrawdown,
+    ValueAtRisk,
+    CalmarRatio,
+    ConditionalValueAtRisk,
+    SemiDeviation,
+    AverageDrawdown,
+    UlcerIndex,
+    MeanAbsoluteDeviation,
+    EntropicRiskMeasure,
+    EntropicValueAtRisk,
+    ConditionalDrawdownAtRisk,
+    EntropicDrawdownAtRisk
+)
+from squarequant.api import sharpe, sortino, vol, mdd, var, calmar, cvar, semidev, avgdd, ulcer, mad, erm, evar, cdar, edar
+
+# Import plotting functions
+from squarequant.plot.plot import (
+    plot_rolling_metrics,
+    plot_correlation_matrix,
+    plot_drawdown,
+    plot_risk_comparison,
+    plot_performance_metrics,
+    plot_risk_contribution,
+    plot_returns_distribution,
+    plot_multiple_drawdowns,
+    plot_volatility_comparison,
+    plot_weight_allocation
+)