squarequant 0.1.0__tar.gz → 0.2.0__tar.gz

squarequant-0.2.0/PKG-INFO

@@ -0,0 +1,268 @@
+Metadata-Version: 2.4
+Name: squarequant
+Version: 0.2.0
+Summary: A Python package for financial risk metrics and stock data analysis
+Home-page: https://github.com/SquareQuant/squarequant-package
+Author: Gabriel Bosch
+Author-email: contact@squarequant.org
+Project-URL: Documentation, https://www.squarequant.org
+Project-URL: Bug Tracker, https://github.com/SquareQuant/squarequant-package/issues
+Keywords: finance,risk,portfolio,investment,stocks,analysis,visualization,drawdown,var,cvar,entropic,ulcer index
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.7
+Classifier: Programming Language :: Python :: 3.8
+Classifier: Programming Language :: Python :: 3.9
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+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: scikit-learn>=1.5.0
+Requires-Dist: matplotlib>=3.3.0
+Requires-Dist: statsmodels>=0.12.0
+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"
+Requires-Dist: sphinx-autodoc-typehints>=1.22.0; extra == "dev"
+Requires-Dist: myst-parser>=1.0.0; extra == "dev"
+Requires-Dist: pytest-cov>=2.12.0; extra == "dev"
+Dynamic: author
+Dynamic: author-email
+Dynamic: classifier
+Dynamic: description
+Dynamic: description-content-type
+Dynamic: home-page
+Dynamic: keywords
+Dynamic: license-file
+Dynamic: project-url
+Dynamic: provides-extra
+Dynamic: requires-dist
+Dynamic: requires-python
+Dynamic: summary
+
+# SquareQuant
+
+SquareQuant is a comprehensive Python package for financial risk metrics and stock data analysis. It provides a suite of tools for quantitative finance, including risk metrics calculation and data retrieval from multiple sources.
+
+## Features
+
+- **Financial Data Access**: Multiple data sources including YFinance and Theta Data
+- **Extensive Risk Metrics**: Comprehensive set of traditional and advanced risk measures
+- **Modular Design**: Reorganized into specialized modules (data, var, etc.)
+- **Flexible API**: Consistent function-based and object-oriented interfaces
+
+## Installation
+
+```bash
+pip install squarequant
+```
+
+## Quick Start
+
+```python
+import squarequant as sq
+import pandas as pd
+import matplotlib.pyplot as plt
+
+# Configure data download
+config = sq.DownloadConfig(
+    start_date="2020-01-01",
+    end_date="2023-12-31",
+    interval='1d',
+    columns=['Close'],
+    source="yfinance"  # Or "theta" for Theta Data
+)
+
+# Download data
+data = sq.download_tickers(['AAPL', 'MSFT', 'GOOGL'], config)
+
+# Calculate volatility
+vol = sq.vol(data=data, assets=['AAPL', 'MSFT', 'GOOGL'], window=21)
+
+# Calculate Sharpe ratio
+sharpe = sq.sharpe(data=data, assets=['AAPL', 'MSFT', 'GOOGL'], window=252)
+
+# Visualize results (using matplotlib directly)
+plt.figure(figsize=(12, 6))
+plt.plot(vol)
+plt.title('21-Day Rolling Volatility')
+plt.legend(vol.columns)
+plt.show()
+```
+
+## Available Risk Metrics
+
+SquareQuant provides a comprehensive set of risk metrics, including:
+
+| Metric | Function | Description |
+|--------|----------|-------------|
+| Sharpe Ratio | `sq.sharpe()` | Risk-adjusted return using standard deviation |
+| Sortino Ratio | `sq.sortino()` | Risk-adjusted return using downside deviation |
+| Volatility | `sq.vol()` | Standard deviation of returns |
+| Maximum Drawdown | `sq.mdd()` | Largest peak-to-trough decline |
+| Value at Risk | `sq.var()` | Maximum expected loss at given confidence level |
+| Conditional Value at Risk | `sq.cvar()` | Expected loss beyond the VaR threshold |
+| Semi-Deviation | `sq.semidev()` | Downside volatility below target return |
+| Average Drawdown | `sq.avgdd()` | Mean of all drawdowns in a period |
+| Ulcer Index | `sq.ulcer()` | Square root of mean squared drawdown percentage |
+| Mean Absolute Deviation | `sq.mad()` | Average absolute deviation from mean |
+| Entropic Risk Measure | `sq.erm()` | Risk measure based on information theory |
+| Entropic Value at Risk | `sq.evar()` | VAR using entropy concepts |
+| Conditional Drawdown at Risk | `sq.cdar()` | Expected drawdown beyond threshold |
+| Entropic Drawdown at Risk | `sq.edar()` | Drawdown risk using entropy concepts |
+
+## Data Sources
+
+SquareQuant now supports multiple data providers:
+
+### YFinance
+
+The default data provider for historical price data:
+
+```python
+config = sq.DownloadConfig(
+    start_date="2020-01-01",
+    end_date="2023-12-31",
+    source="yfinance"  # Default
+)
+```
+
+### Theta Data
+
+A new alternative data provider with the same interface:
+
+```python
+config = sq.DownloadConfig(
+    start_date="2020-01-01",
+    end_date="2023-12-31",
+    source="theta"
+)
+```
+
+## Advanced Usage Examples
+
+### Analyzing Multiple Risk Metrics
+
+```python
+import squarequant as sq
+import pandas as pd
+import matplotlib.pyplot as plt
+
+# Download data
+config = sq.DownloadConfig(
+    start_date="2018-01-01",
+    end_date="2023-12-31",
+    interval='1d'
+)
+data = sq.download_tickers(['SPY', 'QQQ'], config)
+
+# Calculate multiple risk metrics
+vol = sq.vol(data=data, assets=['SPY', 'QQQ'], window=21)
+mad = sq.mad(data=data, assets=['SPY', 'QQQ'], window=252)
+mdd = sq.mdd(data=data, assets=['SPY', 'QQQ'], window=252)
+ulcer = sq.ulcer(data=data, assets=['SPY', 'QQQ'], window=252)
+
+# Visualize comparison (using matplotlib directly)
+plt.figure(figsize=(12, 8))
+plt.subplot(3, 1, 1)
+plt.plot(vol['SPY_Vol'])
+plt.title('SPY Volatility')
+
+plt.subplot(3, 1, 2)
+plt.plot(mdd['SPY_MDD'])
+plt.title('SPY Max Drawdown')
+
+plt.subplot(3, 1, 3)
+plt.plot(ulcer['SPY_Ulcer'])
+plt.title('SPY Ulcer Index')
+
+plt.tight_layout()
+plt.show()
+```
+
+### Portfolio Risk Analysis
+
+```python
+import squarequant as sq
+import pandas as pd
+
+# Example portfolio weights
+weights = pd.Series({'AAPL': 0.3, 'MSFT': 0.3, 'AMZN': 0.2, 'GOOGL': 0.2})
+
+# Download data
+config = sq.DownloadConfig(start_date="2020-01-01", end_date="2023-12-31")
+data = sq.download_tickers(weights.index.tolist(), config)
+
+# Calculate portfolio risk measures
+portfolio_var = sq.var(
+    data=data,
+    assets=weights.index.tolist(),
+    confidence=0.95,
+    window=252,
+    holding_period=10
+)
+
+# Print results
+print(f"Latest Portfolio VaR (95%): {portfolio_var.iloc[-1].values[0]:.4f}")
+```
+
+### Using Advanced Risk Measures
+
+```python
+import squarequant as sq
+
+# Download data
+config = sq.DownloadConfig(start_date="2018-01-01", end_date="2023-12-31")
+data = sq.download_tickers(['SPY'], config)
+
+# Calculate Entropic Risk Measure with different risk aversion parameters
+erm1 = sq.erm(data=data, assets=['SPY'], z=0.5, confidence=0.95)
+erm2 = sq.erm(data=data, assets=['SPY'], z=1.0, confidence=0.95)
+erm3 = sq.erm(data=data, assets=['SPY'], z=2.0, confidence=0.95)
+
+# Compare with traditional VaR and CVaR
+var = sq.var(data=data, assets=['SPY'], confidence=0.95)
+cvar = sq.cvar(data=data, assets=['SPY'], confidence=0.95)
+
+print(f"Latest ERM (z=0.5): {erm1.iloc[-1, 0]:.4f}")
+print(f"Latest ERM (z=1.0): {erm2.iloc[-1, 0]:.4f}")
+print(f"Latest ERM (z=2.0): {erm3.iloc[-1, 0]:.4f}")
+print(f"Latest VaR (95%): {var.iloc[-1, 0]:.4f}")
+print(f"Latest CVaR (95%): {cvar.iloc[-1, 0]:.4f}")
+```
+
+## Library Structure
+
+The package has been reorganized into specialized modules:
+
+- `squarequant.data`: Data retrieval functionality (YFinance, Theta Data)
+- `squarequant.var`: Value at Risk and related risk measures
+- `squarequant.core`: Core risk metrics and calculations
+
+## Documentation
+
+For detailed documentation on each function and class, please see the [official documentation](https://www.squarequant.org).
+
+## License
+
+MIT License
+
+## Credits
+
+SquareQuant was developed to provide financial analysts, quantitative researchers, and portfolio managers with a comprehensive toolkit for risk assessment and performance analysis.

squarequant-0.2.0/README.md

@@ -0,0 +1,210 @@
+# SquareQuant
+
+SquareQuant is a comprehensive Python package for financial risk metrics and stock data analysis. It provides a suite of tools for quantitative finance, including risk metrics calculation and data retrieval from multiple sources.
+
+## Features
+
+- **Financial Data Access**: Multiple data sources including YFinance and Theta Data
+- **Extensive Risk Metrics**: Comprehensive set of traditional and advanced risk measures
+- **Modular Design**: Reorganized into specialized modules (data, var, etc.)
+- **Flexible API**: Consistent function-based and object-oriented interfaces
+
+## Installation
+
+```bash
+pip install squarequant
+```
+
+## Quick Start
+
+```python
+import squarequant as sq
+import pandas as pd
+import matplotlib.pyplot as plt
+
+# Configure data download
+config = sq.DownloadConfig(
+    start_date="2020-01-01",
+    end_date="2023-12-31",
+    interval='1d',
+    columns=['Close'],
+    source="yfinance"  # Or "theta" for Theta Data
+)
+
+# Download data
+data = sq.download_tickers(['AAPL', 'MSFT', 'GOOGL'], config)
+
+# Calculate volatility
+vol = sq.vol(data=data, assets=['AAPL', 'MSFT', 'GOOGL'], window=21)
+
+# Calculate Sharpe ratio
+sharpe = sq.sharpe(data=data, assets=['AAPL', 'MSFT', 'GOOGL'], window=252)
+
+# Visualize results (using matplotlib directly)
+plt.figure(figsize=(12, 6))
+plt.plot(vol)
+plt.title('21-Day Rolling Volatility')
+plt.legend(vol.columns)
+plt.show()
+```
+
+## Available Risk Metrics
+
+SquareQuant provides a comprehensive set of risk metrics, including:
+
+| Metric | Function | Description |
+|--------|----------|-------------|
+| Sharpe Ratio | `sq.sharpe()` | Risk-adjusted return using standard deviation |
+| Sortino Ratio | `sq.sortino()` | Risk-adjusted return using downside deviation |
+| Volatility | `sq.vol()` | Standard deviation of returns |
+| Maximum Drawdown | `sq.mdd()` | Largest peak-to-trough decline |
+| Value at Risk | `sq.var()` | Maximum expected loss at given confidence level |
+| Conditional Value at Risk | `sq.cvar()` | Expected loss beyond the VaR threshold |
+| Semi-Deviation | `sq.semidev()` | Downside volatility below target return |
+| Average Drawdown | `sq.avgdd()` | Mean of all drawdowns in a period |
+| Ulcer Index | `sq.ulcer()` | Square root of mean squared drawdown percentage |
+| Mean Absolute Deviation | `sq.mad()` | Average absolute deviation from mean |
+| Entropic Risk Measure | `sq.erm()` | Risk measure based on information theory |
+| Entropic Value at Risk | `sq.evar()` | VAR using entropy concepts |
+| Conditional Drawdown at Risk | `sq.cdar()` | Expected drawdown beyond threshold |
+| Entropic Drawdown at Risk | `sq.edar()` | Drawdown risk using entropy concepts |
+
+## Data Sources
+
+SquareQuant now supports multiple data providers:
+
+### YFinance
+
+The default data provider for historical price data:
+
+```python
+config = sq.DownloadConfig(
+    start_date="2020-01-01",
+    end_date="2023-12-31",
+    source="yfinance"  # Default
+)
+```
+
+### Theta Data
+
+A new alternative data provider with the same interface:
+
+```python
+config = sq.DownloadConfig(
+    start_date="2020-01-01",
+    end_date="2023-12-31",
+    source="theta"
+)
+```
+
+## Advanced Usage Examples
+
+### Analyzing Multiple Risk Metrics
+
+```python
+import squarequant as sq
+import pandas as pd
+import matplotlib.pyplot as plt
+
+# Download data
+config = sq.DownloadConfig(
+    start_date="2018-01-01",
+    end_date="2023-12-31",
+    interval='1d'
+)
+data = sq.download_tickers(['SPY', 'QQQ'], config)
+
+# Calculate multiple risk metrics
+vol = sq.vol(data=data, assets=['SPY', 'QQQ'], window=21)
+mad = sq.mad(data=data, assets=['SPY', 'QQQ'], window=252)
+mdd = sq.mdd(data=data, assets=['SPY', 'QQQ'], window=252)
+ulcer = sq.ulcer(data=data, assets=['SPY', 'QQQ'], window=252)
+
+# Visualize comparison (using matplotlib directly)
+plt.figure(figsize=(12, 8))
+plt.subplot(3, 1, 1)
+plt.plot(vol['SPY_Vol'])
+plt.title('SPY Volatility')
+
+plt.subplot(3, 1, 2)
+plt.plot(mdd['SPY_MDD'])
+plt.title('SPY Max Drawdown')
+
+plt.subplot(3, 1, 3)
+plt.plot(ulcer['SPY_Ulcer'])
+plt.title('SPY Ulcer Index')
+
+plt.tight_layout()
+plt.show()
+```
+
+### Portfolio Risk Analysis
+
+```python
+import squarequant as sq
+import pandas as pd
+
+# Example portfolio weights
+weights = pd.Series({'AAPL': 0.3, 'MSFT': 0.3, 'AMZN': 0.2, 'GOOGL': 0.2})
+
+# Download data
+config = sq.DownloadConfig(start_date="2020-01-01", end_date="2023-12-31")
+data = sq.download_tickers(weights.index.tolist(), config)
+
+# Calculate portfolio risk measures
+portfolio_var = sq.var(
+    data=data,
+    assets=weights.index.tolist(),
+    confidence=0.95,
+    window=252,
+    holding_period=10
+)
+
+# Print results
+print(f"Latest Portfolio VaR (95%): {portfolio_var.iloc[-1].values[0]:.4f}")
+```
+
+### Using Advanced Risk Measures
+
+```python
+import squarequant as sq
+
+# Download data
+config = sq.DownloadConfig(start_date="2018-01-01", end_date="2023-12-31")
+data = sq.download_tickers(['SPY'], config)
+
+# Calculate Entropic Risk Measure with different risk aversion parameters
+erm1 = sq.erm(data=data, assets=['SPY'], z=0.5, confidence=0.95)
+erm2 = sq.erm(data=data, assets=['SPY'], z=1.0, confidence=0.95)
+erm3 = sq.erm(data=data, assets=['SPY'], z=2.0, confidence=0.95)
+
+# Compare with traditional VaR and CVaR
+var = sq.var(data=data, assets=['SPY'], confidence=0.95)
+cvar = sq.cvar(data=data, assets=['SPY'], confidence=0.95)
+
+print(f"Latest ERM (z=0.5): {erm1.iloc[-1, 0]:.4f}")
+print(f"Latest ERM (z=1.0): {erm2.iloc[-1, 0]:.4f}")
+print(f"Latest ERM (z=2.0): {erm3.iloc[-1, 0]:.4f}")
+print(f"Latest VaR (95%): {var.iloc[-1, 0]:.4f}")
+print(f"Latest CVaR (95%): {cvar.iloc[-1, 0]:.4f}")
+```
+
+## Library Structure
+
+The package has been reorganized into specialized modules:
+
+- `squarequant.data`: Data retrieval functionality (YFinance, Theta Data)
+- `squarequant.var`: Value at Risk and related risk measures
+- `squarequant.core`: Core risk metrics and calculations
+
+## Documentation
+
+For detailed documentation on each function and class, please see the [official documentation](https://www.squarequant.org).
+
+## License
+
+MIT License
+
+## Credits
+
+SquareQuant was developed to provide financial analysts, quantitative researchers, and portfolio managers with a comprehensive toolkit for risk assessment and performance analysis.

{squarequant-0.1.0 → squarequant-0.2.0}/setup.py

@@ -5,15 +5,15 @@ with open("README.md", "r", encoding="utf-8") as fh:
 
 setup(
     name="squarequant",
-    version="0.1.0",
+    version="0.2.0",
     author="Gabriel Bosch",
-    author_email="contact@suqarequant.org",
-    description="A Python package for quantitative finance",
+    author_email="contact@squarequant.org",
+    description="A Python package for financial risk metrics and stock data analysis",
     long_description=long_description,
     long_description_content_type="text/markdown",
     url="https://github.com/SquareQuant/squarequant-package",
     project_urls={
-        "Documentation": "https://squarequant.readthedocs.io",
+        "Documentation": "https://www.squarequant.org",
         "Bug Tracker": "https://github.com/SquareQuant/squarequant-package/issues",
     },
     packages=find_packages(),
@@ -22,6 +22,8 @@ setup(
         "Programming Language :: Python :: 3.7",
         "Programming Language :: Python :: 3.8",
         "Programming Language :: Python :: 3.9",
+        "Programming Language :: Python :: 3.10",
+        "Programming Language :: Python :: 3.11",
         "License :: OSI Approved :: MIT License",
         "Operating System :: OS Independent",
         "Topic :: Office/Business :: Financial :: Investment",
@@ -36,7 +38,9 @@ setup(
         "numpy>=1.18.0",
         "yfinance>=0.1.63",
         "scipy>=1.5.0",
+        "scikit-learn>=1.5.0",
         "matplotlib>=3.3.0",
+        "statsmodels>=0.12.0",
     ],
     extras_require={
         "optimization": ["cvxpy>=1.0.0"],
@@ -46,7 +50,10 @@ setup(
             "flake8>=3.9.0",
             "sphinx>=4.0.0",
             "sphinx-rtd-theme>=0.5.0",
+            "sphinx-autodoc-typehints>=1.22.0",
+            "myst-parser>=1.0.0",
+            "pytest-cov>=2.12.0",
         ],
     },
-    keywords="finance, risk, portfolio, investment, stocks, analysis, visualization",
+    keywords="finance, risk, portfolio, investment, stocks, analysis, visualization, drawdown, var, cvar, entropic, ulcer index",
 )

squarequant-0.2.0/squarequant/__init__.py

@@ -0,0 +1,59 @@
+from setuptools import setup, find_packages
+
+with open("README.md", "r", encoding="utf-8") as fh:
+    long_description = fh.read()
+
+setup(
+    name="squarequant",
+    version="0.2.0",  # Updated version
+    author="Gabriel Bosch",
+    author_email="contact@squarequant.org",
+    description="A Python package for financial risk metrics and stock data analysis",
+    long_description=long_description,
+    long_description_content_type="text/markdown",
+    url="https://github.com/SquareQuant/squarequant-package",
+    project_urls={
+        "Documentation": "https://www.squarequant.org",
+        "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",
+        "Programming Language :: Python :: 3.10",
+        "Programming Language :: Python :: 3.11",
+        "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",
+        "scikit-learn>=1.5.0",
+        "requests>=2.25.0",  # Added for Theta data provider
+        "statsmodels>=0.12.0",
+    ],
+    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",
+            "sphinx-autodoc-typehints>=1.22.0",
+            "myst-parser>=1.0.0",
+            "pytest-cov>=2.12.0",
+        ],
+    },
+    keywords="finance, risk, portfolio, investment, stocks, analysis, var, cvar, entropic, ulcer index, drawdown, theta data",
+)