squarequant 0.1.1__tar.gz → 0.2.0__tar.gz

{squarequant-0.1.1/squarequant.egg-info → squarequant-0.2.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: squarequant
-Version: 0.1.1
+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
@@ -28,12 +28,11 @@ 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: advanced
-Requires-Dist: scikit-learn>=1.0.0; extra == "advanced"
 Provides-Extra: dev
 Requires-Dist: pytest>=6.0.0; extra == "dev"
 Requires-Dist: black>=21.5b2; extra == "dev"
@@ -59,14 +58,13 @@ 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, data retrieval, and visualization.
+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**: Easy-to-use interface for downloading historical price data
+- **Financial Data Access**: Multiple data sources including YFinance and Theta Data
 - **Extensive Risk Metrics**: Comprehensive set of traditional and advanced risk measures
-- **Performance Analysis**: Tools for evaluating investment performance
-- **Visualization**: Built-in plotting functions for visual analysis
+- **Modular Design**: Reorganized into specialized modules (data, var, etc.)
 - **Flexible API**: Consistent function-based and object-oriented interfaces
 
 ## Installation
@@ -79,6 +77,7 @@ pip install squarequant
 
 ```python
 import squarequant as sq
+import pandas as pd
 import matplotlib.pyplot as plt
 
 # Configure data download
@@ -86,7 +85,8 @@ config = sq.DownloadConfig(
     start_date="2020-01-01",
     end_date="2023-12-31",
     interval='1d',
-    columns=['Close']
+    columns=['Close'],
+    source="yfinance"  # Or "theta" for Theta Data
 )
 
 # Download data
@@ -98,7 +98,7 @@ 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
+# Visualize results (using matplotlib directly)
 plt.figure(figsize=(12, 6))
 plt.plot(vol)
 plt.title('21-Day Rolling Volatility')
@@ -127,12 +127,41 @@ SquareQuant provides a comprehensive set of risk metrics, including:
 | 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
@@ -149,12 +178,22 @@ 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
-sq.plot_risk_comparison(
-    metrics=[vol, mdd, ulcer],
-    labels=['Volatility', 'Max Drawdown', 'Ulcer Index'],
-    asset='SPY'
-)
+# 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
@@ -179,8 +218,8 @@ portfolio_var = sq.var(
     holding_period=10
 )
 
-# Visualize weight allocation
-sq.plot_weight_allocation(weights)
+# Print results
+print(f"Latest Portfolio VaR (95%): {portfolio_var.iloc[-1].values[0]:.4f}")
 ```
 
 ### Using Advanced Risk Measures
@@ -208,6 +247,14 @@ 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).

{squarequant-0.1.1 → squarequant-0.2.0}/README.md

@@ -1,13 +1,12 @@
 # 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, data retrieval, and visualization.
+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**: Easy-to-use interface for downloading historical price data
+- **Financial Data Access**: Multiple data sources including YFinance and Theta Data
 - **Extensive Risk Metrics**: Comprehensive set of traditional and advanced risk measures
-- **Performance Analysis**: Tools for evaluating investment performance
-- **Visualization**: Built-in plotting functions for visual analysis
+- **Modular Design**: Reorganized into specialized modules (data, var, etc.)
 - **Flexible API**: Consistent function-based and object-oriented interfaces
 
 ## Installation
@@ -20,6 +19,7 @@ pip install squarequant
 
 ```python
 import squarequant as sq
+import pandas as pd
 import matplotlib.pyplot as plt
 
 # Configure data download
@@ -27,7 +27,8 @@ config = sq.DownloadConfig(
     start_date="2020-01-01",
     end_date="2023-12-31",
     interval='1d',
-    columns=['Close']
+    columns=['Close'],
+    source="yfinance"  # Or "theta" for Theta Data
 )
 
 # Download data
@@ -39,7 +40,7 @@ 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
+# Visualize results (using matplotlib directly)
 plt.figure(figsize=(12, 6))
 plt.plot(vol)
 plt.title('21-Day Rolling Volatility')
@@ -68,12 +69,41 @@ SquareQuant provides a comprehensive set of risk metrics, including:
 | 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
@@ -90,12 +120,22 @@ 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
-sq.plot_risk_comparison(
-    metrics=[vol, mdd, ulcer],
-    labels=['Volatility', 'Max Drawdown', 'Ulcer Index'],
-    asset='SPY'
-)
+# 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
@@ -120,8 +160,8 @@ portfolio_var = sq.var(
     holding_period=10
 )
 
-# Visualize weight allocation
-sq.plot_weight_allocation(weights)
+# Print results
+print(f"Latest Portfolio VaR (95%): {portfolio_var.iloc[-1].values[0]:.4f}")
 ```
 
 ### Using Advanced Risk Measures
@@ -149,6 +189,14 @@ 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).

{squarequant-0.1.1 → squarequant-0.2.0}/setup.py

@@ -5,7 +5,7 @@ with open("README.md", "r", encoding="utf-8") as fh:
 
 setup(
     name="squarequant",
-    version="0.1.1",
+    version="0.2.0",
     author="Gabriel Bosch",
     author_email="contact@squarequant.org",
     description="A Python package for financial risk metrics and stock data analysis",
@@ -38,12 +38,12 @@ 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"],
-        "advanced": ["scikit-learn>=1.0.0"],
         "dev": [
             "pytest>=6.0.0",
             "black>=21.5b2",

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",
+)

{squarequant-0.1.1 → squarequant-0.2.0}/squarequant/api.py

@@ -2,7 +2,7 @@
 Function-based API for the SquareQuant package
 """
 
-from typing import List, Optional
+from typing import List, Optional, Union, Dict
 import pandas as pd
 
 from squarequant.constants import (
@@ -32,7 +32,6 @@ from squarequant.core.metrics import (
     SortinoRatio,
     Volatility,
     MaximumDrawdown,
-    ValueAtRisk,
     CalmarRatio,
     ConditionalValueAtRisk,
     SemiDeviation,
@@ -45,6 +44,10 @@ from squarequant.core.metrics import (
     EntropicDrawdownAtRisk
 )
 
+from squarequant.var.valueatrisk import (
+    ValueAtRisk
+)
+
 
 def sharpe(data: pd.DataFrame,
            assets: List[str],
@@ -169,47 +172,6 @@ def mdd(data: pd.DataFrame,
     )
     return calculator.calculate()
 
-
-def var(data: pd.DataFrame,
-        assets: List[str],
-        confidence: float = DEFAULT_VAR_CONFIDENCE,
-        window: int = DEFAULT_VAR_WINDOW,
-        holding_period: int = DEFAULT_VAR_HOLDING_PERIOD,
-        start: Optional[str] = None,
-        end: Optional[str] = None,
-        method: str = 'historical',
-        scaling_method: str = 'sqrt_time') -> pd.DataFrame:
-    """
-    Calculate rolling Value at Risk (VaR) for specified assets
-
-    Parameters:
-    data (DataFrame): DataFrame with asset price data
-    assets (List[str]): List of asset columns to calculate VaR for
-    confidence (float): Confidence level (0-1), default is 0.99 (99%)
-    window (int): Rolling window size in trading days, default is 252 (1 year)
-    holding_period (int): Holding period in days, default is 10 days
-    start (str, optional): Start date in format 'YYYY-MM-DD'
-    end (str, optional): End date in format 'YYYY-MM-DD'
-    method (str): Method to calculate VaR - 'historical', 'parametric', default is 'historical'
-    scaling_method (str): Method to scale 1-day VaR to holding_period-day VaR, default is 'sqrt_time'
-
-    Returns:
-    DataFrame: Rolling VaR for specified assets
-    """
-    calculator = ValueAtRisk(
-        data=data,
-        assets=assets,
-        confidence=confidence,
-        window=window,
-        holding_period=holding_period,  # Pass the new parameter
-        start=start,
-        end=end,
-        method=method,
-        scaling_method=scaling_method  # Pass the new parameter
-    )
-    return calculator.calculate()
-
-
 def calmar(data: pd.DataFrame,
            assets: List[str],
            window: int = DEFAULT_CALMAR_WINDOW,
@@ -237,6 +199,35 @@ def calmar(data: pd.DataFrame,
     )
     return calculator.calculate()
 
+def var(
+        data: pd.DataFrame,
+        assets: List[str],
+        confidence: float = 0.95,
+        window: int = 252,
+        start: Optional[str] = None,
+        end: Optional[str] = None,
+        method: str = 'historical',
+        holding_period: int = 1,
+        scaling_method: str = 'sqrt_time',
+        weights: Optional[Union[List[float], dict]] = None,
+        decay_factor: Optional[float] = None
+) -> pd.DataFrame:
+    # Initialize ValueAtRisk object
+    var_calculator = ValueAtRisk(
+        data=data,
+        assets=assets,
+        confidence=confidence,
+        window=window,
+        start=start,
+        end=end,
+        method=method,
+        holding_period=holding_period,
+        scaling_method=scaling_method,
+        weights=weights
+    )
+
+    # Calculate VaR
+    return var_calculator.calculate()
 
 def cvar(data: pd.DataFrame,
          assets: List[str],

{squarequant-0.1.1 → squarequant-0.2.0}/squarequant/constants.py

@@ -24,12 +24,12 @@ DEFAULT_EDAR_WINDOW = 181
 DEFAULT_VAR_HOLDING_PERIOD = 10
 DEFAULT_VAR_CONFIDENCE = 0.99
 VALID_VAR_SCALING_METHODS = {'sqrt_time', 'overlapping'}
+VALID_VAR_METHODS = {'historical', 'parametric'}
 
 # Default values
 DEFAULT_CONFIDENCE = 0.99
 
 
-# Valid options
+# Valid options for data
 VALID_INTERVALS = {'1m', '15m', '60m', '1h', '1d', '1wk', '1mo'}
 VALID_COLUMNS = {'Open', 'High', 'Low', 'Close', 'Adj Close', 'Volume'}
-VALID_VAR_METHODS = {'historical', 'parametric'}