Common financial risk metrics.

• Installation
• Usage
• Support
• Contributing
• Testing

pip install empyrical 

Simple Statistics

import numpy as np from empyrical import max_drawdown, alpha_beta returns = np.array([.01, .02, .03, -.4, -.06, -.02]) benchmark_returns = np.array([.02, .02, .03, -.35, -.05, -.01]) # calculate the max drawdown max_drawdown(returns) # calculate alpha and beta alpha, beta = alpha_beta(returns, benchmark_returns)

Rolling Measures

import numpy as np from empyrical import roll_max_drawdown returns = np.array([.01, .02, .03, -.4, -.06, -.02]) # calculate the rolling max drawdown roll_max_drawdown(returns, window=3)

Pandas Support

import pandas as pd from empyrical import roll_up_capture, capture returns = pd.Series([.01, .02, .03, -.4, -.06, -.02]) # calculate a capture ratio capture(returns) # calculate capture for up markets on a rolling 60 day basis roll_up_capture(returns, window=60)

Please open an issue for support.

As of early 2018, Yahoo Finance has suffered major API breaks with no stable replacement, and the Google Finance API has not been stable since late 2017 (source). In recent months it has become a greater and greater strain on the empyrical development team to maintain support for fetching data through pandas-datareader and other third-party libraries, as these APIs are known to be unstable.

As a result, all empyrical support for data reading functionality has been deprecated and will be removed in a future version.

Users should beware that the following functions are now deprecated:

• empyrical.utils.cache_dir
• empyrical.utils.data_path
• empyrical.utils.ensure_directory
• empyrical.utils.get_fama_french
• empyrical.utils.load_portfolio_risk_factors
• empyrical.utils.default_returns_func
• empyrical.utils.get_symbol_returns_from_yahoo

Users should expect regular failures from the following functions, pending patches to the Yahoo or Google Finance API:

• empyrical.utils.default_returns_func
• empyrical.utils.get_symbol_returns_from_yahoo

Please contribute using Github Flow. Create a branch, add commits, and open a pull request.

• install requirements
  • "nose>=1.3.7",
  • "parameterized>=0.6.1"

./runtests.py