empyrical 模块的学习与分析 note_1

   empyrical is a Python library with performance and risk statistics commonly used in quantitative finance by Quantopian Inc.

    #empyrical是quantopian公司开发的用于量化金融领域的绩效和风险统计的python模块

    github地址：

https://github.com/quantopian/empyrical#empyrical

    模块的功能：

   

from .stats import (

aggregate_returns,

alpha,

alpha_aligned,

alpha_beta,

alpha_beta_aligned,

annual_return,

annual_volatility,

beta,

beta_aligned,

cagr,

calmar_ratio,

capture,

conditional_value_at_risk,

cum_returns,

cum_returns_final,

down_alpha_beta,

down_capture,

downside_risk,

excess_sharpe,

max_drawdown,

omega_ratio,

roll_alpha,

roll_alpha_aligned,

roll_alpha_beta,

roll_alpha_beta,

roll_alpha_beta_aligned,

roll_annual_volatility,

roll_beta,

roll_beta_aligned,

roll_down_capture,

roll_max_drawdown,

roll_sharpe_ratio,

roll_sortino_ratio,

roll_up_capture,

roll_up_down_capture,

sharpe_ratio,

sortino_ratio,

stability_of_timeseries,

tail_ratio,

up_alpha_beta,

up_capture,

up_down_capture,

value_at_risk,

)

    分析统计了这些在量化金融领域常用的指标

from .perf_attrib import (

perf_attrib,

compute_exposures,

)