Common financial risk and performance metrics. Used by zipline and pyfolio.
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README.md

empyrical

Common financial risk metrics.

Table of Contents

Installation

pip install empyrical

Usage

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)

Support

Please open an issue for support.

Deprecated: Data Reading via pandas-datareader

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

Contributing

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

Testing

  • install requirements
    • "nose>=1.3.7",
    • "parameterized>=0.6.1"
python -m unittest