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Performance Stats in Research for a single column equity curve
Zenothestoic
edited

Say you chart SPY and also want to inspect its stats: CAGR, drawdown, volatility etc.
Clearly I could do this from scratch but I was wondering whether there is any inbuilt facility anyone can think of? Pyfolio is only for a back test run through the IDE.

Any ideas anyone?

I am writing for Stocks and Commodities Magazine and wanted to share Notebooks on Quantopian for those who either can't code or won't.

For instance there is a very serviceable stats library called FFN - would there be any chance of being allowed to load something like that? Or any decent alternative? I don't think there is anything tailor made in Pandas, Numpy etc?

3 responses
Josh Payne

Does this example help? https://quantopian.github.io/pyfolio/notebooks/single_stock_example/

You can also use empyrical, the open-source library we use on Quantopian for common financial calculations (including within pyfolio). See attached notebook to pull out individual calculations.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Zenothestoic

Oh wow, that's brilliant. Thanks Josh

Zenothestoic

Fantastic!

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.