Pyfolio - Portfolio and risk analytics in Python

  •        1062

pyfolio is a Python library for performance and risk analysis of financial portfolios developed by Quantopian Inc. It works well with the Zipline open source backtesting library.Also see slides of a talk about pyfolio.

https://quantopian.github.io/pyfolio
https://github.com/quantopian/pyfolio

Tags
Implementation
License
Platform

   




Related Projects

alphalens - Performance analysis of predictive (alpha) stock factors

  •    Jupyter

Alphalens is a Python Library for performance analysis of predictive (alpha) stock factors. Alphalens works great with the Zipline open source backtesting library, and Pyfolio which provides performance and risk analysis of financial portfolios.Check out the example notebooks for more on how to read and use the factor tear sheet.

CreditAnalytics

  •    

CreditAnalytics is a full featured financial fixed-income credit analytics, credit risk, bond analytics and bond trading library.

Dependency-Track - Intelligent Component Analysis platform that allows organizations to identify and reduce risk in the software supply chain

  •    Java

Dependency-Track is an intelligent Component Analysis platform that allows organizations to identify and reduce risk in the software supply chain. Dependency-Track takes a unique and highly beneficial approach by leveraging the capabilities of Software Bill of Materials (SBOM). This approach provides capabilities that traditional Software Composition Analysis (SCA) solutions cannot achieve.

DerivaQuant

  •    C++

DerivaQuant aims at creating a robust derivatives risk-analysis software for hedge funds and proprietary trading firms. It offers a variety of option pricing models, links with databases, real-time risk analysis and porfolio risk analysis.

iTrade - Trading and Charting System

  •    Python

Trading system written in Python including Quotes Management, Historical and live data, Import/Export data, Charting, Candlestick, Technical analysis, automated alerts, portfolio management, risk management, currency exchange, and much much more ...


Stock Monster

  •    C++

Stock Monster ... One stop resource shop for your share trading. It contains a portfolio manager, Historic Data internet downloads, Metastock conversions, risk/ reward position sizing plus a simple double entry personal finance management system.

Deep-Reinforcement-Learning-for-Automated-Stock-Trading-Ensemble-Strategy-ICAIF-2020 - Deep Reinforcement Learning for Automated Stock Trading: An Ensemble Strategy

  •    Jupyter

This ensemble strategy is reimplemented in a Jupiter Notebook at FinRL. Stock trading strategies play a critical role in investment. However, it is challenging to design a profitable strategy in a complex and dynamic stock market. In this paper, we propose a deep ensemble reinforcement learning scheme that automatically learns a stock trading strategy by maximizing investment return. We train a deep reinforcement learning agent and obtain an ensemble trading strategy using the three actor-critic based algorithms: Proximal Policy Optimization (PPO), Advantage Actor Critic (A2C), and Deep Deterministic Policy Gradient (DDPG). The ensemble strategy inherits and integrates the best features of the three algorithms, thereby robustly adjusting to different market conditions. In order to avoid the large memory consumption in training networks with continuous action space, we employ a load-on-demand approach for processing very large data. We test our algorithms on the 30 Dow Jones stocks which have adequate liquidity. The performance of the trading agent with different reinforcement learning algorithms is evaluated and compared with both the Dow Jones Industrial Average index and the traditional min-variance portfolio allocation strategy. The proposed deep ensemble scheme is shown to outperform the three individual algorithms and the two baselines in terms of the risk-adjusted return measured by the Sharpe ratio.

Risk Quantify Financial Engine

  •    C

Risk Quantify aims to provide a comprehensive framework for the trading, risk analysis and back office management of financial derivatives. Initially the system will support FX, Interest Rate and Equity-based products.

coinai - Seed applications based on AI for digital currency quantitative analysis, medium-term forecast and asset allocation for the secondary market of the BANCA community

  •    Python

coinai is a set of seed applications based on AI for digital currency quantitative analysis, medium-term forecast, and asset allocation for the secondary market of the BANCA community. Clients can use CoinAI to conduct in-depth analysis of digital tokens and compare the investment value and risk of different currencies. They can also obtain the prediction for the future trend of tokens based on artificial intelligence and big data smart beta market timing models. According to your own risk assessment, you are one click away from building the optimum portfolio.

Zipline - A Pythonic Algorithmic Trading Library

  •    Python

Zipline is a Pythonic algorithmic trading library. It is an event-driven system that supports both backtesting and live-trading. Zipline is currently used in production as the backtesting and live-trading engine powering Quantopian -- a free, community-centered, hosted platform for building and executing trading strategies.Note: Installing Zipline via pip is slightly more involved than the average Python package. Simply running pip install zipline will likely fail if you've never installed any scientific Python packages before.

QuantLib - The QuantLib C++ library

  •    C++

The QuantLib project (http://quantlib.org) is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/open-source library for modeling, trading, and risk management in real-life. QuantLib is Non-Copylefted Free Software and OSI Certified Open Source Software.

ISO 1799 Risk Analysis Toolkit

  •    Java

ISO 17799 Risk Analysis Toolkit. Opensource toolkit for risk analysis of security in enterprises or public organization based on the ISO 17799. It generates security policies based on questions and answers.

PyAlgoTrade - Python Algorithmic Trading Library

  •    Python

PyAlgoTrade is a Python Algorithmic Trading Library with focus on backtesting and support for paper-trading and live-trading. Let’s say you have an idea for a trading strategy and you’d like to evaluate it with historical data and see how it behaves. PyAlgoTrade allows you to do so with minimal effort.

financial-analysis-python-tutorial - Financial Analysis in Python tutorial

  •    

You can view the video of the talk here. Thomas Wiecki is a Quantitative Researcher at Quantopian Inc -- a Boston based startup providing you with the first browser based algorithmic trading platform -- and a PhD student at Brown University where he studies Computational Cognitive Neuroscience. He specializes in Bayesian Inference, Machine Learning, Scientific Computing in Python, algorithmic trading and Computational Psychiatry.

CORAS Risk Assessment Platform

  •    Java

Platform for risk analysis of security critical IT systems using UML, based on the CORAS model-based risk assessment methodology. Contains an XML and UML repository, facilitating management and reuse of analysis results.

QuantLib

  •    Java

A quantitative finance C++ library for modeling, pricing, trading, and risk management in real-life. A cross-platform free/open-source tool for derivatives and financial engineering.

StockPricePrediction - Stock Price Prediction using Machine Learning Techniques

  •    Jupyter

To examine a number of different forecasting techniques to predict future stock returns based on past returns and numerical news indicators to construct a portfolio of multiple stocks in order to diversify the risk. We do this by applying supervised learning methods for stock price forecasting by interpreting the seemingly chaotic market data. Download the Dataset needed for running the code from here.

kube-scan - kube-scan: Octarine k8s cluster risk assessment tool

  •    Go

Try our free Kubernetes risk assessment tool today. Run it on any cluster at any time. No data leaves your cluster. We do not collect any information. For more information on Octarine see https://www.octarinesec.com. Kube-Scan gives a risk score, from 0 (no risk) to 10 (high risk) for each workload. The risk is based on the runtime configuration of each workload (currently 20+ settings). The exact rules and scoring formula are part of the open-source framework KCCSS, the Kubernetes Common Configuration Scoring System.

StockSharp - Algorithmic trading and quantitative trading open source platform to develop trading robots (stock markets, forex, bitcoins and options)

  •    CSharp

StockSharp (shortly S#) – are free set of programs for trading at any markets of the world (American, European, Asian, Russian, stocks, futures, options, Bitcoins, forex, etc.). You will be able to trade manually or automated trading (algorithmic trading robots, conventional or HFT).Available connections: FIX/FAST, LMAX, Rithmic, Fusion/Blackwood, Interactive Brokers, OpenECry, Sterling, IQFeed, ITCH, FXCM, QuantHouse, E*Trade, BTCE, BitStamp and many other. Any broker or partner broker (benefits).






We have large collection of open source products. Follow the tags from Tag Cloud >>


Open source products are scattered around the web. Please provide information about the open source projects you own / you use. Add Projects.