qis: performance analytics, portfolio backtesting, risk analysis, and factsheet reporting

qis - performance analytics, portfolio backtesting, risk analysis, and factsheet reporting in Python.

Quantitative Investment Strategies covers time-series and cross-sectional performance, drift-aware portfolio histories, ex-ante and ex-post risk, and reproducible reports.

Install with pip install qis, then follow the offline quickstart for a deterministic portfolio backtest, performance table, and benchmark-relative result. Its single source is examples/getting_started/offline_quickstart.py: the documentation includes that complete runnable file rather than maintaining another code copy. It needs no network, data vendor, credentials, optional extra, or output directory.

Project resources

• PyPI package

• Source repository

• Issue tracker

• Governance, maintenance, and support

• Changelog

• Citation metadata

• JOSS submission paper (under review; not accepted or published)

Getting started

• Installation
  • Optional extras
  • From source
• Offline quickstart
  • What the result establishes
  • What to change first
  • Next reporting step
• What an unstated convention costs
  • The convention
  • What it does to the sample
  • What it does to a reported number
  • What follows for the package
  • Reproducing the tables
  • A note on version pinning
• Factsheet gallery
  • Multi-asset universe
  • Single strategy
  • Strategy vs. benchmark
  • Multiple strategies

Focused guides

• Performance analytics and Sharpe conventions
• Software design
• Factsheets and reporting
• Tracking error and benchmark-relative risk
• Portfolio backtesting: targets, held units, and implementation
• Incomplete and mixed-frequency data
• Private-asset unsmoothing and de-levering
• FX hedging and market-data boundaries
• Choosing between qis, QuantStats, pyfolio-reloaded, and vectorbt

Conventions

• Sharpe Ratio Conventions: Arithmetic vs. Per-Annum (Compound) Returns
• Reporting-frequency convention
• Performance Statistics Are Frequency-Relative: A Reporting Convention for Internally Consistent Factsheets
• Factsheets & reporting
• Shared plotting arguments
• qis 5.9.2 — removed from the public API
• qis 5.0 — removed from the public namespace

Reference

• API reference
  • Core API
  • Also exported