qis

Python analytics for visualisation of financial data, performance reporting, factsheets and analysis of quantitative strategies.

Install with pip install qis, then build a factsheet from a price panel:

import qis
from qis.datasets import generate_synthetic_universe

universe = generate_synthetic_universe()
qis.factsheet(universe.prices,
              benchmark_prices=universe.benchmark_prices,
              reporting_frequency='monthly')

That snippet needs no network and no data vendor: the panel is generated in-process from a fixed seed and carries the defects real panels carry — ragged starts, missing observations, stale prices, a delisted tail and a monthly-reported illiquid sleeve.

Getting started

• Installation
  • Optional extras
  • From source
• Quickstart
  • A panel to work with
  • Performance statistics
  • A backtest
  • A factsheet
  • Where to go next
• 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

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 5.0 — removed from the public namespace

Reference

• API reference
  • Core API
  • Also exported