Quickstart

Everything on this page runs offline. qis.datasets.synthetic draws a seeded ten-instrument panel, so no network, data file or vendor licence is needed to reproduce any of it.

A panel to work with

from qis.datasets import generate_synthetic_universe

universe = generate_synthetic_universe()
prices = universe.prices                      # business-day panel, 10 instruments
benchmark_prices = universe.benchmark_prices  # 60/40 blend, no nans
group_data = universe.group_data              # asset class per ticker

The panel is deliberately imperfect: one instrument lists late, one is delisted, one reports only at month ends, one carries appraisal smoothing, one has fat tails and one repeats stale prices. Analytics that only work on clean data will show it here.

Performance statistics

import qis

perf_params = qis.PerfParams(freq='ME')
ra_perf = qis.compute_ra_perf_table(prices=prices, perf_params=perf_params)
print(ra_perf)

The return convention is stated, never implied — qis.to_returns(..., is_log_returns=...) takes it explicitly, and every Sharpe object is labelled with the convention it uses. See Sharpe conventions.

A backtest

weights = {ticker: 0.1 for ticker in prices.columns}
portfolio_data = qis.backtest_model_portfolio(prices=prices,
                                              weights=weights,
                                              rebalancing_freq='QE',
                                              rebalancing_costs=0.0010)  # fractional units: 10 bp on traded notional
print(portfolio_data.get_portfolio_nav().tail())

Rebalancing weights are drift-adjusted, so reported turnover is the turnover actually traded.

A factsheet

qis.factsheet(prices,
              benchmark_prices=benchmark_prices,
              reporting_frequency='monthly',
              file_name='universe',
              local_path='.')  # write universe.pdf to the working directory

One call picks the report archetype from the input type and calibrates every window, regression, regime and annualisation to the requested reporting frequency. See reporting frequencies for what that recalibrates, and the gallery for what each report looks like.

Where to go next

• Gallery — the four factsheet archetypes, each from one call

• API reference — every exported symbol