Metrics¶

This module contains some tools to compute financial metrics, such as annualized returns (annual_return), annualized volatility (annual_volatility), Calmar ratio (calmar), diversification ratio (diversified_ratio), maximum drawdown (mdd), Sharpe ratio (sharpe), Z-score (z_score), etc.

There is also rolling version of some metrics, annualized returns (roll_annual_return), annualized volatility (roll_annual_volatility), Calmar ratio (roll_calmar), maximum drawdown (roll_mdd), Sharpe ratio (roll_sharpe), Z-score (roll_z_score), etc.

Classical version of metrics¶

`fynance.features.metrics.accuracy`(y_true, y_pred)	Compute the accuracy of prediction.
`fynance.features.metrics.annual_return`(X[, …])	Compute compouned annual returns of each X’ series.
`fynance.features.metrics.annual_volatility`(X)	Compute the annualized volatility of each X’ series.
`fynance.features.metrics.calmar`(X[, period, …])	Compute the Calmar Ratio for each X’ series.
`fynance.features.metrics.diversified_ratio`(X)	Compute diversification ratio of a portfolio.
`fynance.features.metrics.drawdown`(X[, raw, …])	Measures the drawdown of each X’ series.
`fynance.features.metrics.mad`(X[, axis, dtype])	Compute the Mean Absolute Deviation of each X’ series.
`fynance.features.metrics.mdd`(X[, raw, axis, …])	Compute the maximum drawdown for each X’ series.
`fynance.features.metrics.perf_index`(X[, …])	Compute performance of prices or index values along time axis.
`fynance.features.metrics.perf_returns`(R[, …])	Compute performance of returns along time axis.
`fynance.features.metrics.perf_strat`(X[, S, …])	Compute the performance of strategies for each X’ series.
`fynance.features.metrics.sharpe`(X[, rf, …])	Compute the Sharpe ratio for each X’ series.
`fynance.features.metrics.z_score`(X[, w, …])	Compute the Z-score of each X’ series.

`fynance.features.metrics.roll_annual_return`(X)	Compute rolling compouned annual returns of each X’ series.
`fynance.features.metrics.roll_annual_volatility`(X)	Compute the annualized volatility of each X’ series.
`fynance.features.metrics.roll_calmar`(X[, …])	Compute the rolling Calmar ratio of each X’ series.
`fynance.features.metrics.roll_drawdown`(X[, …])	Measures the rolling drawdown of each X’ series.
`fynance.features.metrics.roll_mad`(X[, w, …])	Compute rolling Mean Absolut Deviation for each X’ series.
`fynance.features.metrics.roll_mdd`(X[, w, …])	Compute the rolling maximum drawdown for each X’ series.
`fynance.features.metrics.roll_sharpe`(X[, …])	Compute rolling sharpe ratio of each X’ series.
`fynance.features.metrics.roll_z_score`(X[, …])	Compute vector of rolling/moving Z-score function.