empyrical is a Python library with performance and risk statistics commonly used in quantitative finance by Quantopian Inc.
#empyrical是quantopian公司开发的用于量化金融领域的绩效和风险统计的python模块
github地址：
https://github.com/quantopian/empyrical#empyrical
模块的功能：
from .stats
import (
aggregate_returns,
alpha,
alpha_aligned,
alpha_beta,
alpha_beta_aligned,
annual_return,
annual_volatility,
beta,
beta_aligned,
cagr,
calmar_ratio,
capture,
conditional_value_at_risk,
cum_returns,
cum_returns_final,
down_alpha_beta,
down_capture,
downside_risk,
excess_sharpe,
max_drawdown,
omega_ratio,
roll_alpha,
roll_alpha_aligned,
roll_alpha_beta,
roll_alpha_beta,
roll_alpha_beta_aligned,
roll_annual_volatility,
roll_beta,
roll_beta_aligned,
roll_down_capture,
roll_max_drawdown,
roll_sharpe_ratio,
roll_sortino_ratio,
roll_up_capture,
roll_up_down_capture,
sharpe_ratio,
sortino_ratio,
stability_of_timeseries,
tail_ratio,
up_alpha_beta,
up_capture,
up_down_capture,
value_at_risk,
)
分析统计了这些在量化金融领域常用的指标
from .perf_attrib
import (
perf_attrib,
compute_exposures,
)