README.md

crypto_empyrical

crypto_empyrical is a fork of Quantopian's Empyrical package modified by Jesse to work for 24/7 markets of cryptocurrency.

Table of Contents

• Installation
• Usage
• Support
• Contributing
• Testing

Installation

pip install crypto_empyrical

Usage

Simple Statistics

import numpy as np
from crypto_empyrical import max_drawdown, alpha_beta

returns = np.array([.01, .02, .03, -.4, -.06, -.02])
benchmark_returns = np.array([.02, .02, .03, -.35, -.05, -.01])

# calculate the max drawdown
max_drawdown(returns)

# calculate alpha and beta
alpha, beta = alpha_beta(returns, benchmark_returns)

Rolling Measures

import numpy as np
from crypto_empyrical import roll_max_drawdown

returns = np.array([.01, .02, .03, -.4, -.06, -.02])

# calculate the rolling max drawdown
roll_max_drawdown(returns, window=3)

Pandas Support

import pandas as pd
from crypto_empyrical import roll_up_capture, capture

returns = pd.Series([.01, .02, .03, -.4, -.06, -.02])

# calculate a capture ratio
capture(returns)

# calculate capture for up markets on a rolling 60 day basis
roll_up_capture(returns, window=60)

Testing

• install requirements
  • "nose>=1.3.7",
  • "parameterized>=0.6.1"

./runtests.py