empyrical
A Python library for calculating common financial risk and performance metrics used in quantitative finance.
What is empyrical?
Empyrical is a Python library that calculates common financial risk and performance metrics used in quantitative finance. It provides functions for metrics like max drawdown, alpha, beta, and capture ratios, enabling developers to analyze portfolio performance and risk characteristics. The library serves as the statistical foundation for popular quantitative finance tools like Zipline and Pyfolio.
Quantitative analysts, algorithmic traders, and financial developers who need reliable implementations of standard financial metrics for portfolio analysis and strategy backtesting.
Developers choose Empyrical because it offers well-tested, production-ready implementations of financial metrics that integrate seamlessly with pandas and NumPy. Its use as the statistical engine for established tools like Zipline ensures reliability and industry acceptance.
Overview
Common financial risk and performance metrics. Used by zipline and pyfolio.
Use Cases
Best For
- Calculating risk metrics for algorithmic trading strategies
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