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对于如何使用这个模块做了一些简单的例子,主要是调用empyrical里面的函数计算相应的指标
import empyrical
import numpy
as np
import pandas
as pd
import matplotlib.pyplot
as plt
#读取数据
returns=pd.read_csv(
'C:/code/empyrical/empyrical/empyrical/tests/test_data/returns.csv',
names=[
'date',
'rate'])
returns[
'rate']=returns[
'rate']/
100
rate=returns[
'rate']
#计算相关的指标
print(
'计算年化收益率',
empyrical.annual_return(rate) )
print(
'计算年化的波动率(标准差)',
empyrical.annual_volatility(rate))
print(
'画出累计收益图')
empyrical.cum_returns(rate).plot()
print(
'计算夏普率',
empyrical.sharpe_ratio(rate))
print(
'计算时间序列的稳定程度',
empyrical.stability_of_timeseries(rate))