{ "info": { "author": "Amir Sani", "author_email": "reachme@amirsani.com", "bugtrack_url": null, "classifiers": [], "description": "pySharpeRratio\n==============\n\nDescription\n-----------\n\nThis package implements a moment-free estimator of the Sharpe\n(signal-to-noise) ratio. The algorithm does not require the computation\nof any moments by estimating the Sharpe ratio based on the cumulative\nsum of (i.i.d.) increments or returns. This algorithm is much more\nprecise (efficient) when increments are heavy-tailed.\n\nThe estimator computes the difference between the drawdown and drawup\ndurations. First, the cumulative sum of x (e.g. prices) is computed,\nthen the total drawdown and drawup durations are computed. Precision is\nimproved by averaging the estimator on several random permutations of x.\n\n\nNote\n----\n\nThe data used to fit the spline is saved as spline_data.csv in the data folder.\n\n\nInstallation\n------------\n\npip install --no-cache-dir pysharperratio\n\nAuthor: Amir Sani\nMaintainers: Amir Sani & Damien Challet\n\nReference\n---------\n\nChallet, Damien, `\"Sharper asset ranking from total drawdown durations.\" arXiv preprint, arXiv:1505.01333 (2015).\n\nPreprint available at http://arxiv.org/abs/1505.01333\n\nBibtex:\n\n@article{challet2015sharper, title={Sharper asset ranking from total\ndrawdown durations}, author={Challet, Damien}, journal={arXiv preprint\narXiv:1505.01333}, year={2015} }\n\nCopyright (c) 2017, Amir Sani\n\n|DOI|\n\n.. |DOI| image:: https://zenodo.org/badge/DOI/10.5281/zenodo.267937.svg\n :target: https://doi.org/10.5281/zenodo.267937\n", "description_content_type": null, "docs_url": null, "download_url": "https://github.com/amirsani/pySharpeRratio", "downloads": { "last_day": -1, "last_month": -1, "last_week": -1 }, "home_page": "http://www.amirsani.com", "keywords": "", "license": "", "maintainer": "", "maintainer_email": "", "name": "pysharperratio", "package_url": "https://pypi.org/project/pysharperratio/", "platform": "", "project_url": "https://pypi.org/project/pysharperratio/", "project_urls": { "Download": "https://github.com/amirsani/pySharpeRratio", "Homepage": "http://www.amirsani.com" }, "release_url": "https://pypi.org/project/pysharperratio/0.1.11/", "requires_dist": null, "requires_python": "", "summary": "A moment-free estimator of the Sharpe (signal-to-noise) ratio.", "version": "0.1.11" }, "last_serial": 2614943, "releases": { "0.1.10": [ { "comment_text": "", "digests": { "md5": "423fc4066dc0014e9088869b0fe4ce3a", "sha256": "ae23bc55bf686f18dc4da489684653def9519e802bcdc8126cfc1e381059c2ba" }, "downloads": -1, "filename": "pysharperratio-0.1.10.tar.gz", "has_sig": false, "md5_digest": "423fc4066dc0014e9088869b0fe4ce3a", "packagetype": "sdist", "python_version": "source", "requires_python": null, "size": 3123, "upload_time": "2017-02-02T12:49:04", "url": "https://files.pythonhosted.org/packages/2b/17/6b80c623a10668c10e23822e473c8baf1b7cc796a0d923a00adc76f93870/pysharperratio-0.1.10.tar.gz" } ], "0.1.11": [ { "comment_text": "", "digests": { "md5": "8a23d271120cd00ec0c8d61cc9f89443", "sha256": "dc20e4954bf13a2cb8f872a7295ef0fbba0495f9f6c27f19c1bd9a4339fc03c7" }, "downloads": -1, "filename": "pysharperratio-0.1.11.tar.gz", "has_sig": false, "md5_digest": "8a23d271120cd00ec0c8d61cc9f89443", "packagetype": "sdist", "python_version": "source", "requires_python": null, "size": 3000, "upload_time": "2017-02-02T17:33:19", "url": "https://files.pythonhosted.org/packages/7f/7c/7692e070135311e3ad32fd2acb99fe4651d33abbdaed49fbcb2252eb0129/pysharperratio-0.1.11.tar.gz" } ], "0.1.6": [ { "comment_text": "", "digests": { "md5": "78865b580d8800d1991fe21d2c6e9ffc", "sha256": "5de0c30744a495d9cd0043572bd6cf7aaa0f07ac2fff2b405d5361bf0e35db6c" }, "downloads": -1, "filename": "pysharperratio-0.1.6.tar.gz", "has_sig": false, "md5_digest": "78865b580d8800d1991fe21d2c6e9ffc", "packagetype": "sdist", "python_version": "source", "requires_python": null, "size": 2464, "upload_time": "2017-02-02T11:26:41", "url": "https://files.pythonhosted.org/packages/b6/37/1e3ad16e61ce6a3d9323c4224e3721cc44b3a9bc2e719f992ad0763823ad/pysharperratio-0.1.6.tar.gz" } ], "0.1.7": [ { "comment_text": "", "digests": { "md5": "5891cef18c80cbd288420e5d99e6c85e", "sha256": "eb619d798f19edd372cda16c2498bd947d47a74eb5441664088bd50b44845582" }, "downloads": -1, "filename": "pysharperratio-0.1.7.tar.gz", "has_sig": false, "md5_digest": "5891cef18c80cbd288420e5d99e6c85e", "packagetype": "sdist", "python_version": "source", "requires_python": null, "size": 2642, "upload_time": "2017-02-02T11:32:58", "url": "https://files.pythonhosted.org/packages/42/4b/58de85387d3a9f1626551fdf1712e002d340b7fb57e94c3bb53071c2e8d5/pysharperratio-0.1.7.tar.gz" } ], "0.1.8": [ { "comment_text": "", "digests": { "md5": "07bf0e8da66d007e8de2ad47272bee61", "sha256": "d17826f6ecb12e58682bbb594d7d1337aa4acba0ee4b0a7bf53bcafc66570c74" }, "downloads": -1, "filename": "pysharperratio-0.1.8.tar.gz", "has_sig": false, "md5_digest": "07bf0e8da66d007e8de2ad47272bee61", "packagetype": "sdist", "python_version": "source", "requires_python": null, "size": 2470, "upload_time": "2017-02-02T11:45:01", "url": "https://files.pythonhosted.org/packages/bf/a7/03b6a2d60283a0285c95b0ba9fba56182ce656a58623326b1ea11a023722/pysharperratio-0.1.8.tar.gz" } ], "0.1.9": [ { "comment_text": "", "digests": { "md5": "8774b9725a3c1e1ccd1390385658862b", "sha256": "b424dff0a7b945b11dd31cff2f70f9995160f0be0e7af8aa6cfb7e36897b9a89" }, "downloads": -1, "filename": "pysharperratio-0.1.9.tar.gz", "has_sig": false, "md5_digest": "8774b9725a3c1e1ccd1390385658862b", "packagetype": "sdist", "python_version": "source", "requires_python": null, "size": 2934, "upload_time": "2017-02-02T12:45:44", "url": "https://files.pythonhosted.org/packages/ae/71/785cc63e347e2582a85f0677c4d0b5905beeaff617bac78c64ee821dcb82/pysharperratio-0.1.9.tar.gz" } ] }, "urls": [ { "comment_text": "", "digests": { "md5": "8a23d271120cd00ec0c8d61cc9f89443", "sha256": "dc20e4954bf13a2cb8f872a7295ef0fbba0495f9f6c27f19c1bd9a4339fc03c7" }, "downloads": -1, "filename": "pysharperratio-0.1.11.tar.gz", "has_sig": false, "md5_digest": "8a23d271120cd00ec0c8d61cc9f89443", "packagetype": "sdist", "python_version": "source", "requires_python": null, "size": 3000, "upload_time": "2017-02-02T17:33:19", "url": "https://files.pythonhosted.org/packages/7f/7c/7692e070135311e3ad32fd2acb99fe4651d33abbdaed49fbcb2252eb0129/pysharperratio-0.1.11.tar.gz" } ] }