psae-folio

Portfolio analytics & risk for PSAE — analogous to Quantopian's Pyfolio.

Quick start

import psae_folio as pf
import pickle

results = pickle.load(open("backtest_result.pkl", "rb"))
fig, stats = pf.create_full_tear_sheet(
    returns=results["portfolio_returns"],
    title="PSAE v1 — 2017-2021"
)
print(stats)

Metrics

Sharpe, Sortino, Calmar, Max Drawdown, Win Rate, Beta, Information Ratio, return attribution by policy domain & regime.

License

Apache 2.0