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analysis module

Numba-compiled functions for portfolio analysis.

align_init_cash_nb function

align_init_cash_nb(
    init_cash_raw,
    free_cash_flow,
    cash_deposits=0.0
)

Align initial cash to the maximum negative free cash flow.

Adds 1 for easier computing returns.

allocations_nb function

allocations_nb(
    asset_value,
    value,
    group_lens
)

Get allocations per column.

asset_flow_nb function

asset_flow_nb(
    target_shape,
    order_records,
    col_map,
    direction=2,
    init_position=0.0
)

Get asset flow series per column.

Returns the total transacted amount of assets at each time step.

asset_pnl_nb function

asset_pnl_nb(
    init_position_value,
    asset_value,
    cash_flow
)

Get asset (realized and unrealized) PnL series per column/group.

asset_returns_nb function

asset_returns_nb(
    init_position_value,
    asset_value,
    cash_flow,
    log_returns=False
)

Get asset return series per column/group.

asset_value_grouped_nb function

asset_value_grouped_nb(
    asset_value,
    group_lens
)

Get asset value series per group.

asset_value_nb function

asset_value_nb(
    close,
    assets
)

Get asset value series per column.

assets_nb function

assets_nb(
    asset_flow,
    init_position=0.0
)

Get asset series per column.

Returns the current position at each time step.

cash_deposits_grouped_nb function

cash_deposits_grouped_nb(
    target_shape,
    cash_deposits_raw,
    group_lens,
    cash_sharing
)

Get cash deposit series per group.

cash_deposits_nb function

cash_deposits_nb(
    target_shape,
    cash_deposits_raw,
    group_lens,
    cash_sharing,
    split_shared=False
)

Get cash deposit series per column.

cash_flow_grouped_nb function

cash_flow_grouped_nb(
    cash_flow,
    group_lens
)

Get cash flow series per group.

cash_flow_nb function

cash_flow_nb(
    target_shape,
    order_records,
    col_map,
    free=False,
    cash_earnings=0.0
)

Get (free) cash flow series per column.

cash_grouped_nb function

cash_grouped_nb(
    target_shape,
    cash_flow_grouped,
    group_lens,
    init_cash_grouped,
    cash_deposits_grouped=0.0
)

Get cash series per group.

cash_nb function

cash_nb(
    cash_flow,
    init_cash,
    cash_deposits=0.0
)

Get cash series per column.

get_asset_pnl_nb function

get_asset_pnl_nb(
    input_asset_value,
    output_asset_value,
    cash_flow
)

Get asset PnL from the input and output asset value, and the cash flow.

get_asset_return_nb function

get_asset_return_nb(
    input_asset_value,
    output_asset_value,
    cash_flow,
    log_returns=False
)

Get asset return from the input and output asset value, and the cash flow.

get_free_cash_diff_nb function

get_free_cash_diff_nb(
    position_before,
    position_now,
    debt_now,
    price,
    fees
)

Get updated debt and free cash flow.

get_long_size_nb function

get_long_size_nb(
    position_before,
    position_now
)

Get long size.

get_short_size_nb function

get_short_size_nb(
    position_before,
    position_now
)

Get short size.

gross_exposure_nb function

gross_exposure_nb(
    asset_value,
    value
)

Get gross exposure per column/group.

init_cash_grouped_nb function

init_cash_grouped_nb(
    init_cash_raw,
    group_lens,
    cash_sharing
)

Get initial cash per group.

init_cash_nb function

init_cash_nb(
    init_cash_raw,
    group_lens,
    cash_sharing,
    split_shared=False
)

Get initial cash per column.

init_position_value_nb function

init_position_value_nb(
    n_cols,
    init_position=0.0,
    init_price=nan
)

Get initial position value per column.

init_value_grouped_nb function

init_value_grouped_nb(
    group_lens,
    init_position_value,
    init_cash_grouped
)

Get initial value per group.

init_value_nb function

init_value_nb(
    init_position_value,
    init_cash
)

Get initial value per column.

long_assets_nb function

long_assets_nb(
    assets
)

Get long-only assets.

market_value_grouped_nb function

market_value_grouped_nb(
    close,
    group_lens,
    init_value,
    cash_deposits=0.0
)

Get market value per group.

market_value_nb function

market_value_nb(
    close,
    init_value,
    cash_deposits=0.0
)

Get market value per column.

returns_nb function

returns_nb(
    value,
    init_value,
    cash_deposits=0.0,
    cash_deposits_as_input=False,
    log_returns=False
)

Get return series per column/group.

short_assets_nb function

short_assets_nb(
    assets
)

Get short-only assets.

sum_grouped_nb function

sum_grouped_nb(
    arr,
    group_lens
)

Squeeze each group of columns into a single column using sum operation.

total_profit_grouped_nb function

total_profit_grouped_nb(
    total_profit,
    group_lens
)

Get total profit per group.

total_profit_nb function

total_profit_nb(
    target_shape,
    close,
    order_records,
    col_map,
    init_position=0.0,
    init_price=nan,
    cash_earnings=0.0
)

Get total profit per column.

A much faster version than the one based on value_nb().

value_nb function

value_nb(
    cash,
    asset_value
)

Get portfolio value series per column/group.