Comments (8)
Would it be correct to say that all that needs rewriting is this function in utils.py
(and any other docstrings here and there)?
That sounds straightforward; would you like me to put together a PR?
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@eigenfoo Correct.
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It would be great to have an alternative that goes back further in time. We can probably use the yahoo SPY returns for the past, and then forward-fill with the ones from google.
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There's the IEX exchange API if it helps, and it requires no registration:
https://iextrading.com/developer/docs/#stocks
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@twiecki I replaced Yahoo Finance with Quandl as shown here. Would you like me to update the default to use Quandl instead?
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@jaycode Yes, that seems like a more stable source!
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@twiecki Done, please resolve conflicts here: #89
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There is also some minimal updates for Pyfolio module for this to work. See here: jaycode/pyfolio@7ef8d27
A working example can be seen here: https://github.com/jaycode/pyfolio/blob/master/pyfolio/examples/single_stock_example.ipynb
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Related Issues (20)
- backwards compat: empyrical.cum_returns_final used to support dataframes HOT 2
- Literature for levy exponent in annual_volatility?
- Someone is name squatting HOT 5
- KeyError: 'date' HOT 4
- _create_unary_vectorized_roll_function(function) how to use parameters "out : array-like, optional"
- sharpe_ratio calculated correctly? HOT 2
- Pandas unable to import datareader deprecation error HOT 1
- Support Python >3.5 HOT 6
- Remove Series.strides from codebase (Pandas deprecation) HOT 2
- Link to sortino-related pdf no longer works
- Community Contributions HOT 3
- Uncaught Exception: FutureWarning: pandas.util.testing is deprecated. Use the functions in the public API at pandas.testing instead. HOT 1
- ImportError: cannot import name 'information_ratio' from 'empyrical' HOT 1
- empyrical.stats.value_at_risk output is NaN
- Assertion error
- Safety Error on empyrical installed via conda-forge HOT 1
- roll_cagr not working
- error in cagr computation (when negative)
- python 3.12 versioner incompatible HOT 1
- max_drawdown returns pd.Series, not float HOT 4
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