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v2.0.0 - Performance Analysis Module

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@ishaanman7898 ishaanman7898 released this 07 Apr 01:33
· 6 commits to main since this release
v2.0.0
7d797d2

What's New in v2.0.0

New Module: Quantitative Methods - Performance Analysis

Added 5 new production-quality utilities for evaluating strategy performance:

  • Hurst Exponent (hurst_exponent.py): Measure time series persistence using R/S analysis. H < 0.5 = mean-reverting, H > 0.5 = trending.
  • Omega Ratio (omega_ratio.py): Probability-weighted ratio of gains vs. losses relative to a target return threshold.
  • Tail Ratio ( ail_ratio.py): Ratio of the 95th to 5th percentile returns, quantifying asymmetry in the return distribution.
  • Gain-to-Pain Ratio (gain_to_pain_ratio.py): Cumulative return divided by the absolute sum of all losses (Schwager metric).
  • Active Performance (�ctive_performance.py): Tracking Error and Information Ratio for measuring active management skill vs. a benchmark.

Testing

  • Added ests/test_performance_analysis.py with 5 corresponding unit tests.
  • All 131 tests pass across the full suite.

Documentation

  • Updated main README.md to reference the new module under Level 4: Quantitative Methods.
  • Created UTILS - Quantitative Methods - Performance Analysis/README.md with full module documentation (no emojis).

CI/CD

  • All ruff lint and format checks pass cleanly.
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