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Performance Stats in Research for a single column equity curve

Say you chart SPY and also want to inspect its stats: CAGR, drawdown, volatility etc.
Clearly I could do this from scratch but I was wondering whether there is any inbuilt facility anyone can think of? Pyfolio is only for a back test run through the IDE.

Any ideas anyone?

I am writing for Stocks and Commodities Magazine and wanted to share Notebooks on Quantopian for those who either can't code or won't.

For instance there is a very serviceable stats library called FFN - would there be any chance of being allowed to load something like that? Or any decent alternative? I don't think there is anything tailor made in Pandas, Numpy etc?

3 responses

Does this example help?

You can also use empyrical, the open-source library we use on Quantopian for common financial calculations (including within pyfolio). See attached notebook to pull out individual calculations.

Loading notebook preview...

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Oh wow, that's brilliant. Thanks Josh