PyAlloq

A modern Python SDK and workspace for quantitative portfolio optimization, feature engineering, and zero-lookahead backtesting.

Workspace Architecture

pyalloq is organized as a multi-package uv workspace:

pyalloq-core: Core data abstractions (MarketData, ScenarioMarketData), pure interfaces (BaseAllocator, BaseReturnEstimator, BaseCovarianceEstimator, BaseScenarioGenerator), StrategyPipeline, ParallelMonteCarloEngine, and optimization/simulation results.
pyalloq-data-connector: Vendor-agnostic data adapters (Yahoo Finance, Alpha Vantage, Finnhub, EOD) standardizing raw payloads into aligned MarketData.
pyalloq-backtest: Zero-lookahead historical simulation engines, cross-validation splitters, transaction cost models, and performance metrics.
pyalloq-features: Feature engineering transformers, TA-Lib integration, scaling tools, and feature pipelines.
pyalloq-simulation: Institutional Monte Carlo scenario generators (GaussianGenerator, PCAFactorGenerator, FHSGenerator, GARCHEVTCopulaGenerator, GMMRegimeGenerator), FactorBackcastImputer, Meucci EntropyPooler (first- and second-moment views), and path-dependent ScenarioEvaluator.
pyalloq: Main SDK combining classical optimization (Markowitz, Risk Parity, Black-Litterman, HRP, NCO) and deep learning models.

Development Setup

# Clone the repository
git clone https://github.com/your-org/pyalloq.git
cd pyalloq

# Install all workspace packages and dependencies with uv
uv sync --all-extras

# Run type checking
uv run mypy src

# Run tests
uv run pytest

# Run pre-commit hooks
uv run pre-commit run --all-files

Quickstart

import datetime as dt
from pyalloq_data_connector.yahoo_finance import YahooFinanceClient
from pyalloq.optimizers.classical.risk_parity import RiskParityAllocator
from pyalloq_core.pipeline import StrategyPipeline
from pyalloq_backtest.engine import WalkForwardEngine

# 1. Fetch Market Data
client = YahooFinanceClient()
data = client.get_market_data(
    tickers=["AAPL", "MSFT", "GOOGL", "AMZN"],
    start=dt.datetime(2023, 1, 1),
    end=dt.datetime(2024, 1, 1)
)

# 2. Build Strategy Pipeline
allocator = RiskParityAllocator(tickers=data.assets)
pipeline = StrategyPipeline(allocator=allocator)

# 3. Run Walk-Forward Backtest
engine = WalkForwardEngine(pipeline=pipeline, rebalance_freq="ME")
results = engine.run(data)

# 4. Inspect Results & Performance Metrics
print("Performance Tear Sheet:")
print(results["tear_sheet"])

License

MIT

Metadata

Release files for pyalloq 0.1.19

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