pyfinlab 0.0.9

Financial applications focusing on portfolio management

PyFinanceLab

PyFinanceLab is a library which brings together various financial applications into one package for research and portfolio management. PyFinanceLab is in pre-alpha development. Please open an issue if you find any bugs.

Features

• Data Api Wrapper

  The data api wrapper makes it easy to switch between yfinance (free to use) and tia (Bloomberg Professional Service subscription required) libraries for pulling financial data.

Installation

PyFinanceLab comes with many dependencies. It is recommended you use Anaconda for this installation. Anaconda Individual Edition is appropriate for most users. These instructions use Anaconda Prompt and pip for environment management and package installation. It is recommended you create a new Anaconda environment to keep pyfinlab isolated from your other environments.

Please open an issue if you have any problems.

Windows Instructions

Open Anaconda Prompt. Navigate to the directory where you store your Python projects. Example below:

cd C:\Users\User\Python Projects

Clone the pyfinlab Github repository.

git clone https://github.com/nathanramoscfa/pyfinlab.git

Create a new Anaconda environment.

conda env create -f environment.yml

Activate the new Anaconda environment.

conda activate pyfinlab

Install the latest package version using pip.

pip install pyfinlab

Check to see if you can import pyfinlab modules.

python
>>> import pyfinlab
>>> 

Install JupyterLab

Open Anaconda Navigator. In the "Applications on" menu located near the top, click the menu-arrow and select pyfinlab from the dropdown menu. Then find JupyterLab and click the "Install" button. If you already have Jupyter Lab installed, the button will say "Launch". You should now have everything you need to use pyfinlab and run Jupyter notebooks.

Roadmap

Future development will include:

• Classification Schema

  Classify an investment universe of tickers into specified categories such as sector, size, or value.

• Constraints Modeling

  Automatically generate weight constraints for a universe of tickers.

• Risk Modeling

  Sample, test, and select the best risk model for generating covariance matrices for input into portfolio optimizers such as mean-variance optimization (MVO). Examples include empirical covariance, ledoit-wolf shrinkage, minimum covariance determinant, and more.

• Portfolio Optimization

  Utilize the classification schema, constraints modeling, risk modeling, and return modeling to optimize a portfolio of assets.

• Portfolio Backtesting

  Backtest portfolios and generate performance graphical plots and statistics.

• Report Generation

  Report results in a nicely formatted and easily readable Excel file.

• Documentation

  Documentation will be published as this Python library is further developed.