wraquant 0.1.0

The ultimate quant finance toolkit for Python

wraquant

The ultimate quantitative finance toolkit for Python.

1,000+ functions | 3,200+ tests | 24 modules | 265 TA indicators

Features

• Risk Management -- VaR/CVaR, GARCH-VaR, beta estimation, factor risk, portfolio analytics, tail risk, stress testing, copulas, credit risk
• Regime Detection -- Gaussian HMM, Markov-switching, Kalman filter/smoother/UKF, regime scoring, labels, regime-aware portfolios
• Volatility Modeling -- Full GARCH family (EGARCH, GJR, FIGARCH, HARCH, APARCH), Hawkes processes, stochastic vol, realized vol estimators
• Technical Analysis -- 265 indicators across 19 modules (momentum, overlap, volume, trend, volatility, patterns, cycles, Fibonacci, support/resistance, exotic, and more)
• Machine Learning -- LSTM/GRU/Transformer (PyTorch), sklearn pipelines, walk-forward validation, SHAP importance, online regression
• Derivatives Pricing -- Black-Scholes, FBSDE solvers, characteristic function pricing (Heston, VG, NIG, CGMY), SABR, rough Bergomi, CIR, Vasicek
• Portfolio Optimization -- Mean-variance, risk parity, Black-Litterman, HRP, convex/linear/nonlinear optimization
• Backtesting -- Vectorized engine, 15+ performance metrics, walk-forward optimization, comprehensive tearsheets, regime-conditional sizing
• Time Series -- Auto-forecasting, SSA/EMD decomposition, ARIMA diagnostics, stochastic processes (OU, jump-diffusion), anomaly detection
• Statistics -- Robust stats, advanced distributions, distance correlation, copula selection, factor analysis, cointegration
• Econometrics -- Panel data, IV/2SLS, VAR/VECM, event studies, structural breaks
• Causal Inference -- Granger causality, IV with diagnostics, event studies, synthetic control, causal forests, mediation, RDD
• Bayesian -- Conjugate regression, stochastic vol MCMC, HMC, model comparison (WAIC/LOO), changepoint detection
• Visualization -- Interactive Plotly dashboards (portfolio, regime, risk, technical), 3D vol surfaces, correlation networks
• And more -- Forex, microstructure, execution algorithms, Levy processes, network analysis, parallel computing

Quick Start

pip install wraquant
# Or with optional groups:
pip install wraquant[market-data,viz,risk,ml]

import wraquant as wq

# Quick comprehensive analysis
report = wq.analyze(returns)

# Detect market regimes
regimes = wq.detect_regimes(returns, method="hmm", n_regimes=2)

# GARCH volatility forecasting
from wraquant.vol import garch_fit, garch_forecast
model = garch_fit(returns, p=1, q=1, dist="t")
forecast = garch_forecast(returns, horizon=10)

# Portfolio optimization with regime awareness
from wraquant.recipes import portfolio_construction_pipeline
portfolio = portfolio_construction_pipeline(returns_df, regime_aware=True)

# 265 technical indicators
from wraquant.ta import rsi, macd, bollinger_bands
signals = rsi(prices, period=14)

Module Overview

Module	Functions	Description
risk	95	Risk management, VaR, beta, factor models, stress testing
stats	79	Statistical analysis, robust stats, distributions, correlation
ta	265	Technical analysis indicators (19 sub-modules)
math	55	Levy processes, networks, optimal stopping
ts	51	Time series forecasting, decomposition, anomaly detection
price	50	Derivatives pricing, FBSDEs, stochastic models
viz	46	Plotly dashboards and interactive charts
ml	43	Machine learning, deep learning, pipelines
regimes	38	Regime detection, scoring, Kalman filters
backtest	37	Backtesting engine, metrics, tearsheets
vol	28	GARCH family, Hawkes, stochastic volatility
bayes	28	Bayesian inference, MCMC, model comparison

Interactive Dashboard

wraquant includes an optional Streamlit dashboard for interactive analysis:

pip install wraquant[dashboard]

from wraquant.dashboard import launch
launch()
# Or: python -m wraquant.dashboard

The dashboard provides six pages:

• Experiment Browser -- Browse and compare experiment results from the Lab API
• Strategy Analysis -- Upload returns CSV for comprehensive analysis (metrics, risk, regimes, distribution)
• Risk Monitor -- VaR/CVaR, rolling volatility, GARCH VaR, stress testing
• Regime Viewer -- Interactive regime detection (HMM/GMM/changepoint) with overlay plots
• Portfolio Optimizer -- Multi-asset optimization (MVO, risk parity) with risk decomposition
• TA Screener -- Apply 265 technical indicators to OHLCV data with interactive charts

Documentation

Full API documentation: wraquant.readthedocs.io

Development

pdm install -G dev
pdm run test          # Run tests
pdm run test-cov      # Tests with coverage
pdm run lint          # Lint with trunk
pdm run fmt           # Format
pdm run changelog     # Generate changelog
pdm run docs          # Build docs

License

MIT