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nb module

Numba-compiled functions.

Provides an arsenal of Numba-compiled functions that are used by accessors and for measuring portfolio performance. These only accept NumPy arrays and other Numba-compatible types.

>>> import numpy as np
>>> import vectorbt as vbt

>>> price = np.array([1.1, 1.2, 1.3, 1.2, 1.1])
>>> returns = vbt.generic.nb.pct_change_1d_nb(price)

>>> # vectorbt.returns.nb.cum_returns_1d_nb
>>> vbt.returns.nb.cum_returns_1d_nb(returns, 0)
array([0., 0.09090909, 0.18181818, 0.09090909, 0.])

Note

vectorbt treats matrices as first-class citizens and expects input arrays to be 2-dim, unless function has suffix _1d or is meant to be input to another function. Data is processed along index (axis 0).

All functions passed as argument should be Numba-compiled.

alpha_1d_nb function

alpha_1d_nb(
    returns,
    benchmark_rets,
    ann_factor,
    risk_free=0.0
)

Annualized alpha.

alpha_nb function

alpha_nb(
    returns,
    benchmark_rets,
    ann_factor,
    risk_free=0.0
)

2-dim version of alpha_1d_nb().

annualized_return_1d_nb function

annualized_return_1d_nb(
    returns,
    ann_factor
)

Mean annual growth rate of returns.

This is equivalent to the compound annual growth rate.

annualized_return_nb function

annualized_return_nb(
    returns,
    ann_factor
)

2-dim version of annualized_return_1d_nb().

annualized_volatility_1d_nb function

annualized_volatility_1d_nb(
    returns,
    ann_factor,
    levy_alpha=2.0,
    ddof=1
)

Annualized volatility of a strategy.

annualized_volatility_nb function

annualized_volatility_nb(
    returns,
    ann_factor,
    levy_alpha=2.0,
    ddof=1
)

2-dim version of annualized_volatility_1d_nb().

beta_1d_nb function

beta_1d_nb(
    returns,
    benchmark_rets
)

Beta.

beta_nb function

beta_nb(
    returns,
    benchmark_rets
)

2-dim version of beta_1d_nb().

calmar_ratio_1d_nb function

calmar_ratio_1d_nb(
    returns,
    ann_factor
)

Calmar ratio, or drawdown ratio, of a strategy.

calmar_ratio_nb function

calmar_ratio_nb(
    returns,
    ann_factor
)

2-dim version of calmar_ratio_1d_nb().

capture_1d_nb function

capture_1d_nb(
    returns,
    benchmark_rets,
    ann_factor
)

Capture ratio.

capture_nb function

capture_nb(
    returns,
    benchmark_rets,
    ann_factor
)

2-dim version of capture_1d_nb().

cond_value_at_risk_1d_nb function

cond_value_at_risk_1d_nb(
    returns,
    cutoff=0.05
)

Conditional value at risk (CVaR) of a returns stream.

cond_value_at_risk_nb function

cond_value_at_risk_nb(
    returns,
    cutoff=0.05
)

2-dim version of cond_value_at_risk_1d_nb().

cum_returns_1d_nb function

cum_returns_1d_nb(
    returns,
    start_value
)

Cumulative returns.

cum_returns_final_1d_nb function

cum_returns_final_1d_nb(
    returns,
    start_value=0.0
)

Total return.

cum_returns_final_nb function

cum_returns_final_nb(
    returns,
    start_value=0.0
)

2-dim version of cum_returns_final_1d_nb().

cum_returns_nb function

cum_returns_nb(
    returns,
    start_value
)

2-dim version of cum_returns_1d_nb().

down_capture_1d_nb function

down_capture_1d_nb(
    returns,
    benchmark_rets,
    ann_factor
)

Capture ratio for periods when the benchmark return is negative.

down_capture_nb function

down_capture_nb(
    returns,
    benchmark_rets,
    ann_factor
)

2-dim version of down_capture_1d_nb().

downside_risk_1d_nb function

downside_risk_1d_nb(
    returns,
    ann_factor,
    required_return=0.0
)

Downside deviation below a threshold.

downside_risk_nb function

downside_risk_nb(
    returns,
    ann_factor,
    required_return=0.0
)

2-dim version of downside_risk_1d_nb().

drawdown_1d_nb function

drawdown_1d_nb(
    returns
)

Drawdown of cumulative returns.

drawdown_nb function

drawdown_nb(
    returns
)

2-dim version of drawdown_1d_nb().

get_return_nb function

get_return_nb(
    input_value,
    output_value
)

Calculate return from input and output value.

information_ratio_1d_nb function

information_ratio_1d_nb(
    returns,
    benchmark_rets,
    ddof=1
)

Information ratio of a strategy.

information_ratio_nb function

information_ratio_nb(
    returns,
    benchmark_rets,
    ddof=1
)

2-dim version of information_ratio_1d_nb().

max_drawdown_1d_nb function

max_drawdown_1d_nb(
    returns
)

Total maximum drawdown (MDD).

max_drawdown_nb function

max_drawdown_nb(
    returns
)

2-dim version of max_drawdown_1d_nb().

omega_ratio_1d_nb function

omega_ratio_1d_nb(
    returns,
    ann_factor,
    risk_free=0.0,
    required_return=0.0
)

Omega ratio of a strategy..

omega_ratio_nb function

omega_ratio_nb(
    returns,
    ann_factor,
    risk_free=0.0,
    required_return=0.0
)

2-dim version of omega_ratio_1d_nb().

returns_1d_nb function

returns_1d_nb(
    value,
    init_value
)

Calculate returns from value.

returns_nb function

returns_nb(
    value,
    init_value
)

2-dim version of returns_1d_nb().

rolling_alpha_nb function

rolling_alpha_nb(
    returns,
    window,
    minp,
    benchmark_rets,
    ann_factor,
    risk_free=0.0
)

Rolling version of alpha_nb().

rolling_annualized_return_nb function

rolling_annualized_return_nb(
    returns,
    window,
    minp,
    ann_factor
)

Rolling version of annualized_return_nb().

rolling_annualized_volatility_nb function

rolling_annualized_volatility_nb(
    returns,
    window,
    minp,
    ann_factor,
    levy_alpha=2.0,
    ddof=1
)

Rolling version of annualized_volatility_nb().

rolling_beta_nb function

rolling_beta_nb(
    returns,
    window,
    minp,
    benchmark_rets
)

Rolling version of beta_nb().

rolling_calmar_ratio_nb function

rolling_calmar_ratio_nb(
    returns,
    window,
    minp,
    ann_factor
)

Rolling version of calmar_ratio_nb().

rolling_capture_nb function

rolling_capture_nb(
    returns,
    window,
    minp,
    benchmark_rets,
    ann_factor
)

Rolling version of capture_nb().

rolling_cond_value_at_risk_nb function

rolling_cond_value_at_risk_nb(
    returns,
    window,
    minp,
    cutoff=0.05
)

Rolling version of cond_value_at_risk_nb().

rolling_cum_returns_final_nb function

rolling_cum_returns_final_nb(
    returns,
    window,
    minp,
    start_value=0.0
)

Rolling version of cum_returns_final_nb().

rolling_down_capture_nb function

rolling_down_capture_nb(
    returns,
    window,
    minp,
    benchmark_rets,
    ann_factor
)

Rolling version of down_capture_nb().

rolling_downside_risk_nb function

rolling_downside_risk_nb(
    returns,
    window,
    minp,
    ann_factor,
    required_return=0.0
)

Rolling version of downside_risk_nb().

rolling_information_ratio_nb function

rolling_information_ratio_nb(
    returns,
    window,
    minp,
    benchmark_rets,
    ddof=1
)

Rolling version of information_ratio_nb().

rolling_max_drawdown_nb function

rolling_max_drawdown_nb(
    returns,
    window,
    minp
)

Rolling version of max_drawdown_nb().

rolling_omega_ratio_nb function

rolling_omega_ratio_nb(
    returns,
    window,
    minp,
    ann_factor,
    risk_free=0.0,
    required_return=0.0
)

Rolling version of omega_ratio_nb().

rolling_sharpe_ratio_nb function

rolling_sharpe_ratio_nb(
    returns,
    window,
    minp,
    ann_factor,
    risk_free=0.0,
    ddof=1
)

Rolling version of sharpe_ratio_nb().

rolling_sortino_ratio_nb function

rolling_sortino_ratio_nb(
    returns,
    window,
    minp,
    ann_factor,
    required_return=0.0
)

Rolling version of sortino_ratio_nb().

rolling_tail_ratio_nb function

rolling_tail_ratio_nb(
    returns,
    window,
    minp
)

Rolling version of tail_ratio_nb().

rolling_up_capture_nb function

rolling_up_capture_nb(
    returns,
    window,
    minp,
    benchmark_rets,
    ann_factor
)

Rolling version of up_capture_nb().

rolling_value_at_risk_nb function

rolling_value_at_risk_nb(
    returns,
    window,
    minp,
    cutoff=0.05
)

Rolling version of value_at_risk_nb().

sharpe_ratio_1d_nb function

sharpe_ratio_1d_nb(
    returns,
    ann_factor,
    risk_free=0.0,
    ddof=1
)

Sharpe ratio of a strategy.

sharpe_ratio_nb function

sharpe_ratio_nb(
    returns,
    ann_factor,
    risk_free=0.0,
    ddof=1
)

2-dim version of sharpe_ratio_1d_nb().

sortino_ratio_1d_nb function

sortino_ratio_1d_nb(
    returns,
    ann_factor,
    required_return=0.0
)

Sortino ratio of a strategy.

sortino_ratio_nb function

sortino_ratio_nb(
    returns,
    ann_factor,
    required_return=0.0
)

2-dim version of sortino_ratio_1d_nb().

tail_ratio_1d_nb function

tail_ratio_1d_nb(
    returns
)

Ratio between the right (95%) and left tail (5%).

tail_ratio_nb function

tail_ratio_nb(
    returns
)

2-dim version of tail_ratio_1d_nb().

total_return_apply_nb function

total_return_apply_nb(
    idxs,
    col,
    returns
)

Calculate total return from returns.

up_capture_1d_nb function

up_capture_1d_nb(
    returns,
    benchmark_rets,
    ann_factor
)

Capture ratio for periods when the benchmark return is positive.

up_capture_nb function

up_capture_nb(
    returns,
    benchmark_rets,
    ann_factor
)

2-dim version of up_capture_1d_nb().

value_at_risk_1d_nb function

value_at_risk_1d_nb(
    returns,
    cutoff=0.05
)

Value at risk (VaR) of a returns stream.

value_at_risk_nb function

value_at_risk_nb(
    returns,
    cutoff=0.05
)

2-dim version of value_at_risk_1d_nb().