Metadata-Version: 1.2
Name: fynance
Version: 1.1.0
Summary: Python and Cython scripts of machine learning, econometrics and statistical features for financial analysis [In progress]
Home-page: https://github.com/ArthurBernard/Fynance
Author: ['Arthur Bernard']
Author-email: arthur.bernard.92@gmail.com
License: MIT
Download-URL: https://pypi.org/project/fynance/
Project-URL: Documentation, https://fynance.readthedocs.io/
Project-URL: Source Code, https://github.com/ArthurBernard/Fynance/
Description: =======================================================
         Fynance - Machine learning tools designed for finance 
        =======================================================
        
        .. image:: https://img.shields.io/pypi/pyversions/fynance
            :alt: PyPI - Python Version
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            :target: https://pypi.org/project/fynance/
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            :target: https://pypi.org/project/fynance/
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            :target: https://travis-ci.org/ArthurBernard/Fynance
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            :target: https://github.com/ArthurBernard/Fynance/blob/master/LICENSE.txt
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            :target: https://pepy.tech/project/fynance
        .. image:: https://readthedocs.org/projects/fynance/badge/?version=latest
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            :alt: Documentation Status
        .. image:: https://img.shields.io/lgtm/grade/python/g/ArthurBernard/Fynance.svg?logo=lgtm&logoWidth=18
            :target: https://lgtm.com/projects/g/ArthurBernard/Fynance/context:python)
            :alt: Language grade: Python
        
        - **Documentation**: http://fynance.readthedocs.io/en/latest/index.html
        - **Source code**: http://github.com/ArthurBernard/Fynance
        
        **Fynance** is Python (and Cython) package, it provides **machine learning**, **econometric** and **statistical** tools designed for **financial analysis** and **backtest of trading strategy**. The `documentation`_ is available with some **examples** of the use of functions and objects.
        
        .. _documentation: https://fynance.readthedocs.io/en/latest/index.html
        
        Currently the project is always at a **beta level**. But some parts of the project can be considered as stable, such as ``fynance.features`` (this subpackage is already coded in **Cython** to be time-efficient), ``fynance.algorithms.allocation`` (this subpackage seems stable but have to be cleaned and write in Cython), and the other subpackages are always in progress (subject to deep modification).
        
        --------------
         Presentation 
        --------------
        
        The ``fynance`` package contains currently five subpackages:
        
        - **Algorithms** (``fynance.algorithms``) contains:
            - **Portfolio allocations** (e.g. ERC, HRP, IVP, MDP, MVP, etc.).
            - **Rolling objects** for algorithms (e.g. rolling_allocation, etc.).
        
        - **Backtesting** objects (``fynance.backtest``) contains:
            - Module to plot profit and loss, and measure of performance.
        
        - **Feature** tools (``fynance.features``) contains:
            - **Financial indicators** (e.g. bollinger_band, cci, hma, macd_hist, macd_line, rsi, etc.).
            - **Statistical momentums** (e.g. sma, ema, wma, smstd, emstd wmstd, etc.).
            - **Metrics** (e.g. annual_return, annual_volatility, calmar, diversified_ratio, mdd, sharpe, z_score, etc.).
            - **Scale** (e.g. Scale object, normalize, standardize, roll_normalize, roll_standardize, etc.).
            - **Rolling functions** (e.g. roll_min, roll_max).
        
        - **Time-series models** (``fynance.models``) contains:
            - **Econometric models** (e.g. MA, ARMA, ARMA_GARCH and ARMAX_GARCH, etc.).
            - **Neural network models** with **PyTorch** (e.g. MultiLayerPerceptron, etc.).
            - **Rolling objects** for models, currently work only with neural network models (e.g. \_RollingBasis, RollMultiLayerPerceptron, etc.).
        
        - **Neural networks** (``fynance.neural_networks``) with **Keras** (backend **Tensorflow** or **Theano**) contains:
            - Rolling neural network models.
        
        Please refer you to the `documentation`_ to see more details on different tools available in `fynance` package. Documentation contains some descriptions and examples for functions, classes and methods.    
        
        .. _documentation: https://fynance.readthedocs.io/en/latest/index.html
        
        --------------
         Installation 
        --------------
        
        From PyPI
        =========
        
        .. code-block:: console
        
           $ pip install fynance
        
        From source (GitHub)
        ====================
        
        If you want to compile ``fynance`` package from cython files you must set ``USE_CYTHON=True`` in ``setup.py`` file. Otherwise set it to ``USE_CYTHON=False``. By default ``USE_CYTHON='auto'``.
        
        .. code-block:: console
        
           $ git clone https://github.com/ArthurBernard/Fynance.git
           $ cd Fynance
           $ python setup.py build_ext --inplace
           $ python setup.py install --user
        
        ------
         Demo 
        ------
        
        - **Backtest** (performance, drawdown and rolling sharpe ratio) of a **trading strategy** did with a **rolling neural network** (see Notebooks/Exemple_Rolling_NeuralNetwork.ipynb for more details):
        
        .. image:: https://github.com/ArthurBernard/Fynance/blob/master/pictures/backtest_RollNeuralNet.png
        
        - **Loss functions** and **performances** (trading strategy) of five rolling neural networks on the **training and testing period** (see Notebooks/Exemple_Rolling_NeuralNetwork.ipynb for more details):
        
        .. image:: https://github.com/ArthurBernard/Fynance/blob/master/pictures/loss_RollNeuralNet.png
        
        .. [*] Package not achieved, always in progress. All advice is welcome.
Platform: UNKNOWN
Classifier: Development Status :: 4 - Beta
Classifier: Intended Audience :: Financial and Insurance Industry
Classifier: Intended Audience :: Science/Research
Classifier: License :: OSI Approved :: MIT License
Classifier: Operating System :: POSIX :: Linux
Classifier: Programming Language :: Python
Classifier: Programming Language :: Cython
Classifier: Programming Language :: Python :: 3
Classifier: Programming Language :: Python :: 3.6
Classifier: Programming Language :: Python :: 3.7
Classifier: Programming Language :: Python :: 3.8
Classifier: Topic :: Office/Business :: Financial
Classifier: Topic :: Scientific/Engineering :: Artificial Intelligence
