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empyrical-reloaded

library0.5.12pypypiunverified

empyrical-reloaded is a fork of the original empyrical library that computes performance and risk statistics commonly used in quantitative finance, such as Sharpe ratio, Sortino ratio, max drawdown, and others. Current version 0.5.12 targets Python >=3.9 and is under active maintenance with occasional releases.

data

pip install empyrical-reloaded

github ↗package ↗homepage ↗docs ↗

INSTALL

IMPORT

SIG · EMPYRICAL-RELOADED

empyrical-reloaded

datapythonv0.5.12

harness data pending

Install & Compatibility

Where this runs

No compatibility data collected yet for this library.

Code

Verified usage

Verified import paths — ran on the pinned version, not inferred.

empyrical

✓ import empyrical

✗ import empyrical

Computes common risk/performance metrics from a returns series.

import pandas as pd import empyrical # Example returns series returns = pd.Series([0.01, -0.02, 0.03, 0.02, -0.01], name='Returns') # Compute Sharpe ratio (assumes risk-free rate = 0) sharpe = empyrical.sharpe_ratio(returns, period='daily', annualization=252) print(f"Sharpe ratio: {sharpe:.4f}") # Compute max drawdown max_dd = empyrical.max_drawdown(returns) print(f"Max drawdown: {max_dd:.4%}")

Debug

Known issues

breakingThe original 'empyrical' package was taken over by a malicious actor. 'empyrical-reloaded' is the maintained fork. Do not install 'empyrical' (0.5.10 or earlier) as it may be compromised.

fix

Uninstall empyrical and install empyrical-reloaded: pip uninstall empyrical; pip install empyrical-reloaded

affects: <0.5.11 of empyrical

gotchaMany functions require returns sorted in ascending order (oldest first). Passing a series in reverse order will produce incorrect results without warning.

fix

Ensure returns are sorted by date ascending before passing to empyrical functions

affects: all

gotcha'period' keyword is sometimes required, sometimes ignored. For example, 'sharpe_ratio' needs a 'period' to determine annualization, while 'max_drawdown' does not. Check docstrings.

fix

Always provide 'period' and 'annualization' for metrics that depend on frequency (Sharpe, Sortino, Calmar, etc.).

affects: all

deprecatedThe 'annualization' parameter default is set to None, which may raise a TypeError in future versions. You must explicitly provide it.

fix

Always pass annualization=252 for daily data, 52 for weekly, 12 for monthly.

affects: >=0.5.11 <=0.5.12

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Version history

0.5.12latest on PyPI · released Jun 1, 2025

Audit

Dependencies

numpyrequiredcore dependency for numerical operations

pandasrequiredrequired for input data (Series/DataFrame) and output formatting

scipyrequiredused for statistical functions (e.g., beta, skew, kurtosis)

Agent activity

7 hits · last 30 days

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Resources

githubhttps://github.com/stefan-jansen/empyrical-reloaded ↗

packagehttps://pypi.org/project/empyrical-reloaded/ ↗

homepagehttps://ml4trading.io ↗

docshttps://empyrical.ml4trading.io ↗