OnlinePortfolioAnalytics.jl

This project aims to provide users with functionality for performing quantitative portfolio analytics via online algorithms.

It depends especially on OnlineStatsBase.jl.

It's inspired by the following projects:

• Julia
  • PortfolioAnalytics.jl
• R
  • PerformanceAnalytics
  • PortfolioAnalytics
• Python
  • pyfolio
  • empyrical

Installation

Open Julia command line interface.

Type ] dev https://github.com/femtotrader/OnlinePortfolioAnalytics.jl/

Usage

See unit tests

🚧 This software is under construction. API can have breaking changes.

Contents

• OnlinePortfolioAnalytics.jl
• • Installation
  • Usage
  • Contents
• Usage
• • Feeding a portfolio analytics one observation at a time
  • Portfolio analytics with Tables.jl compatible sources
• Examples
• • Sample notebook
• API Documentation
• • Portfolio analytics
  • Other