Detect trend in time series, drawdown, drawdown within a constant look-back window , maximum drawdown, time underwater.
-
Updated
Feb 6, 2025 - Python
Detect trend in time series, drawdown, drawdown within a constant look-back window , maximum drawdown, time underwater.
Open-source investment analytics platform bridging academic research and retail finance. Features include portfolio risk decomposition [Fama-French Five Factor Model], retirement sustainability modeling [Block Bootstrap Monte Carlo], max drawdown/CVaR dashboards, and risk-return optimisation [Markowitz, Ledoit-Wolf] via an intuitive user interface.
Add a description, image, and links to the drawdown-at-risk topic page so that developers can more easily learn about it.
To associate your repository with the drawdown-at-risk topic, visit your repo's landing page and select "manage topics."