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Installation

Sigma-Quant can be installed using pip:

pip install sigma-quant

Import

The recommended import pattern is the following:

import sigmaquant as qt

For subpackage-oriented imports:

from sigmaquant.performance import sharpe_ratio, drawdown
from sigmaquant.research.autocorr import ljung_box

Example

import numpy as np
import sigmaquant as qt

returns = np.array([0.2, 0.3, -0.5, 0.7, 0.2, 0.1, -0.7])

qt.sharpe_ratio(
    returns,
    frequency="D",
)