Sharpe Ratio Python Packages

riskfolio-lib

Portfolio Optimization in Python

purgedcv

scikit-learn-compatible time-series cross-validation: purging, embargo, combinatorial purged CV, and deflated Sharpe ratios

oos-lab

Research-grade validation toolkit for trading strategies — detect backtest overfitting (PSR, Deflated Sharpe, PBO/CSCV, walk-forward, Harvey-Liu haircut). MIT.

finlearn-analytics

Pure-Python financial analytics and behavioral-finance toolkit: Sharpe ratio, max drawdown, benchmark comparison, memo quality analysis, and a 69-bias detection catalog.

finrl-trading

FinRL-X: An AI-Native Modular Infrastructure for Quantitative Trading

optego-quant-metrics

A Python package for quantitative portfolio metrics calculations, including Deflated Sharpe Ratio (DSR)

markowitzify

Markowitzify will implement a variety of portfolio and stock/cryptocurrency analysis methods to optimize portfolios or trading strategies. The two primary classes are "portfolio" and "stonks."

clawdfolio

Multi-broker portfolio analytics — Fama-French, GARCH, covered call strategies (PyPI: pip install clawdfolio)

fundspy

Download brazillian investment funds and their benchmarks data from CVM and analyze their performance with pre-built functions.

fundspy2021

Download brazillian investment funds and their benchmarks data from CVM and analyze their performance with pre-built functions.