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

beatnothing

Can your model beat doing nothing, after costs, without knowing the future? A benchmark for daily equity signals.

tokio-ai

Is your backtest real? Deflated Sharpe Ratio, backtest-overfitting (PBO) and lookahead checks with measured false-positive rates. Works with vectorbt, backtesting.py and TradingView.

jsharpe

Statistical inference for Sharpe ratios: probabilistic Sharpe ratio, minimum track record length, and FDR/FWER corrections for screening many strategies

falsify-edge

Gate a backtested trading edge before you trust it: multiple-testing, cost-floor, and autocorrelation checks in pure-stdlib Python.

falsify-quant

Adversarial backtest validation for trading strategies. Runs your parameter sweep so it knows the real trial count, then spends six tests trying to prove the result is noise: lookahead detection, cost breakeven, Deflated Sharpe, PBO, permutation, regime concentration.

quantstats-pro

Enhanced drop-in replacement for QuantStats — portfolio analytics for quants

fundspy

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

oos-lab

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

fundspy2021

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

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."

optego-quant-metrics

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

finrl-trading

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

clawdfolio

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

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.

skepsis

Is your backtest result real, or overfit? Statistical diagnostics for backtest overfitting.