SquareQuant open-source library for quants

SquareQuant is a Python library for quantitative finance that provides risk metrics, performance analysis, and basic visualization tools. Designed for both industry professionals and quantitative researchers, it offers a powerful yet intuitive interface for portfolio analysis and risk management.

Description

Core functions

The library offers extensive risk metrics, from basic (sharpe ratio, sortino, vol, max drawdown) to more advanced measures (historical and parametric VaR, CVaR, Entropic VaR, Conditional Drawdown-at-Risk etc.) and statistics (semi-deviation, mean absolute deviation and more). It also integrates seamlessly with financial market data sources always with performance in mind.