I am working through some backtesting ideas and I would love to capture the basic statistics results for comparison, (cumulative returns, annual returns, sharpe, omega etc.) Is there a python library that provides the calculation of the stats as callable functions similar to the ta-lib library, Python's TA-Lib port?
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Turns out Quantopian's empyrical package handles this exact use case Quantopian Empyrical Package
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2$\begingroup$ If this solves your problem, then you can accept your own answer to mark the question as resolved. $\endgroup$ – LocalVolatility Aug 29 '17 at 6:40
