F.I.R.E. Factor Investment Research Engine

This repo is the bundled opensource toolkit for book Navigating the Factor Zoo：The Science of Quantitative Investing.

Installation

# We have not released the package to pypi yet, so you need to install from source!!!

# Install from source for loacl testing!!!
## replace $ThisRepoURL with the actual repo url
git clone $ThisRepoURL 
## install from source
pip install -e .

Usage

Download the data from here

run the command and download data put in correct path automatically.

# We have not released this repo yet, so you need download the data manually!!! See command below!!!
# Auto download data
fire download

If you have already downloaded the data from here, you can run the command to check the data and put the data in the correct path

# replace path_to_data.tar.gz with the actual path
fire load path_to_data.tar.gz

Start to code

import fire

# get data
data = fire.fetch_data(["open", "close", "volume"])
open_price = data["open"]


def pv_corr(close, volume):
    # price volume correlation
    return close.rolling(20).corr(volume)


factor = pv_corr(data["close"], data["volume"])

# compute forward returns
fr = fire.compute_forward_returns(open_price.shift(-1), [1, 5, 10])

# evaluate factor
mng = fire.Evaluator(factor, fr)
mng.get_ic("pearson")
mng.get_quantile_returns(5)

Features

1. handy functions for fast factor computation
2. various tools for factor evaluation