quantstats

What it is

A Python library for portfolio profiling that gives quants and portfolio managers in-depth performance and risk metrics. It provides three modules: stats for metrics such as Sharpe ratio, volatility and win rate; plots for visualizing performance, drawdowns and rolling statistics; and reports for generating metrics tear sheets, batch plots and full HTML reports, plus built-in Monte Carlo simulations. It works well for systematic and algorithmic strategies with regular rebalancing, since it analyzes return series rather than discrete trades. Metrics like win rate and payoff ratio are period-based, so they may differ from trade-level statistics for discretionary traders with multi-day trades.