Performance

The performance module provides tools for evaluating and summarizing portfolio and strategy performance. It exposes a clean public API for calculating returns, risk metrics, and visualizing performance, while keeping internal computation details hidden.

generate_returns_from_weights	Generate portfolio returns from given portfolio weights.
generate_multi_returns_from_weights	Generate portfolio, benchmark, and active returns from given portfolio weights.
generate_leverage_from_weights	Calculate leverage from portfolio weights.
generate_drawdown_from_returns	Calculate drawdowns for each portfolio over time.
generate_returns_summary_table	Generate a summary statistics table for single portfolio returns.
generate_multi_returns_summary_table	Generate a summary statistics table for multiple portfolio returns.
generate_leverage_summary_table	Generate a summary statistics table for portfolio leverage.
generate_drawdown_summary_table	Generate a summary statistics table for portfolio drawdowns.
generate_returns_chart	Plot cumulative portfolio returns over time.
generate_multi_returns_chart	Plot cumulative portfolio returns over time for multiple portfolios.
generate_leverage_chart	Plot portfolio leverage over time.
generate_drawdown_chart	Plot portfolio drawdowns over time.
generate_alpha_ics	Compute Information Coefficients (ICs) between previous-day alpha and realized returns.
generate_ic_chart	Plot cumulative Information Coefficient (IC) over time.
get_turnover_stats	Compute summary statistics for two-sided portfolio turnover.
plot_turnover	Plot rolling two-sided turnover over time.