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QF-Lib

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What is QF-lib?

QF-Lib is a Python library that provides high quality tools for quantitative finance. A large part of the project is dedicated to backtesting investment strategies. The Backtester uses an event-driven architecture and simulates events such as daily market opening or closing. It is designed to test and evaluate any custom investment strategy.

Main features include:

Flexible data sourcing - the project supports the possibility of an easy selection of the data source. Currently provides financial data from Bloomberg, Quandl, Haver Analytics or Portara. To check if there are any additional dependencies necessary for any of these data providers please visit the installation guide.
Tools to prevent look-ahead bias in the backtesting environment.
Adapted data containers, which extend the functionality of pandas Series' and Dataframes.
Summary generation - all performed studies can be summarized with a practical and informative document explaining the results. Several document templates are available in the project.
Simple adjustment of existing settings and creation of new functionalities.

Installation

You can install qf-lib using the pip command:

pip install qf-lib

Alternatively, to install the library from sources, you can download the project and in the qf_lib directory (same one where you found this file after cloning the repository) execute the following command:

python setup.py install

Prerequisites

The library uses WeasyPrint to export documents to PDF. WeasyPrint requires additional dependencies, check the platform-specific instructions for Linux, macOS and Windows installation.

In order to facilitate the GTK3+ installation process for Windows you can use following installers. Download and run the latest gtk3-runtime-x.x.x-x-x-x-ts-win64.exe file to install the GTK3+.

Documentation

Installation guide: https://qf-lib.readthedocs.io/en/latest/installation.html
Configuration guide: https://qf-lib.readthedocs.io/en/latest/configuration.html
API documentation: https://qf-lib.readthedocs.io/