This repo is the bundled opensource toolkit for book Navigating the Factor Zoo：The Science of Quantitative Investing.
# for stable version
pip install firefin
# for test and nightly version
pip install -i https://test.pypi.org/simple/ firefin
# Install from source for loacl testing!!!
## replace $ThisRepoURL with the actual repo url
git clone $ThisRepoURL
## install from source
pip install -e .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
firefin downloadIf 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
firefin load path_to_data.tar.gzimport firefin
# get data
data = firefin.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 = firefin.compute_forward_returns(open_price.shift(-1), [1, 5, 10])
# evaluate factor
mng = firefin.Evaluator(factor, fr)
mng.get_ic("pearson")
mng.get_quantile_returns(5)- handy functions for fast factor computation
- various tools for factor evaluation