Hello Engine! 👋

• Switched to OOP with our Beibo Engine

👑 Empyrial is here!

• Tearsheet analysis (annual return, cagr, Sharpe ratio, alpha, information ratio...)
• Returns
• Cumulative Returns vs Benchmark
• monthly returns heatmap
• Underwater plot + Top 5 drawdown
• Rolling volatility
• Rolling beta
• Rolling sharpe

Almost stable

-> Possibility to get data (close, adj close, volume..)
-> Get returns
-> Backtest a portfolio and analyze the investment

Trafalgar becomes Empyrial 🔥

• Sharpe ratio fixed
• Improvement on Alpha, beta, and rollings
• lens function to backtest a portfolio
• switch from date ("2020-01-01") to period range ("1y")

Trafalgar update

-> Backtest portfolio
-> Better beta and alpha calculation
-> Cointegration
-> Apply Kalman Filter to a stock
-> Correlation between assets
-> Implied Volatility
-> Rolling beta, rolling volatility and rolling alpha
-> Bugs correction and minor changes