QuantStats CompatibilityΒΆ

finance-calcs uses QuantStats as a reference for report-oriented metric names and definitions while retaining Polars expressions, explicit missing-value semantics, and composability in lazy queries.

The following concepts have compatible definitions. finance-calcs exposes only its canonical names; it does not export additional QuantStats spellings.

QuantStats name

finance-calcs API

best, worst

best_return, worst_return

avg_win, avg_loss

average_win, average_loss

cagr

annualized_return

expected_shortfall

expected_shortfall

to_drawdown_series

drawdown_series

r_squared

r_squared

gain_to_pain_ratio

gain_to_pain_ratio

recovery_factor

recovery_factor

kelly_criterion

kelly_criterion

Intentional interface differences:

  • expected_shortfall accepts tail_probability, so 5% is tail_probability=0.05, rather than a confidence value of 95%.

  • drawdown_details accepts periodic returns and optional dates directly. It returns native Polars date/index values and decimal drawdowns rather than formatted date strings and percentage values.

  • Missing NaN and null returns are excluded from statistical aggregations and treated as neutral for compounding.

  • Rolling maximum drawdown rebases equity and its initial 1.0 baseline inside each trailing window.

Fixed-fixture tests lock these semantics without adding QuantStats as a runtime or development dependency. See the upstream QuantStats statistics reference for the comparison implementation.