In this post I will be reviewing and running through examples of using the brilliant python module, “ffn – Financial Functions for Python“, which has been created by Philippe Morissette and released on the MIT license. The github page can be found here (http://pmorissette.github.io/ffn/index.html)
The module helps quickly carry out analysis of trading strategies and financial asset price series/history. It can deal with single series using the “PerformanceStats” class, or multiple combined assets simultaneously using the “GroupStats” class.
Let’s begin with the simple, one asset/strategy case and run through some examples.