RollingEngine

Batch rolling metric computation in a single call.

Usage

from fincore.core.engine import RollingEngine

engine = RollingEngine(returns, factor_returns=benchmark, window=60)
results = engine.compute(['sharpe', 'volatility', 'max_drawdown', 'beta'])

for name, series in results.items():
    print(f"{name}: {len(series)} observations")

Available Metrics

• sharpe — Rolling Sharpe ratio
• volatility — Rolling annualized volatility
• max_drawdown — Rolling maximum drawdown (vectorized)
• beta — Rolling beta vs benchmark (requires factor_returns)
• sortino — Rolling Sortino ratio
• mean_return — Rolling annualized mean return

API Reference

fincore.core.engine.RollingEngine(returns, *, factor_returns=None, window=252, period=DAILY)

Batch rolling metric computation engine.

参数：

名称	类型	描述	默认
returns	Series	Non-cumulative simple returns with a DatetimeIndex.	必需
factor_returns	Series	Benchmark returns (required for beta).	None
window	int	Rolling window size. Default 252 (approx. 1 year of daily data).	252
period	str	Data frequency. Default DAILY.	DAILY

available_metrics property

Return the set of metric names supported by this engine.

compute(metrics='all')

Compute the requested rolling metrics.

参数：

名称	类型	描述	默认
metrics	list of str or ``'all'``	Which metrics to compute. Pass 'all' to compute every available metric.	'all'

返回：

类型	描述
dict[str, Series]	Mapping from metric name to rolling values.