Metadata-Version: 2.4
Name: pyhrp
Version: 1.3.8
Summary: Hierarchial risk parity
Project-URL: repository, https://github.com/tschm/pyhrp
Project-URL: homepage, https://tschm.github.io/pyhrp/book
Author-email: Thomas Schmelzer <thomas.schmelzer@gmail.com>
License-File: LICENSE
Requires-Python: >=3.10
Requires-Dist: binarytree>=6.5.1
Requires-Dist: numpy>=2
Requires-Dist: pandas>=2
Requires-Dist: scipy>=1.14.1
Provides-Extra: dev
Requires-Dist: marimo>=0.11.5; extra == 'dev'
Requires-Dist: matplotlib>=3.10.0; extra == 'dev'
Requires-Dist: pre-commit>=4.2.0; extra == 'dev'
Requires-Dist: pyportfolioopt>=1.5.6; extra == 'dev'
Requires-Dist: pytest-cov>=6.0.0; extra == 'dev'
Requires-Dist: pytest>=8.3.3; extra == 'dev'
Description-Content-Type: text/markdown

# [pyhrp](https://tschm.github.io/pyhrp/book)

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A recursive implementation of the Hierarchical Risk Parity (hrp) approach
by Marcos Lopez de Prado.
We take heavily advantage of the scipy.cluster.hierarchy package.

![Comparing 'ward' with 'single' and bisection](https://raw.githubusercontent.com/tschm/pyhrp/main/demo.png)

Here's a simple example

```python
>>> import pandas as pd
>>> from pyhrp.hrp import build_tree
>>> from pyhrp.algos import risk_parity
>>> from pyhrp.cluster import Asset

>>> prices = pd.read_csv("src/tests/resources/stock_prices.csv", index_col=0, parse_dates=True)
>>> prices.columns = [Asset(name=column) for column in prices.columns]

>>> returns = prices.pct_change().dropna(axis=0, how="all")
>>> cov, cor = returns.cov(), returns.corr()

# Compute the dendrogram based on the correlation matrix and Ward's metric
>>> dendrogram = build_tree(cor, method='ward')
>>> dendrogram.plot()

# Compute the weights on the dendrogram
>>> root = risk_parity(root=dendrogram.root, cov=cov)
>>> ax = root.portfolio.plot(names=dendrogram.names)
```

For your convenience you can bypass the construction of the covariance and
correlation matrix, and the construction of the dendrogram.

```python
>>> from pyhrp.hrp import hrp

>>> root = hrp(prices=prices, method="ward", bisection=False)
```

You may expect a weight series here but instead the `hrp` function returns a
`Node` object. The `node` simplifies all further post-analysis.

```python
>>> weights = root.portfolio.weights
>>> variance = root.portfolio.variance(cov)

# You can drill deeper into the tree
>>> left = root.left
>>> right = root.right
```

## uv

Starting with

```bash
make install
```

will install [uv](https://github.com/astral-sh/uv) and create
the virtual environment defined in
pyproject.toml and locked in uv.lock.

## marimo

We install [marimo](https://marimo.io) on the fly within the aforementioned
virtual environment. Executing

```bash
make marimo
```

will install and start marimo.
