4.5k stars · BSD-3-Clause · 7.3.0 on PyPI (2026-05-31)
Portfolio optimisation with a large library of risk measures — how capital should be split across strategies.
▶Repo detailsthe review · specs · pros & cons · install
What it is
Riskfolio-Lib is a Python library for portfolio optimisation. It takes the returns of several assets or strategies and produces the mix that best balances return against a risk measure you choose, of which it supports a large number.What it is good for. Anyone with several things to allocate between: strategies, instruments, or time windows. Edition 13 recommended ffn, which answers "which of these candidates is best". This answers the next question, which is "how much of each". ScalpingMate runs one strategy on EURUSD today, so this is a tool for later rather than this weekend. It becomes useful the moment there is a second strategy, or the same strategy on a second pair.
- A very large set of risk measures, not only the textbook one.
- It draws the results, so the output is a chart rather than a wall of numbers.
- It works directly with pandas, the standard Python table library, so your existing data fits.
- This is finance mathematics. It gives confident answers to questions you may be asking wrongly.
- It optimises on past returns. Past returns are not a promise, and on a single strategy it will tell you to put everything in it.
- Installing it pulls in a solver library, so the first install is larger and slower than most.
cd ~/scalpingmate source venv/bin/activate pip install Riskfolio-Lib
