numeraire-dataset#

Open, reproducible data loaders and builders for the numeraire research framework. This package ships code, not data: it fetches public (and, with your own credentials, licensed) sources and cleans them into tidy, point-in-time tables the framework consumes — so the cleaning is auditable and re-runnable, and no licensed data is ever redistributed inside a wheel.

from numeraire_dataset import load_ff_factors, load_gw_view

ff = load_ff_factors()                       # tidy frame: date, mkt_excess, smb, hml, risk_free
view, vintage = load_gw_view(start_date="1926-07-01", end_date="2020-12-31")
# feed `view` straight into numeraire's backtest; `vintage` stamps the run's provenance

The *_view helpers return a numeraire TimeSeriesView together with a data_vintage stamp, so a downstream result can always trace back to the exact snapshot it was built from.

Two layers#

Sources

tidyfinance-backed loaders for standard sources (Fama–French, Goyal–Welch, and more) — thin functions returning tidy frames, with an optional point-in-time view helper that bridges into numeraire.

Builders

self-built ETL for what tidyfinance does not cover — a vintage-aware FRED-MD builder (reference period × vintage × series, with stationarity transforms applied at build time) and, with your own credentials, WRDS panels.

Where to go next#