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Commits on Jan 25, 2019

• Merge pull request quantopian#334 from luca-s/master

  Show description for fddf51a
  twiecki

  authored
  fddf51a

Commits on Jan 24, 2019

• BUG: utils.compute_forward_returns can raise out of bounds exception

  luca-s

  committed
  c885a12

Commits on Jan 12, 2019

• MAINT: add GitHub issue template (quantopian#332)

  

  eigenfoo

  authored and

  luca-s

  committed
  4325560

Commits on Jan 3, 2019

• ENH: add ability to get daily multi-period forward returns rather than only cumulative

  

  twiecki

  authored and

  luca-s

  committed
  c3b06cd

Commits on Dec 17, 2018

• Merge pull request quantopian#328 from luca-s/new_pandas

  Show description for 957d5cc
  twiecki

  authored
  957d5cc

Commits on Dec 16, 2018

• MAINT: code refactoring to make it compatible with pandas 0.23.4

  luca-s

  committed
  b499773

Commits on Dec 14, 2018

• PERF: Speed up compute_forward_returns and get_clean_factor. (quantopian#327)

  

  Jean Bredeche

  authored and

  luca-s

  committed
  e67d2b5

Commits on Dec 5, 2018

• Merge pull request quantopian#326 from quantopian/speedup_fwdrets

  Show description for 23ba51e
  twiecki

  authored
  23ba51e

• ENH Speed up fwdret computation by computing directly from prices rather than using pct_change().

  twiecki

  committed
  0301def

Commits on Nov 3, 2018

• BUG: avoid crashing Alphalens when autocorrelation or turnover data is NaNs

  luca-s

  committed
  6ad2627

• BUG: factor_rank_autocorrelation infers turnover period in calendar space

  Show description for e7e0431
  luca-s

  committed
  e7e0431

Commits on Sep 28, 2018

• Merge pull request quantopian#320 from quantopian/little-s-fix-1

  Show description for 12e12c6
  twiecki

  authored
  12e12c6

Commits on Sep 26, 2018

• DOC: Small typo in docstring

  Show description for 853342d
  

  Freddie Vargus

  authored and

  buinvest

  committed
  853342d

Commits on Aug 25, 2018

• TEST: added tests for perf.mean_return_by_quantile (quantopian#318)

  luca-s

  authored
  477cd7e

Commits on Aug 24, 2018

• Merge pull request quantopian#313 from MichaelJMath/master

  Show description for b3f9baf
  twiecki

  authored
  b3f9baf

Commits on Aug 23, 2018

• BUG: Aggregate by_group after by_date calculation

  MichaelJMath

  committed
  4c6d96a

• BUG: Calculate mean returns by date before mean return by quantile

  Show description for c5e9409
  MichaelJMath

  committed
  c5e9409

• BUG: Fix date conversion in newer versions of pandas (quantopian#317)

  Show description for 5614846
  

  MichaelJMath

  authored and

  luca-s

  committed
  5614846

Commits on Jun 15, 2018

• Merge pull request quantopian#307 from quantopian/license

  Show description for 7532b9b
  

  Vikram Narayan

  authored
  7532b9b

• MAINT: add year/name to license

  

  vikram-narayan

  committed
  89f448e

Commits on Jun 7, 2018

• MAINT: clean up backward compat API (quantopian#286)

  Show description for 32bad52
  luca-s

  authored
  32bad52

Commits on May 16, 2018

• ENH: zero aware quantiles (quantopian#306)

  Show description for 5df9ce1
  

  eigenfoo

  authored and

  luca-s

  committed
  5df9ce1

Commits on May 11, 2018

• BUG: compute_mean_return_spread returns error if no std_err argument

  Show description for 61c8d2f
  luca-s

  committed
  61c8d2f

• STY: fixed few comments and docstrings

  luca-s

  committed
  2dba2d7

Commits on May 10, 2018

• ENH: added n_bars option in 'create_event_study_tear_sheet'

  Show description for c8c9aaf
  luca-s

  committed
  c8c9aaf

• ENH: added rate of return option in 'create_event_study_tear_sheet'

  Show description for b45d508
  luca-s

  committed
  b45d508

• BUG: create_pyfolio_input doesn't work with frequency higher that 1 day

  Show description for f1b89c8
  luca-s

  committed
  f1b89c8

Commits on Apr 24, 2018

• TST: added test cases for holidays detection

  luca-s

  committed
  6016e86

Commits on Apr 23, 2018

• BUG: compute_forward_returns fails detecting the correct period length

  Show description for 417621b
  luca-s

  committed
  417621b

Commits on Apr 22, 2018

• PERF: computation of cumulative returns is very slow

  Show description for e444e8d
  luca-s

  committed
  e444e8d

Commits on Mar 16, 2018

• BUG: monthly IC heatmap use red for positive IC

  Show description for e076eff
  luca-s

  committed
  e076eff

• BUG: perf.average_cumulative_return_by_quantile crahes

  luca-s

  committed
  f683b4b

• BUG: get_clean_factor crashes with malformed 'groupby' data

  Show description for f5b070f
  luca-s

  committed
  f5b070f

• DOC: improved docstring for 'price' argument

  luca-s

  committed
  e443a68

Commits on Mar 14, 2018

• DOC: example notebooks use deprecated yahoo API (quantopian#285)

  Show description for fcee108
  luca-s

  authored
  fcee108

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