These are new features and improvements of note in each release.
This is a bugfix release from 0.5.0 with limited new functionality. All users are recommended to upgrade.
- OOS data is now overlaid on top of box plot PR306 by Ana Ruelas
- New logo PR298 by Taso Petridis and Richard Frank
- Raw returns plot and cumulative log returns plot PR294 by Thomas Wiecki
- Net exposure line to the long/short exposure plot PR301 by Ana Ruelas
- Fix drawdown behavior and pandas exception in tear-sheet creation PR297 by Flavio Duarte
This is a major release from 0.4.0 that includes many new analyses and features. We recommend that all users upgrade to this new version. Also update your dependencies, specifically, pandas>=0.18.0, seaborn>=0.6.0 and zipline>=0.8.4.
- New capacity tear-sheet to assess how much capital can be traded on a strategy PR284. Andrew Campbell.
- Bootstrap analysis to assess uncertainty in performance metrics PR261. Thomas Wiecki
- Refactored round-trip analysis to be more general and have better output. Now does full portfolio reconstruction to match trades PR293. Thomas Wiecki, Andrew Campbell. See the tutorial for more information.
- Prettier printing of tables in notebooks PR289. Thomas Wiecki
- Faster max-drawdown calculation PR281. Devin Stevenson
- New metrics tail-ratio and common sense ratio PR276. Thomas Wiecki
- Log-scaled cumulative returns plot and raw returns plot PR294. Thomas Wiecki
- Many depracation fixes for Pandas 0.18.0, seaborn 0.6.0, and zipline 0.8.4
This is a major release from 0.3.1 that includes new features and quite a few bug fixes. We recommend that all users upgrade to this new version.
- Round-trip analysis PR210 Andrew, Thomas
- Improved cone to forecast returns that uses a bootstrap instead of linear forecasting PR233 Andrew, Thomas
- Plot max and median long/short exposures PR237 Andrew
- Sharpe ratio was calculated incorrectly PR219 Thomas, Justin
- annual_return() now only computes CAGR in the correct way PR234 Justin
- Cache SPY and Fama-French returns in home-directory instead of install-directory PR241 Joe
- Remove data files from package PR241 Joe
- Cast factor.name to str PR223 Scotty
- Test all
create_*_tear_sheetfunctions in all configurations PR247 Thomas
This is a minor release from 0.3 that includes mostly bugfixes but also some new features. We recommend that all users upgrade to this new version.
- Add Information Ratio PR194 by @MridulS
- Bayesian tear-sheet now accepts 'Fama-French' option to do Bayesian multivariate regression against Fama-French risk factors PR200 by Shane Bussman
- Plotting of monthly returns PR195
pos.get_percent_allocwas not handling short allocations correctly PR201- UTC bug with cached Fama-French factors commit
- Sector map was not being passed from
create_returns_tearsheetcommit - New sector mapping feature was not Python 3 compatible PR201
- We now depend on pandas-datareader as the yahoo finance loaders from pandas will be deprecated PR181 by @tswrightsandpointe
Besiders the core developers, we have seen an increase in outside contributions which we greatly appreciate. Specifically, these people contributed to this release:
- Shane Bussman
- @MridulS
- @YihaoLu
- @jkrauss82
- @tswrightsandpointe
- @cgdeboer
This is a major release from 0.2 that includes many exciting new features. We recommend that all users upgrade to this new version.
- Sector exposures: sum positions by sector given a dictionary or series of symbol to sector mappings PR166
- Ability to make cones with multiple shades stdev regions PR168
- Slippage sweep: See how an algorithm performs with various levels of slippage PR170
- Stochastic volatility model in Bayesian tear sheet PR174
- Ability to suppress display of position information PR177
- Various fixes to make pyfolio pandas 0.17 compatible
This is a major release from 0.1 that includes mainly bugfixes and refactorings but also some new features. We recommend that all users upgrade to this new version.