Commit Graph
4 Commits
Author SHA1 Message Date
Scott Sanderson 872b84e09a ENH: Implement Factor.quantiles. 2016-03-25 15:11:18 -04:00
Scott Sanderson 381a231725 MAINT: Clean up mixin usage.
- Use RestrictedDTypeMixin for dtype validation in
  Filter/Factor/Classifier.
- Use new LatestMixin for Latest{Filter,Factor,Classifier} instead of
  duplicating logic across all three.
- Always ignore return values in _validate.
- Consistently call super() first in validation mixins.
2016-03-19 19:09:16 -04:00
Scott Sanderson dd842bfde5 BUG: .latest, not latest.
The latter happens to work on py2 :(.
2016-03-19 17:04:28 -04:00
Scott Sanderson 53d3b0855b ENH: Add support for Classifiers.
Classifiers are computations that represent grouping keys. They can be
used in conjuction with normalization functions like ``zscore`` or
``demean`` to perform normalizations over subsets of a dataset.

Notable changes:

- Added ``demean()`` and ``zscore()`` methods to ``Factor``.

- Added a classifier versions of ``Latest`` and ``CustomTermMixin``.
  The .latest attribute of int64 dataset columns no produces a
  classifier by default.

- Added ``Everything``, a classifier that maps all data to the same
  value.

- Added ``zipline.lib.normalize``, which implements a naive, pure-Python
  grouped normalize function.  This will likely be moved to Cython in a
  subsequent PR.
2016-03-19 17:04:28 -04:00