catalyst/docs/source/whatsnew/1.0.2.txt

Release 1.0.2
-------------

:Release: 1.0.2
:Date: September 8, 2016

Enhancements
~~~~~~~~~~~~

- Adds forward fill checkpoint tables for the blaze core loader. This allow the
  loader to more efficiently forward fill the data by capping the lower date it
  must search for when querying data. The checkpoints should have novel deltas
  applied (:issue:`1276`).

- Updated VagrantFile to include all dev requirements and use a newer image
  (:issue:`1310`).

- Allow correlations and regressions to be computed between two 2D factors by
  doing computations asset-wise (:issue:`1307`).

- Filters have been made window_safe by default. Now they can be passed in as
  arguments to other Filters, Factors and Classifiers (:issue:`1338`).

- Added an optional ``groupby`` parameter to
  :meth:`~zipline.pipeline.factors.Factor.rank`,
  :meth:`~zipline.pipeline.factors.Factor.top`, and
  :meth:`~zipline.pipeline.factors.Factor.bottom`. (:issue:`1349`).

- Added new pipeline filters, :class:`~zipline.pipeline.filters.All` and
  :class:`~zipline.pipeline.filters.Any`, which takes another filter and
  returns True if an asset produced a True for any/all days in the previous
  ``window_length`` days (:issue:`1358`).

- Added new pipeline filter :class:`~zipline.pipeline.filters.AtLeastN`,
  which takes another filter and an int N and returns True if an asset
  produced a True on N or more days in the previous ``window_length``
  days (:issue:`1367`).

- Use external library empyrical for risk calculations. Empyrical unifies risk
  metric calculations between pyfolio and zipline. Empyrical adds custom
  annualization options for returns of custom frequencies. (:issue:`855`)

- Add Aroon factor. (:issue:`1258`)

- Add fast stochastic oscillator factor. (:issue:`1255`)

- Add a Dockerfile. (:issue:`1254`)

- New trading calendar which supports sessions which span across midnights, e.g.
  24 hour 6:01PM-6:00PM sessions for futures trading.
  `zipline.utils.tradingcalendar` is now deprecated. (:issue:`1138`) (:issue:`1312`)

- Allow slicing a single column out of a Factor/Filter/Classifier. (:issue:`1267`)

- Provide Ichimoku Cloud factor (:issue:`1263`)

- Allow default parameters on Pipeline terms. (:issue:`1263`)

- Provide rate of change percentage factor. (:issue:`1324`)

- Provide linear weighted moving average factor. (:issue:`1325`)

- Add ``NotNullFilter``. (:issue:`1345`)

- Allow capital changes to be defined by a target value. (:issue:`1337`)

- Add ``TrueRange`` factor. (:issue:`1348`)

- Add point in time lookups to ``assets.db``. (:issue:`1361`)

- Make ``can_trade`` aware of the asset's exchange . (:issue:`1346`)

- Add ``downsample`` method to all computable terms. (:issue:`1394`)

- Add `QuantopianUSFuturesCalendar`. (:issue:`1414`)

- Enable publishing of old ``assets.db`` versions. (:issue:`1430`)

- Enable ``schedule_function`` for Futures trading calendar. (:issue:`1442`)

- Disallow regressions of length 1. (:issue:`1466`)

Experimental
~~~~~~~~~~~~

- Add support for comingled Future and Equity history windows, and enable other
  Future data access via data portal. (:issue:`1435`) (:issue:`1432`)

Bug Fixes
~~~~~~~~~

- Changes :class:`~zipline.pipeline.factors.AverageDollarVolume` built-in
  factor to treat missing close or volume values as 0. Previously, NaNs were
  simply discarded before averaging, giving the remaining values too much
  weight (:issue:`1309`).

- Remove risk-free rate from sharpe ratio calculation. The ratio is now the
  average of risk adjusted returns over violatility of adjusted
  returns. (:issue:`853`)

- Sortino ratio will return calculation instead of np.nan when required returns
  are equal to zero. The ratio now returns the average of risk adjusted returns
  over downside risk. Fixed mislabeled API by converting `mar` to
  `downside_risk`. (:issue:`747`)

- Downside risk now returns the square root of the mean of downside
  difference squares. (:issue:`747`)

- Information ratio updated to return mean of risk adjusted returns over
  standard deviation of risk adjusted returns. (:issue:`1322`)

- Alpha and sharpe ratio are now annualized. (:issue:`1322`)

- Fix units during reading and writing of daily bar ``first_trading_day``
  attribute. (:issue:`1245`)

- Optional dispatch modules, when missing, no longer cause a `NameError`.
  (:issue:`1246`)

- Treat ``schedule_function`` argument as a time rule when a time rule, but no
  date rule is supplied. (:issue:`1221`)

- Protect against boundary conditions at beginning and end trading day in
  schedule function. (:issue:`1226`)

- Apply adjustments to previous day when using history with a frequency of `1d`.
  (:issue:`1256`)

- Fail fast on invalid pipeline columns, instead of attempting to access the nonexistent column.
  (:issue:`1280`)

- Fix ``AverageDollarVolume`` NaN handling. (:issue:`1309`)

Performance
~~~~~~~~~~~

- Performance improvements to blaze core loader. (:issue:`1227`)

- Allow concurrent blaze queries. (:issue:`1323`)

- Prevent missing leading bcolz minute data from doing repeated unnecessary lookups. (:issue:`1451`)

- Cache future chain lookups. (:issue:`1455`)

Maintenance and Refactorings
~~~~~~~~~~~~~~~~~~~~~~~~~~~~

- Removed remaining mentions of ``add_history``. (:issue:`1287`)

Documentation
~~~~~~~~~~~~~

Testing
~~~~~~~~~~~

- Add test fixture which sources daily pricing data from minute pricing data
  fixtures. (:issue:`1243`)

Data Format Changes
~~~~~~~~~~~~~~~~~~~

- ``BcolzDailyBarReader`` and ``BcolzDailyBarWriter`` use trading calendar instance,
  instead of trading days serialized to ``JSON``. (:issue:`1330`)

- Change format of ``assets.db`` to support point in time lookups. (:issue:`1361`)

- Change ``BcolzMinuteBarReader``and ``BcolzMinuteBarWriter`` to support varying tick sizes. (:issue:`1428`)