mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-11 16:23:12 +08:00
Ana Ruelas
72 lines
2.6 KiB
Plaintext
72 lines
2.6 KiB
Plaintext
Release 1.0.2
|
|
-------------
|
|
|
|
:Release: 1.0.2
|
|
:Date: TBD
|
|
|
|
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`)
|
|
|
|
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`)
|
|
|
|
Documentation
|
|
~~~~~~~~~~~~~
|
|
|
|
None
|