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Change Log

0.0.62

  • Changed serenity_index and recovery_factor to use simple sum instead of compounded sum
  • Reports passing the compounded param to all supporting methods
  • Fixed a bug related to monthly_heatmap display

0.0.61

  • Fixed positional arguments passed to cagr()

0.0.60

  • Multi-strategy reports! You can now pass a dataframe with a column for each strategy to get a unified, single report for all
  • Support request proxy with yfinance
  • Added custom periods to CAGR
  • Correct drawdown days calculation when last day is a drawdown
  • Write report in correct file path
  • IPython 7+ compatibility
  • Pandas 2.0 compatibility
  • Fix for benchmark name when supplied by the user
  • Handles tz-native and tz-aware comparisson issue
  • Adding benchmark name to html report
  • Update README ticker to META :)
  • Many pull requests merged

0.0.59

  • Fixed EOY compounded return calculation

0.0.58

  • Run fillna(0) on plot's beta (issue #193)

0.0.57

  • Fixed sigma calculation in stats.probabilistic_ratio()

0.0.56

  • Added option to explicitly provide the benchmark title via benchmark_title=...

0.0.55

  • Fix for benchmark name in html report when supplied by the user

0.0.54

  • Fixed dependency name in requirements.txt

0.0.53

  • Added information ratio to reports

0.0.52

  • Added Treynor ratio

0.0.51

  • Added max consecutive wins/losses to full report
  • Added “correlation to benchmark” to report
  • Cleanup inf/nan from reports
  • Added benchmark name to stats column and html report
  • Added probabilistic sharpe/sortino ratios
  • Fix relative dates calculations

0.0.50

  • Fixed a bug when reporting the max drawdown

0.0.49

  • Fixed an issue with saving the HTML report as a file

0.0.48

  • Fixed RF display bug

0.0.47

  • Fixed average DD display bug

0.0.46

  • Misc bug fixes and speedups

0.0.45

  • Fixed stats.rolling_sharpe() parameter mismatch

0.0.44

  • Match dates logic on utils.make_index()

0.0.43

  • Fixed stats.rolling_sortino() calculations
  • Added match_dates flag to reports to make strategy and benchmark comparible by syncing their dates and frequency
  • Added prepare_returns flag to utils._prepare_benchmark()
  • Misc code cleanup and speedups

0.0.42

  • Usability improvements

0.0.41

  • Typos fixed

0.0.40

  • Added rebalance option to utils.make_index()
  • Added option to add log_scale=True/False` toplots.snapshot()``

0.0.39

  • Fixed plots.rolling_volatility() benchmark display (bug introduced in 0.0.37)

0.0.38

  • Added stats.smart_sharpe() and stats.smart_sortino()

0.0.37

  • added stats.rolling_sharpe(), stats.rolling_sortino(), stats.and rolling_volatility()
  • Added stats.distribution()
  • Added Omega ratio
  • BREAKING CHANGE: Eenamed trading_year_days param to periods_per_year
  • Misc code cleanup and speedups

0.0.36

  • Added as_pct params to reports.metrics() for when you need display data as DataFrame

0.0.35

  • Passing correct rolling windows in rolling_beta()
  • Added Serenity Index
  • Passing trading_year_days to method metrics
  • Fixed "day is out of range for month" error

0.0.34

  • Fixed bug in stats.consecutive_wins() and stats.consecutive_losses()
  • Fixed seaborn's depreated distplot warning
  • Improved annualization by passing trading_year_days

0.0.33

  • Added option to pass the number of days per year in reports, so you can now use trading_year_days=365 if you're trading crypto, or any other number for intl. markets.

0.0.32

  • Fixed bug in plot_histogram() (issues 94+95)

0.0.31

  • Enable period setting for adjusted sortino
  • Added utils.make_index() for easy "etf" creation

0.0.30

  • Fixed PIP installer

0.0.29

  • Minor code refactoring

0.0.28

  • gain_to_pain renamed to gain_to_pain_ratio
  • Minor code refactoring

0.0.27

  • Added Sortino/√2 and Gain/Pain ratio to report
  • Merged PRs to fix some bugs

0.0.26

  • Misc bug fixes and code improvements

0.0.25

  • Fixed conditional_value_at_risk()
  • Fixed %matplotlib inline issue notebooks

0.0.24

  • Added mtd/qtd/ytd methods for panda (usage: df.mtd())
  • Fixed Pandas deprecation warning
  • Fixed Matplotlib deprecation warning
  • Try setting %matplotlib inline automatic in notebooks

0.0.23

  • Fixed profit Factor formula

0.0.22

  • Misc bug fixes

0.0.21

  • Fixed chart EOY chart's xticks when charting data with 10+ years
  • Fixed issue where daily return >= 100%
  • Fixed Snapshot plot
  • Removed duplicaated code
  • Added conda installer
  • Misc code refactoring and optimizations

0.0.20

  • Misc bugfixes

0.0.19

  • Cleaning up data before calculations (replaces inf/-inf/-0 with 0)
  • Removed usage of pandas.compound() for future pandas version compatibility
  • Auto conversion of price-to-returns and returns-to-data as needed

0.0.18

  • Fixed issue when last date in data is in the past (issue #4)
  • Fixed issue when data has less than 5 drawdown periods (issue #4)

0.0.17

  • Fixed CAGR calculation for more accuracy
  • Handles drawdowns better in live trading mode when currently in drawdown

0.0.16

  • Handles no drawdowns better

0.0.15

  • Better report formatting
  • Code cleanup

0.0.14

  • Fixed calculation for rolling sharpe and rolling sortino charts
  • Nicer CSS when printing html reports

0.0.13

  • Fixed non-compounded plots in reports when using compounded=False

0.0.12

  • Option to add compounded=True/False to reports (default is True)

0.0.11

  • Minor bug fixes

0.0.10

  • Updated to install and use yfinance instead of fix_yahoo_finance

0.0.09

  • Added support for 3 modes (cumulative, compounded, fixed amount) in plots.earnings() and utils.make_portfolio()
  • Added two DataFrame utilities: df.curr_month() and df.date(date)
  • Misc bug fixes and code refactoring

0.0.08

  • Better calculations for cagr, var, cvar, avg win/loss and payoff_ratio
  • Removed unused param from to_plotly()
  • Added risk free param to log_returns() + renamed it to to_log_returns()
  • Misc bug fixes and code improvements

0.0.07

  • Plots returns figure if show is set to False

0.0.06

  • Minor bug fix

0.0.05

  • Added plots.to_plotly() method
  • Added Ulcer Index to metrics report
  • Better returns/price detection
  • Bug fixes and code refactoring

0.0.04

  • Added pct_rank() method to stats
  • Added multi_shift() method to utils

0.0.03

  • Better VaR/cVaR calculation
  • Fixed calculation of to_drawdown_series()
  • Changed VaR/cVaR default confidence to 95%
  • Improved Sortino formula
  • Fixed conversion of returns to prices (to_prices())

0.0.02

  • Initial release

0.0.01

  • Pre-release placeholder