Merge branch 'main' of github.com:stefan-jansen/pyfolio-reloaded into…

… main
stefan-jansen · Sep 8, 2021 · 58126c5 · 58126c5
2 parents 5053c82 + d7cc8f1
commit 58126c5
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diff --git a/.github/dependabot.yml b/.github/dependabot.yml
@@ -0,0 +1,14 @@
+version: 2
+updates:
+  # Maintain dependencies for GitHub Actions
+  - package-ecosystem: "github-actions"
+    directory: "/"
+    schedule:
+      interval: "weekly"
+    ignore:
+      # Official actions have moving tags like v1
+      # that are used, so they don't need updates here
+      - dependency-name: "actions/checkout"
+      - dependency-name: "actions/upload-artifact"
+      - dependency-name: "actions/download-artifact"
+      - dependency-name: "actions/setup-python"
diff --git a/.github/workflows/conda_package.yml b/.github/workflows/conda_package.yml
@@ -1,4 +1,4 @@
-name: conda
+name: Anaconda
 
 on: workflow_dispatch
 
@@ -16,9 +16,7 @@ jobs:
       fail-fast: false
       matrix:
         os: [ macos-latest, windows-latest, ubuntu-latest ]
-#        os: [ ubuntu-latest ]
-        python: [ '3.7', '3.8']
-#        python: [ '3.9' ]
+        python: [ '3.7', '3.8', '3.9']
 
     steps:
       - name: Checkout pyfolio-reloaded
@@ -29,45 +27,54 @@ jobs:
         with:
           miniconda-version: latest
           auto-update-conda: true
+          channel-priority: true
+          mamba-version: "*"
           python-version: ${{ matrix.python }}
           activate-environment: recipe
-          channels: ml4t, conda-forge, defaults, anaconda
+          channels: conda-forge, defaults, anaconda
+
+      - name: create uploader
+        # address broken client under py3.9
+        if: ${{ matrix.python == '3.9' }}
+        run: conda create -n up python=3.7 anaconda-client
 
       - name: conda build for ${{ matrix.os }}
         run: |
           conda activate recipe
-          conda install -n recipe conda-build conda-verify anaconda-client
-          conda-build --output-folder . --python ${{ matrix.python }} conda/recipe/
+          mamba install -n recipe boa conda-verify anaconda-client
+          conda mambabuild --output-folder . --python ${{ matrix.python }} conda.recipe
 
-      - name: store macos result
+      - name: activate uploader
+        # address broken client under py3.9
+        if: ${{ matrix.python == '3.9' }}
+        run: conda activate up
+
+      - name: store windows result
         uses: actions/upload-artifact@v2
-        if: ${{ matrix.os == 'macos-latest' }}
+        if: ${{ matrix.os == 'windows-latest' }}
         with:
-          path: osx-64/*.tar.bz2
+          path: win-64/*.tar.bz2
+
+      - name: upload windows
+        if: ${{ matrix.os == 'windows-latest' }}
+        run: anaconda upload -l main -u ml4t win-64/*.tar.bz2
 
       - name: store linux result
         uses: actions/upload-artifact@v2
         if: ${{ matrix.os == 'ubuntu-latest' }}
         with:
           path: linux-64/*.tar.bz2
 
-      - name: store windows result
+      - name: upload linux
+        if: ${{ matrix.os  == 'ubuntu-latest' }}
+        run: anaconda upload -l main -u ml4t linux-64/*.tar.bz2
+
+      - name: store macos result
         uses: actions/upload-artifact@v2
-        if: ${{ matrix.os == 'windows-latest' }}
+        if: ${{ matrix.os == 'macos-latest' }}
         with:
-          path: win-64/*.tar.bz2
+          path: osx-64/*.tar.bz2
 
-      - name: upload ${{ matrix.os }} result to anaconcda
-        if: ${{ matrix.python != '3.9'}}
-        env:
-          OS: ${{ matrix.os }}
-        run: |
-          if [ "$OS" == "ubuntu-latest" ] ; then
-            anaconda upload -l main -u ml4t linux-64/*.tar.bz2
-          else
-            if [ "$OS" == "macos-latest" ] ; then
-              anaconda upload -l main -u ml4t osx-64/*.tar.bz2
-           else
-              anaconda upload -l main -u ml4t win-64/*.tar.bz2
-            fi
-          fi
+      - name: upload macos
+        if: ${{ matrix.os == 'macos-latest' }}
+        run: anaconda upload -l main -u ml4t osx-64/*.tar.bz2
diff --git a/.github/workflows/unit_tests.yml b/.github/workflows/unit_tests.yml
@@ -36,6 +36,6 @@ jobs:
         run: |
           flake8
 
-      - name: Unittests with tox & nose
+      - name: Tests with tox & pytest
         run: |
-          tox -p auto -q
+          tox
diff --git a/README.md b/README.md
@@ -4,9 +4,14 @@
 </a>
 </p>
 
-
-[![Join the chat at https://gitter.im/stefan-jansen/pyfolio-reloaded](https://badges.gitter.im/Join%20Chat.svg)](https://gitter.im/stefan-jansen/pyfolio-reloaded?utm_source=badge&utm_medium=badge&utm_campaign=pr-badge&utm_content=badge)
-[![PyPI Wheels](https://github.com/stefan-jansen/pyfolio-reloaded/actions/workflows/distribution.yml/badge.svg)](https://github.com/stefan-jansen/pyfolio-reloaded/actions/workflows/distribution.yml)
+![PyPI](https://img.shields.io/pypi/v/pyfolio-reloaded)
+[![Tests](https://github.com/stefan-jansen/pyfolio-reloaded/actions/workflows/unit_tests.yml/badge.svg)](https://github.com/stefan-jansen/pyfolio-reloaded/actions/workflows/unit_tests.yml)
+[![conda](https://github.com/stefan-jansen/pyfolio-reloaded/actions/workflows/conda_package.yml/badge.svg)](https://github.com/stefan-jansen/pyfolio-reloaded/actions/workflows/conda_package.yml)
+[![PyPI](https://github.com/stefan-jansen/pyfolio-reloaded/actions/workflows/build_wheels.yml/badge.svg)](https://github.com/stefan-jansen/pyfolio-reloaded/actions/workflows/build_wheels.yml)
+[![Coverage Status](https://coveralls.io/repos/github/stefan-jansen/pyfolio-reloaded/badge.svg?branch=main)](https://coveralls.io/github/stefan-jansen/pyfolio-reloaded?branch=main)
+![GitHub issues](https://img.shields.io/github/issues/stefan-jansen/pyfolio-reloaded)
+![Discourse users](https://img.shields.io/discourse/users?server=https%3A%2F%2Fexchange.ml4trading.io%2F)
+![Twitter Follow](https://img.shields.io/twitter/follow/ml4trading?style=social)
 
 pyfolio is a Python library for performance and risk analysis of financial portfolios that works well with the [Zipline](https://zipline.ml4trading.io/) open source backtesting library.
 

diff --git a/conda/recipe/meta.yaml b/conda/recipe/meta.yaml
@@ -29,7 +29,7 @@ requirements:
     - scipy >=0.14.0
     - scikit-learn>=0.16.1
     - seaborn >=0.7.1
-    - empyrical-reloaded >=0.5.6
+    - empyrical-reloaded >=0.5.7 # pending update
 
 test:
   imports:

diff --git a/docs/deploy.py b/docs/deploy.py
@@ -9,8 +9,8 @@
 from subprocess import check_call
 
 HERE = Path(__file__).resolve(strict=True).parent
-ALPHALENS_ROOT = HERE.parent
-TEMP_LOCATION = "/tmp/alphalens-doc"
+PYFOLIO_ROOT = HERE.parent
+TEMP_LOCATION = "/tmp/pyfolio-doc"
 TEMP_LOCATION_GLOB = TEMP_LOCATION + "/*"
 
 
@@ -49,8 +49,8 @@ def main():
             print("Copying built files to temp location.")
             move("build/html", TEMP_LOCATION)
 
-            print("Moving to '%s'" % ALPHALENS_ROOT)
-            os.chdir(ALPHALENS_ROOT)
+            print("Moving to '%s'" % PYFOLIO_ROOT)
+            os.chdir(PYFOLIO_ROOT)
 
             print("Checking out gh-pages branch.")
             check_call(
@@ -77,7 +77,7 @@ def main():
         os.chdir(old_dir)
 
     print()
-    print("Updated documentation branch in directory %s" % ALPHALENS_ROOT)
+    print("Updated documentation branch in directory %s" % PYFOLIO_ROOT)
     print("If you are happy with these changes, commit and push to gh-pages.")
 
 

diff --git a/pyfolio/examples/round_trip_tear_sheet_example.ipynb b/pyfolio/examples/round_trip_tear_sheet_example.ipynb
@@ -27,8 +27,13 @@
   },
   {
    "cell_type": "code",
-   "execution_count": null,
-   "metadata": {},
+   "execution_count": 1,
+   "metadata": {
+    "ExecuteTime": {
+     "end_time": "2021-09-07T02:43:48.874652Z",
+     "start_time": "2021-09-07T02:43:48.864891Z"
+    }
+   },
    "outputs": [],
    "source": [
     "# silence warnings\n",
@@ -38,11 +43,11 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 1,
+   "execution_count": 2,
    "metadata": {
     "ExecuteTime": {
-     "end_time": "2021-04-20T00:31:32.084691Z",
-     "start_time": "2021-04-20T00:31:30.976425Z"
+     "end_time": "2021-09-07T02:43:50.546591Z",
+     "start_time": "2021-09-07T02:43:48.989776Z"
     }
    },
    "outputs": [],
@@ -63,11 +68,11 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 2,
+   "execution_count": 3,
    "metadata": {
     "ExecuteTime": {
-     "end_time": "2021-04-20T00:31:32.410509Z",
-     "start_time": "2021-04-20T00:31:32.335185Z"
+     "end_time": "2021-09-07T02:43:51.697971Z",
+     "start_time": "2021-09-07T02:43:51.616535Z"
     }
    },
    "outputs": [],
@@ -89,11 +94,11 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 3,
+   "execution_count": 4,
    "metadata": {
     "ExecuteTime": {
-     "end_time": "2021-04-20T00:31:33.084992Z",
-     "start_time": "2021-04-20T00:31:33.077720Z"
+     "end_time": "2021-09-07T02:43:52.439793Z",
+     "start_time": "2021-09-07T02:43:52.437219Z"
     }
    },
    "outputs": [],
@@ -120,11 +125,11 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 4,
+   "execution_count": 5,
    "metadata": {
     "ExecuteTime": {
-     "end_time": "2021-04-20T00:32:01.944657Z",
-     "start_time": "2021-04-20T00:31:34.193583Z"
+     "end_time": "2021-09-07T02:44:23.168045Z",
+     "start_time": "2021-09-07T02:43:54.942707Z"
     },
     "scrolled": false
    },
@@ -615,11 +620,11 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 5,
+   "execution_count": 6,
    "metadata": {
     "ExecuteTime": {
-     "end_time": "2021-04-20T00:32:07.044586Z",
-     "start_time": "2021-04-20T00:32:01.945747Z"
+     "end_time": "2021-09-07T02:44:28.339232Z",
+     "start_time": "2021-09-07T02:44:23.171046Z"
     }
    },
    "outputs": [],
@@ -630,11 +635,11 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 6,
+   "execution_count": 7,
    "metadata": {
     "ExecuteTime": {
-     "end_time": "2021-04-20T00:32:07.054464Z",
-     "start_time": "2021-04-20T00:32:07.045701Z"
+     "end_time": "2021-09-07T02:44:28.358198Z",
+     "start_time": "2021-09-07T02:44:28.340552Z"
     }
    },
    "outputs": [
@@ -745,7 +750,7 @@
        "4    0.112198    AMD   2 days -0.001249  "
       ]
      },
-     "execution_count": 6,
+     "execution_count": 7,
      "metadata": {},
      "output_type": "execute_result"
     }
@@ -756,11 +761,11 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 7,
+   "execution_count": 8,
    "metadata": {
     "ExecuteTime": {
-     "end_time": "2021-04-20T00:32:07.141707Z",
-     "start_time": "2021-04-20T00:32:07.055460Z"
+     "end_time": "2021-09-07T02:44:28.443008Z",
+     "start_time": "2021-09-07T02:44:28.359105Z"
     }
    },
    "outputs": [
@@ -1165,4 +1170,4 @@
  },
  "nbformat": 4,
  "nbformat_minor": 1
-}
+}
diff --git a/pyfolio/tests/test_nbs.py b/pyfolio/tests/test_nbs.py