Release Notes#

Release v0.1.16#

New Features#

map test using linearmodels package by @rushilg99 in PR #1678
Change preferred sorting order for standard QDF by @Magnus167 in PR #1695
Adding ax_hline & ax_vline to msv.LinePlot by @Magnus167 in PR #1696
Uncomment main script in naive pnl by @sandresen1 in PR #1698
Add single_scatter argument in reg_scatter, also implement bug fixes and format issues in reg_scatter by @sandresen1 in PR #1703
Allow for renaming and reindexing of single statistic table by @sandresen1 in PR #1705
Add dictionary argument to multiple_relations_table to allow for labelling of xcats and rets and sorting by @sandresen1 in PR #1707
Change how default size works in reg_scatter by @sandresen1 in PR #1709
Additons to evaluate_pnls by @sandresen1 in PR #1710
Consistency score for naive PnL by @rushilg99 in PR #1713
Change order of evaluate_pnl table by @sandresen1 in PR #1717
Add readme to signal sub package by @sandresen1 in PR #1718
Remove unused imports by @sandresen1 in PR #1719

Bugfixes#

Remove ticker column from the list of metric_cols by @sandresen1 in PR #1694
Fix error in create_result_df concatenation and add type checks and unit test by @sandresen1 in PR #1697
Fix error when cid used as benchmark return in return beta isn’t used as a cid in benchmark return and xcat is xcat_hedge by @sandresen1 in PR #1704
Fix negation on signals in Signal Return Relations by @sandresen1 in PR #1712
Change label in evaluate_pnl by @sandresen1 in PR #1714
Fix multiple pnl cols by @sandresen1 in PR #1715
Change typing by @sandresen1 in PR #1724
Fix Dict typing by @emhbrine in PR #1727

Full Changelog: v0.1.15←v0.1.16

View complete release notes on GitHub

Release v0.1.15#

New Features#

Add sign and time weighted regressors by @emhbrine in PR #1669
Change docstring in category relations to correctly type and describe prob_est by @sandresen1 in PR #1679
Drop duplicates in standardise_dataframe() by @Magnus167 in PR #1681
Adding unittests for msm.utils.apply_slip() by @Magnus167 in PR #1682
Deprecated old documentation site by @Magnus167 in PR #1683
Increasing page size for DQ.get_catalogue() by @Magnus167 in PR #1685
Add option to specify an alternative oauth method by @sandresen1 in PR #1686

Bugfixes#

Type check for cids in Signal return relations by @sandresen1 in PR #1677
Union of types by @emhbrine in PR #1680
df.reset_index() on return in msm.utils.apply_slip() by @Magnus167 in PR #1684

Full Changelog: v0.1.14←v0.1.15

View complete release notes on GitHub

Release v0.1.14#

New Features#

Add error and warnings when using valid Dataquery credentials with no JPMAQS entitlements by @sandresen1 in PR #1653
Optimise speed and memory usage of reduce_df by @sandresen1 in PR #1656
Optimise both memory and speed usage of update_tickers by @sandresen1 in PR #1657
Add unit tests to test for preservation of dataframe object outside the scope of the utility functions by @sandresen1 in PR #1662
Run notebooks using AWS ECS Fargate by @sandresen1 in PR #1665
Add external function capability to panel_calculator to allow for libraries that aren’t in the scope of panel_calculator by @sandresen1 in PR #1668
Removes copying of dataframe at the beginning of instantiation that isn’t used after by @sandresen1 in PR #1670

Bugfixes#

Fix occurence in panel calculator of when single cid is specified by @sandresen1 in PR #1463
apply_slip() raising a SettingWithCopyWarning by @Magnus167 in PR #1651
check cids and xcats by @emhbrine in PR #1658
Correct beta hedging order of OLS regression by @lsimonsen in PR #1666

Full Changelog: v0.1.13←v0.1.14

View complete release notes on GitHub

Release v0.1.13#

New Features#

Refining CodeCov on matrix testing by @Magnus167 in PR #1610
Refactor qdf_to_ticker_df by @Magnus167 in PR #1613
Refactoring update_df() & update_tickers() by @Magnus167 in PR #1623
Refactor request_wrapper by @Magnus167 in PR #1624
Adding Timer class by @lsimonsen in PR #1626
get_sops() - get starts-of-periods by @Magnus167 in PR #1631
Formula check in panel_calculator by @emhbrine in PR #1636
retraining pause, warnings, docs update, concurrent training by @rushilg99 in PR #1641

Bugfixes#

Skip gaps in data when plotting by @emhbrine in PR #1617
Interpolate for cumulative plot by @emhbrine in PR #1620
Fix spelling and grammatical errors in readme by @sandresen1 in PR #1625
Update make_zn_scores docs by @emhbrine in PR #1627
Fix slip so it is only applied to the target category by @sandresen1 in PR #1638
Fixing bug in FacetPlot.lineplot() by @Magnus167 in PR #1639
Fix coverage report being the same name for different python versions by @sandresen1 in PR #1647

Full Changelog: v0.1.12←v0.1.13

View complete release notes on GitHub

Release v0.1.12#

New Features#

Removing msm.types.Numeric by @Magnus167 in PR #1593
Add functionality to utilise log bucket to the notebook runner by @sandresen1 in PR #1601
Use _map_to_business_day_frequency in get_eops by @Magnus167 in PR #1608

Bugfixes#

Fix background colour changing dependent on previous plots by @sandresen1 in PR #1602
Fix filtering bug in notebook runner by @sandresen1 in PR #1606

Full Changelog: v0.1.11←v0.1.12

View complete release notes on GitHub

Release v0.1.11#

New Features#

Adding download_to_disk() functionality to JPMaQSDownload by @Magnus167 in PR #1557
Design change for changing CV split numbers by @rushilg99 in PR #1568
Pretty print for msm.missing_in_df() by @Magnus167 in PR #1570
Add Bespoke Metric functionality to Signal Return Relations, optimise multiple_relations_table and deprecate older functions in the sub-package by @sandresen1 in PR #1573
Restyling of coefficient stacked bar plot by @rushilg99 in PR #1577
Add kwargs for seaborn to corr matrix by @emhbrine in PR #1579
Divide each subpackage’s unittests into a matrix by @Magnus167 in PR #1584
Fix to colour coding of the stacked bar plot by @rushilg99 in PR #1585
Remove self hosted runner off package by @sandresen1 in PR #1586
Main←Test, for v0.1.11 by @Magnus167 in PR #1588

Bugfixes#

make_relative_value, fixing type-hints by @Magnus167 in PR #1567
Add check for empty dataframes in msp.correl_matrix() by @Magnus167 in PR #1572
Fixing order of signs in linear_composite(sign=...) by @Magnus167 in PR #1576
Handling edge-case in missing_in_df() by @Magnus167 in PR #1589

Full Changelog: v0.1.10←v0.1.11

View complete release notes on GitHub

Release v0.1.10#

New Features#

make_relative_category by @emhbrine in PR #1553
Add Dictionary type for xcat labels in plot pnls by @sandresen1 in PR #1558
enet selector by @rushilg99 in PR #1559

Bugfixes#

Bump minimum scikit-learn version to 1.2.2 by @Magnus167 in PR #1540
CategoryRelations docstrings by @Magnus167 in PR #1541
Fix connection error in notebook runner by @sandresen1 in PR #1547

Full Changelog: v0.1.9←v0.1.10

View complete release notes on GitHub

Release v0.1.9#

New Features#

Signal Optimizer explainability by @rushilg99 in PR #1472
Add TOKEN_EXPIRY_BUFFER to dataquery.Oauth by @Magnus167 in PR #1534

Bugfixes#

Fix variable name in msv.timelines() function by @Magnus167 in PR #1518
get_eops - fix dates=None behaviour by @Magnus167 in PR #1523
Revert “Bugfix: get_eops - fix dates=None behaviour” by @Magnus167 in PR #1524
Dates behaviour in get_eops() by @Magnus167 in PR #1525
Revert “Feature: Add blacklist parameter to view_timelines()/msv.timelines()” by @Magnus167 in PR #1532

Full Changelog: v0.1.8←v0.1.9

View complete release notes on GitHub

Release v0.1.8#

New Features#

Notebook Runner workflow by @Magnus167 in PR #1432
Workflow for notebook runner by @Magnus167 in PR #1433
Change argument name of multiple_reg_scatter to match reg_scatter by @sandresen1 in PR #1503
Add Workflow that runs all notebooks by @sandresen1 in PR #1506
Add blacklist parameter to view_timelines()/msv.timelines() by @Magnus167 in PR #1509

Bugfixes#

Set apply util, raise_error to false so it doesn’t fail if cross sections don’t exist by @sandresen1 in PR #1507

Full Changelog: v0.1.7←v0.1.8

View complete release notes on GitHub

Release v0.1.7#

Bugfixes#

Fix bug on logic of communal sample period by @sandresen1 in PR #1500

Full Changelog: v0.1.6←v0.1.7

View complete release notes on GitHub

Release v0.1.6#

New Features#

AUC and Macrosynergy panel test p-value statistics added to signal return relations by @sandresen1 in PR #1376
Multiple Reg Scatter by @sandresen1 in PR #1453
create copy of scoring dictionary instead of manipulating the users’ by @rushilg99 in PR #1455
Refactor macrosynergy.download subpackage by @Magnus167 in PR #1464
View Timelines by @sandresen1 in PR #1473
Adjust coef box fontsize by @sandresen1 in PR #1475
Parameter formatting in docstrings by @Magnus167 in PR #1483
function to display joint signal vs return & PnL statistics by @rushilg99 in PR #1487
models_heatmap fix when only one model is selected by @rushilg99 in PR #1488

Bugfixes#

Remove debug timer from facetplot by @sandresen1 in PR #1476
added set_params method to all linear weighted models by @rushilg99 in PR #1477
Minor change to historic_vol unittests by @Magnus167 in PR #1478
view_timelines ticks by @emhbrine in PR #1479
JPMaQSDownload, adding more log statements by @Magnus167 in PR #1484
Fix indexing error when cumulative sum in view timelines is called by @sandresen1 in PR #1486
Set default position of legend to be outside the plot by @sandresen1 in PR #1492
Change legend loc default by @sandresen1 in PR #1493

Full Changelog: v0.1.5←v0.1.6

View complete release notes on GitHub

Release v0.1.5#

New Features#

Extending type-hinting functionality of QuantamentalDataFrame to subclass pd.DataFrame by @Magnus167 in PR #1264
Fix datetime.datetime.utcnow() usage by @Magnus167 in PR #1393
Speed up view_timelines by @emhbrine in PR #1421
Speed up view_timelines by @emhbrine in PR #1422
Enable reg_scatter subplots by @emhbrine in PR #1425
Docs, Elastic Search by @Magnus167 in PR #1429
BaseWeightedLinearRegression by @emhbrine in PR #1431
Optimize dataframe conversion in JPMaQSDownload() by @Magnus167 in PR #1442
LAD linear regressor with a positive restriction option by @rushilg99 in PR #1443
Sign- and Time- weighted LAD linear regression models by @rushilg99 in PR #1447
Add unit tests for VintageData class by @Magnus167 in PR #1448
Signal optimiser edge case handling for no model selected + blacklisted country not in the dataframe by @rushilg99 in PR #1452

Bugfixes#

Revert “Feature: Speed up view_timelines” by @sandresen1 in PR #1423
Remove deprecated msm.DataQueryInterface class and unittest by @Magnus167 in PR #1426
Update datetime.utcnow() usage to use timezone.utc by @Magnus167 in PR #1428
Correct logging level for DQ paginated responses by @Magnus167 in PR #1439
Fix QDF column names in docstrings by @Magnus167 in PR #1444
Fix formatting issue release_notes.py by @Magnus167 in PR #1445
Added reversible mapping for _map_to_business_day_frequency by @Magnus167 in PR #1446
Fix JPMaQS.check_connection() calls and delay param by @Magnus167 in PR #1457
missing cids from linear composite are correctly removed by @sandresen1 in PR #1461

Full Changelog: v0.1.4←v0.1.5

View complete release notes on GitHub

Release v0.1.4#

New Features#

Updating delay param code by @Magnus167 in PR #1412
Xcat aggregation is performed if new_xcat name is declared by @sandresen1 in PR #1414

Bugfixes#

Fix artifact upload having the incorrect versioning with deployment to github pages by @sandresen1 in PR #1411
Fix how update tickers works and fix errors caused if using pandas v2.2 by @sandresen1 in PR #1413
Fix error thrown when ncols is specified in reg_scatter by @sandresen1 in PR #1415

Full Changelog: v0.1.3←v0.1.4

View complete release notes on GitHub

Release v0.1.3#

New Features#

Remove deprecated code and documentation for macrosynergy.dataquery by @Magnus167 in PR #1394
Add references to subpackage README.md files by @Magnus167 in PR #1395
time- & sign- weighted least squares by @rushilg99 in PR #1396

Bugfixes#

Add permissions to PyPi Workflow by @sandresen1 in PR #1391
Revert “Docs: Update subpackage READMEs and generate documentation” by @sandresen1 in PR #1398
fix learning tests by @emhbrine in PR #1401
winsorize after adding to signal by @emhbrine in PR #1404

Full Changelog: v0.1.2←v0.1.3

View complete release notes on GitHub

Release v0.1.2#

New Features#

Sign- and time-weighted regression models by @rushilg99 in PR #1365
signal optimiser unit tests, error handling and rolling option by @rushilg99 in PR #1373
Add ncol argument to reg_scatter by @sandresen1 in PR #1380
Performance metric unit tests by @rushilg99 in PR #1383
Splitter visualisation tests by @rushilg99 in PR #1384

Bugfixes#

Adding ‘build’ flag to RTD.yml by @Magnus167 in PR #1375

Full Changelog: v0.1.1←v0.1.2

View complete release notes on GitHub

Release v0.1.1#

New Features#

vectorize ZnScoreAverager by @emhbrine in PR #1328
speed up learning tests by @emhbrine in PR #1343
Change unittests matrix to run only on main branch by @Magnus167 in PR #1350
Update publish trigger for docs-site by @Magnus167 in PR #1354
LassoSelector no feature selected check by @rushilg99 in PR #1355
Sorting release notes as Features & Bugfixes by @Magnus167 in PR #1359
vectorize expanding mean in make_zn_scores by @emhbrine in PR #1366

Bugfixes#

Update logo URL in JPB docs site by @Magnus167 in PR #1342
Change legend location to appear below the plot to prevent squashing of the graph and stop overwriting of the variable legend_loc by @sandresen1 in PR #1349
Parameter’s values weren’t being used to adjust the formatting of the timeline by @sandresen1 in PR #1353
Fix formatting issues in Usage Examples by @Magnus167 in PR #1358
Change to legend so it is in the same place with respect to the x labels as a default by @sandresen1 in PR #1360
Change palette so legend colour matches scatter plot colour by @sandresen1 in PR #1363
reduce_df xcats can be string by @emhbrine in PR #1364
Cross-Sectional mean is only interpreted across cids specified instead of globally across dataframe by @sandresen1 in PR #1367

Full Changelog: v0.1.0←v0.1.1

View complete release notes on GitHub

Release v0.1.0#

New Features#

Updating Docs site - Sphinx by @Magnus167 in PR #1289
learning subpackage unit tests + docs changes by @rushilg99 in PR #1297
blacklisting fix for multiple periods of same xs + slicing by @rushilg99 in PR #1307
Make heatmap more aesthetically pleasing by @sandresen1 in PR #1309
removed experimental notices by @rushilg99 in PR #1317
Added check for concentrated zero predictions for MAP test by @rushilg99 in PR #1325
more learning unit tests by @rushilg99 in PR #1326
ZN Score neutral level can now be a number by @sandresen1 in PR #1329
Reformatting of files and removing unused imports by @sandresen1 in PR #1330
removed experimental notice for learning + docs changes by @rushilg99 in PR #1337

Bugfixes#

Reverts negation of signal on instantiation of Signal Return Relations by @sandresen1 in PR #1310
Title fontsize specified is used in plot pnl by @sandresen1 in PR #1312
Removes duplicate frequencies from signal returns without reordering the list by @sandresen1 in PR #1314
Change docstring to stop bugged formatting on docs site by @sandresen1 in PR #1331

Full Changelog: v0.0.51←v0.1.0

View complete release notes on GitHub

Release v0.0.52#

New Features#

learning subpackage unit tests + docs changes by @rushilg99 in PR #1297
blacklisting fix for multiple periods of same xs + slicing by @rushilg99 in PR #1307
Make heatmap more aesthetically pleasing by @sandresen1 in PR #1309
removed experimental notices by @rushilg99 in PR #1317

Bugfixes#

Reverts negation of signal on instantiation of Signal Return Relations by @sandresen1 in PR #1310
Title fontsize specified is used in plot pnl by @sandresen1 in PR #1312
Removes duplicate frequencies from signal returns without reordering the list by @sandresen1 in PR #1314

Full Changelog: v0.0.51←v0.0.52

View complete release notes on GitHub

Release v0.0.51#

New Features#

Add functionality to specify feature and return signal in correlation bars by @sandresen1 in PR #1292
Add unit tests and fix small bug by @sandresen1 in PR #1293
Add extra argumentss to accuracy_bars by @sandresen1 in PR #1294
Updating actions/checkout to v4 by @Magnus167 in PR #1295
renaming avgnormftrtransformer by @rushilg99 in PR #1296
blacklisting for signal optimiser by @rushilg99 in PR #1299
Optimise Single Statistic Table by @sandresen1 in PR #1300
feature averager by @rushilg99 in PR #1302

Bugfixes#

Remove duplicate frequencies, if defined in Signal Return Relations by @sandresen1 in PR #1290
Ensure negation of signals is reverted by @sandresen1 in PR #1291
Fix bug where lineplot plotted xcats in alphabetical order instead of specified order by @sandresen1 in PR #1298

Full Changelog: v0.0.50←v0.0.51

View complete release notes on GitHub

Release v0.0.50#

New Features#

prediction_tools parallelisation by @emhbrine in PR #1234
Refactoring historic_vol() by @Magnus167 in PR #1247
Remove old group-id from DataQueryInterface.get_catalogue() by @Magnus167 in PR #1249
reordered learning submodule constructor by @rushilg99 in PR #1255
added title_fontsize arg to SignalReturnRelations plotting methods by @Magnus167 in PR #1259
type and value checks for transformers + minor refactoring by @rushilg99 in PR #1262
Out of sample signal optimiser + new transformers + new predictors by @rushilg99 in PR #1266
Added logic to sort DF from JPMaQSDownload by @Magnus167 in PR #1268
Set rounding for statistic table heatmap by @sandresen1 in PR #1270
Refactor panel calculator by @sandresen1 in PR #1273
mapselector now returns zeros when no features are significant by @rushilg99 in PR #1274
Naive predictor class published by @rushilg99 in PR #1275
Add small typing to panel calculator by @sandresen1 in PR #1276
Small refactor/reformat to make_zn_scores by @sandresen1 in PR #1279
refactor return beta by @sandresen1 in PR #1281
Add label for cs mean in view_timelines by @sandresen1 in PR #1282

Bugfixes#

Removes incorrect assert from update_df and add more robust tests by @sandresen1 in PR #1250
Allows QDF Type to be an empty dataframe by @sandresen1 in PR #1257
When cross sections intersections exclusively across signals are empty the communal sample doesn’t index from the dataframe by @sandresen1 in PR #1261
Seaborn version/Missing heatmap annotations by @Magnus167 in PR #1269
Fix typing error which declares a tuple by @sandresen1 in PR #1280

Full Changelog: v0.0.49←v0.0.50

View complete release notes on GitHub

Release v0.0.49#

New Features#

Edits to Panel splitter classes by @emhbrine in PR #1220
Adaptive signal generation from ML predictions by @rushilg99 in PR #1223
Deprecating singular arguments (ret, sig, freq, agg_sig and rival_sigs) in Signal Return Relations by @sandresen1 in PR #1235
Add option for custom title font size in NaivePNL.plot_pnls() function by @Magnus167 in PR #1237
use business day freq by @emhbrine in PR #1238

Bugfixes#

Remove single character variables to prevent linting from failing by @sandresen1 in PR #1236
Make assertion error in update_df more informative by @sandresen1 in PR #1240

Full Changelog: v0.0.48←v0.0.49

View complete release notes on GitHub

Release v0.0.48#

New Features#

Reformat docstring in signal returns by @sandresen1 in PR #1224
Consolidate Signal Return Relations and Signals Returns into one single class by @sandresen1 in PR #1227

Bugfixes#

Required version of matplotlib is now at least 3.6.0 to avoid runtime error when declaring title in visuals by @sandresen1 in PR #1225

Full Changelog: v0.0.47←v0.0.48

View complete release notes on GitHub

Release v0.0.47#

New Features#

Lasso and MAP feature selection + Z score signal creation by @rushilg99 in PR #1176
Show 10 slowest tests in test output by @sandresen1 in PR #1191
Added README for macrosynergy.learning by @rushilg99 in PR #1192
Remove expanding_statistics.py & refactor math.py by @sandresen1 in PR #1195
function to translate test predictions into Naive PnLs by @rushilg99 in PR #1198
Added cids to constructor of Signals Returns by @sandresen1 in PR #1200
Add warning to when cids specified in Signal Base are not in the reduced dataframe by @sandresen1 in PR #1201
Consolidate cids into signal base by @sandresen1 in PR #1204
Refactoring of Signals Directory by @sandresen1 in PR #1205
Refactoring Converge Row by @sandresen1 in PR #1206
return self in transformer fit + dataframe in benchmark transformation by @rushilg99 in PR #1208

Bugfixes#

Fixed bug where cids is declared incorrectly in output_table by @sandresen1 in PR #1199
Add context manager to correlation matrix plotting by @Magnus167 in PR #1211
Add legend location and bbox args to view_ranges() by @Magnus167 in PR #1212

Full Changelog: v0.0.46←v0.0.47

View complete release notes on GitHub

Release v0.0.46#

New Features#

Add a Required Review Directive to workflow by @sandresen1 in PR #1120
Consolidating msm.simulate_* functions by @Magnus167 in PR #1132
Code Coverage excludes code that won’t be executed by @sandresen1 in PR #1144
Added more unit tests for category_relations by @sandresen1 in PR #1147
Adding granger_causality_test() by @Magnus167 in PR #1148
Sub-package for msm.utils by @Magnus167 in PR #1149
single_statistic_table heatmap by @emhbrine in PR #1163
added a range of non-standard scikit-learn performance metrics to ms.learning by @rushilg99 in PR #1164
Remove unnecessary copying of dataframe by @sandresen1 in PR #1165
Add new tests for signal directory by @sandresen1 in PR #1169
corrected type check for multi-index index format for returns in metric.py by @rushilg99 in PR #1172
Add more unit tests to Signal Return Relations by @sandresen1 in PR #1173
Add test to naive_pnl and prevent tests from outputting plots directly by @sandresen1 in PR #1175
Remove unnecessary call to mpl by @sandresen1 in PR #1184

Bugfixes#

Clear branch cache by @sandresen1 in PR #1143
Removed purging cache failure upon merging to develop by @sandresen1 in PR #1154
make_relative_value(), unintented warning when preparing basket by @Magnus167 in PR #1158
Change precision of tests to be more forgiving by @sandresen1 in PR #1160
Uses seaborn style correctly by @sandresen1 in PR #1161
Fix time_series_check number error by @sandresen1 in PR #1167
Fixing docs scripts for subpackages-within-subpackages by @Magnus167 in PR #1170
Changed tests to use relative tolerance to prevent occasional false failure by @sandresen1 in PR #1174
removing max_drawdown metric by @emhbrine in PR #1177
Clips expected zn scores to prevent occasional false failure on modify signals test by @sandresen1 in PR #1178
Removed unnecessary comments from msp.__init__ by @Magnus167 in PR #1182

Full Changelog: v0.0.45←v0.0.46

View complete release notes on GitHub

Release v0.0.45#

New Features#

new class SignalsReturns, complementing SignalReturnRelations by @sandresen1 in PR #1043
Custom types and isinstance() checks by @Magnus167 in PR #1069
Implementing QuantamentalDataFrame as a type by @Magnus167 in PR #1071
macrosynergy.management.decorators, consolidating common functionality by @Magnus167 in PR #1074
CI/CD, clear GitHub actions caches post PR merge by @Magnus167 in PR #1082
Renaming workflow job names for status checks by @Magnus167 in PR #1106
move plotting to visuals by @emhbrine in PR #1108
Consolidating management utilities by @Magnus167 in PR #1111
Removing pd.DataFrame from msm.decorators.argcopy by @Magnus167 in PR #1116
Subpackage for utilities by @Magnus167 in PR #1121
Prevent Build from succeeding if sys.path.append(os.getcwd()) is found by @sandresen1 in PR #1124
Remove use of deprecated function set-output in github actions by @sandresen1 in PR #1130

Bugfixes#

CI/CD, fixing check-pr action by @Magnus167 in PR #1103
CI/CD, check-pr workflow by @Magnus167 in PR #1104
Error messages in make_zn_scores() by @Magnus167 in PR #1107
Side-effects in qdf_to_ticker_df() util. by @Magnus167 in PR #1112
Incorrect version format for development versions by @Magnus167 in PR #1114
Adjustments for colourblind users by @Magnus167 in PR #1115
Updating deprecation message for MSM methods by @Magnus167 in PR #1122
Unittest, using np.allclose instead of np,all & equ by @Magnus167 in PR #1123
Integration tests can’t run concurrently by @sandresen1 in PR #1127
Reverting “Feature: Subpackage for utilities” by @Magnus167 in PR #1135

Full Changelog: v0.0.44←v0.0.45

View complete release notes on GitHub

Release v0.0.44#

New Features#

new panel_cv_scores to return cv scores over a panel by @rushilg99 in PR #1055
view metrics refactor by @emhbrine in PR #1056
Consolidates apply_slip into utils.py by @sandresen1 in PR #1066
optional std dev cv metric + long bias display by @rushilg99 in PR #1077
Common cache on the develop branch by @Magnus167 in PR #1079
added metrics to detect long bias in a model by @rushilg99 in PR #1081
ms.learning, added benchmark transformer class by @rushilg99 in PR #1083
CI/CD, Pull request QC and directives by @Magnus167 in PR #1084
Efficiency changes to shape_dfs.py by @sandresen1 in PR #1085
check_pr() added version based directives by @Magnus167 in PR #1093

Bugfixes#

test_signal_return, using np.isclose instead of round by @Magnus167 in PR #1072
macrosynergy.visuals, safely failing when “seaborn-darkgrid” style is not available by @Magnus167 in PR #1075
CI/CD, common cache by @Magnus167 in PR #1080
PR QC failing when no description provided by @sandresen1 in PR #1086
Merge-After directive not working in PRs by @Magnus167 in PR #1088
fix lags for correl_matrix by @emhbrine in PR #1090
Change unit test to use relative tolerance to avoid test failing by @sandresen1 in PR #1091
view_timelines(), cross-sectional mean not working by @Magnus167 in PR #1092
Seaborn/Matplotlib style issue by @Magnus167 in PR #1094
PR QCD workflow by @Magnus167 in PR #1095

Full Changelog: v0.0.43←v0.0.44

View complete release notes on GitHub

Release v0.0.43#

New Features#

PanelTimeSeriesSplit, added module docstring by @Magnus167 in PR #985
Added print stdout arg to test args in pyproject.toml by @Magnus167 in PR #1033
ticker_df_to_qdf() utility by @Magnus167 in PR #1034
extend correl_matrix to calculate correlation between two sets by @emhbrine in PR #1041
pytest-xdist, running multi-threaded tests by @sandresen1 in PR #1042
Caches dependencies when building by @sandresen1 in PR #1047
Modular GH-actions by @Magnus167 in PR #1052

Bugfixes#

Change to historic_vol.get_cycles() to reduce memory overhead by @sandresen1 in PR #1035
JPMaQSDownloader, downloading generic DQ expressions by @Magnus167 in PR #1038
Small change to unittest so it asserts due to unknown category by @sandresen1 in PR #1040
Remove multithreading in integration test workflows by @sandresen1 in PR #1051

Full Changelog: v0.0.42←v0.0.43

View complete release notes on GitHub

Release v0.0.42#

Bugfixes#

Cleaning up imports in jpmaqs.py by @Magnus167 in PR #1011
Standard keywords in make_test_df() by @Magnus167 in PR #1014
Cumulative Sum, msv.view.timelines by @Magnus167 in PR #1015
Updating the URL for the logo in docs/assets/jpb-config.yml by @Magnus167 in PR #1016
is_valid_iso_date by @Magnus167 in PR #1022

Full Changelog: v0.0.41←v0.0.42

View complete release notes on GitHub

Release v0.0.41#

Bugfixes#

msv.view.timelines sorting facet titles alphabetically by @Magnus167 in PR #1004

Full Changelog: v0.0.40←v0.0.41

View complete release notes on GitHub

Release v0.0.40#

Bugfixes#

view_timelines() title adjustment by @Magnus167 in PR #996
Single cid chart with xcat_grid by @Magnus167 in PR #997

Full Changelog: v0.0.39←v0.0.40

View complete release notes on GitHub

Release v0.0.39#

New Features#

Delete macrosynergy.pnl.real_pnl by @Magnus167 in PR #986
Removing pyyaml dependency by @Magnus167 in PR #987
Updating pyproject.toml by @Magnus167 in PR #989

Full Changelog: v0.0.38←v0.0.39

View complete release notes on GitHub

Release v0.0.38#

Bugfixes#

Updating docs landing page by @Magnus167 in PR #981

Full Changelog: v0.0.37←v0.0.38

View complete release notes on GitHub

Release v0.0.37#

New Features#

ReviewingPanelTimeSeriesSplit by @rsueppel in PR #925
Update README.md logo by @Magnus167 in PR #955
Added ability to pass directives in docstrings by @Magnus167 in PR #956
PanelTimeSeriesSplit, added figsize to visualisation method by @rushilg99 in PR #970
PanelTimeSeriesSplit, matplotlib changes by @rushilg99 in PR #971
PanelTimeSeriesSplit, matplotlib graphics change by @rushilg99 in PR #972
msm.utils, updating standardise_dataframe function by @Magnus167 in PR #973

Bugfixes#

Adding tests and warnings to docs by @Magnus167 in PR #960
PanelTimeSeriesSplit, fixed adjustment of n_splits and train, test indices by @rushilg99 in PR #963
CategoryRelations, missing XCAT error message by @Magnus167 in PR #964
CategoryRelations, fixed Pandas warnings by @Magnus167 in PR #965
panel_calculator(), error with CID-XCAT intersection by @Magnus167 in PR #968
msm.utils.standardise_dataframe, code indentation by @Magnus167 in PR #974

Full Changelog: v0.0.36←v0.0.37

View complete release notes on GitHub

Release v0.0.36#

Bugfixes#

Bug - source misconfigured in TOML by @Magnus167 in PR #950

Full Changelog: v0.0.35←v0.0.36

View complete release notes on GitHub

Release v0.0.35#

New Features#

Adding line styles to make_test_df() by @Magnus167 in PR #938

Bugfixes#

check_availability(), negative last updated date by @Magnus167 in PR #928
Naive PNL - weekly rebal freq, attribute error by @Magnus167 in PR #933
New depr. warnings from pandas==2.1.0 by @Magnus167 in PR #939

Full Changelog: v0.0.34←v0.0.35

View complete release notes on GitHub

Release v0.0.34#

New Features#

Add FAQs to README by @Magnus167 in PR #889

Bugfixes#

linear_composite(), added pass-through for normalize_weights arg by @Magnus167 in PR #890
‘check_availabilites()’ - “future” dates in plots by @Magnus167 in PR #894
Fixing test_relative_value by @Magnus167 in PR #899
CategoryRelations() aggregation error by @Magnus167 in PR #901
linear_composite() weights problem by @Magnus167 in PR #903
SignalReturnRelations.apply_slip() to raise warning instead of error for missing tickers by @Magnus167 in PR #904
Linear Composites, missing xcats when using xcat_agg by @Magnus167 in PR #906
check_availability() - negative missing days by @Magnus167 in PR #914

Full Changelog: v0.0.33←v0.0.34

View complete release notes on GitHub

Release v0.0.33#

New Features#

Changing Integration tests by @Magnus167 in PR #869

Bugfixes#

Warning added to _prepare_basket by @Magnus167 in PR #803
Reverting view_timelines() to last-stable-version by @Magnus167 in PR #874
Added passthrough for title_xadj by @Magnus167 in PR #879
Updating docstring for linear_composite() by @Magnus167 in PR #880
ISRELEASED=True for v0.0.33 by @Magnus167 in PR #884
ISRELEASED=True for v0.0.33 by @Magnus167 in PR #885
ISRELEASED=True for v0.0.33 by @Magnus167 in PR #886

Full Changelog: v0.0.32←v0.0.33

View complete release notes on GitHub

Release v0.0.32#

What’s Changed#

Update setup.py for v0.0.32 by @Magnus167 in PR #849
Bugfix : View Timelines, single CID charts legend by @Magnus167 in PR #844
Bugfix : Removing vweights_threshold param from linear_composites by @Magnus167 in PR #850
Feature : Hide legend in view_ranges() when a single xcat is being shown by @Magnus167 in PR #835
Feature : Changing Unit Testing strategy for CI/CD branches by @Magnus167 in PR #851
Updated setup.py for v0.0.32 by @Magnus167 in PR #852
Test←Develop for v0.0.32 by @Magnus167 in PR #853
Removed Windows & MacOS from release tests by @Magnus167 in PR #855
Test←Develop for v0.0.32 by @Magnus167 in PR #856
Feature : Update DQ Group ID by @Magnus167 in PR #858
Updating Test branch by @Magnus167 in PR #859
Main←Test for v0.0.32 by @Magnus167 in PR #860

Full Changelog: v0.0.31←v0.0.32

View complete release notes on GitHub

Release v0.0.31#

New Features#

Adding slippage functionality to SignalReturnRelations by @Magnus167 in PR #819

Full Changelog: v0.0.30←v0.0.31

View complete release notes on GitHub

Release v0.0.30#

New Features#

view_timelines - Title-fontsize and Title-X-Pos adjustment by @Magnus167 in PR #817
Add docstring to CategoryRelations.apply_slip by @Magnus167 in PR #818

Bugfixes#

Added warning behavior to CategoryRelations.intersection_cids by @Magnus167 in PR #804

Full Changelog: v0.0.29←v0.0.30

View complete release notes on GitHub

Release v0.0.29#

What’s Changed#

Main→Develop after release v0.0.28 by @Magnus167 in PR #799
Updating Version Number for v.0.0.29 by @Magnus167 in PR #800
Bugfix : Unittest/API by @Magnus167 in PR #805
Bugfix : Changed pandoc dependency in pyproject.toml by @Magnus167 in PR #808
Feature : Error info to include client_id/cert username as a generic user_id by @Magnus167 in PR #810
Updated setup.py for release by @Magnus167 in PR #811
Test←Develop by @Magnus167 in PR #812
Main←Test for release v0.0.29 by @Magnus167 in PR #813

Full Changelog: v0.0.28←v0.0.29

View complete release notes on GitHub

Release v0.0.28#

New Features#

Adding pyproject.toml by @Magnus167 in PR #788

Bugfixes#

test_package.py, Failing on Windows systems by @Magnus167 in PR #794

Full Changelog: v0.0.27←v0.0.28

View complete release notes on GitHub

Release v0.0.27#

What’s Changed#

NOTE: DataQuery requests now make a heartbeat check by default before requesting expressions/tickers

updated version number for v0.0.27 by @Magnus167 in PR #694
Feature/force_heartbeat by @Magnus167 in PR #695
Test ← Develop for v0.0.27 by @Magnus167 in PR #696
Main ← Test for v0.0.27 by @Magnus167 in PR #697

Full Changelog: v0.0.26←v0.0.27

View complete release notes on GitHub

Release v0.0.26#

What’s Changed#

Main → Develop for v0.0.25 by @Magnus167 in PR #681
updated version number for v0.0.26 by @Magnus167 in PR #682
Bugfix : Unbound variable error with retry logic in ms.download by @Magnus167 in PR #687
Bugfix : corrected exception handling in retry routine by @Magnus167 in PR #691
Bugfix : Changed internal date formatting by @Magnus167 in PR #689
Test ← Develop for v0.0.26 by @Magnus167 in PR #692
Main ← Test by @Magnus167 in PR #693

Full Changelog: v0.0.25←v0.0.26

View complete release notes on GitHub

Release v0.0.25#

What’s Changed#

code change for reshape of df_out and forward fill by @rsueppel in PR #596
Develop ← Main from v0.0.23 by @Magnus167 in PR #646
updated version number for v0.0.25 by @Magnus167 in PR #647
bugfix/naivepnl_facet_plots is still alive. by @Magnus167 in PR #649
Added xcat_grid to enable facetgraph for xcats by @Magnus167 in PR #651
updating branch with recent changes by @Magnus167 in PR #653
updated code_ql action by @Magnus167 in PR #658
small label changes by @rsueppel in PR #665
fixed legend for non-faceted graphs; added shared-axis-label feature by @Magnus167 in PR #650
view_timelines title_adj: float = 0.95 by @rsueppel in PR #666
Bugfix : Updated error message for …InvalidResponseError by @Magnus167 in PR #668
Bugfix : Fixed API retry behaviour by @Magnus167 in PR #669
Fixed typo in package README.md by @Magnus167 in PR #670
Bugfix : Category relations with “cids” as separator by @Magnus167 in PR #667
reestimation frequency historic vol by @Magnus167 in PR #595
Bugfix : view_timelines, size arg by @Magnus167 in PR #673
Feature : Single Chart Argument on View Timelines by @Magnus167 in PR #671
Feature : Change default plot size in visual paneldates by @Magnus167 in PR #672
Feature : Updated setup.py for [3.7, 3.11] by @Magnus167 in PR #675
Change license MIT → BSD 3-Clause “New”/”Revised” by @Magnus167 in PR #637
Feature : updated workflows to run on py[3.7, 3.11] by @Magnus167 in PR #676
Bugfix : NaivePNL, XCAT labels in legend by @Magnus167 in PR #677
Bugfix : Fixed issue #664 again by @Magnus167 in PR #678
Test ← Develop for v0.0.25 by @Magnus167 in PR #679
Main ← Test for v0.0.25 by @Magnus167 in PR #680

Full Changelog: v0.0.24←v0.0.25

View complete release notes on GitHub

Release v0.0.24#

What’s Changed#

Develop ← Main after release by @Magnus167 in PR #633
Feature/cat relations split by @rushilg99 in PR #628
updated version number for v0.0.24 by @Magnus167 in PR #634
added show_progress functionality for download by @Magnus167 in PR #635
Feature : Linear Composites by @Magnus167 in PR #639
Bugfix : naive_pnl.plot_pnls() - facet plots by @Magnus167 in PR #641
Test ← Develop for v0.0.24 by @Magnus167 in PR #643
Main ← Test for v0.0.24 by @Magnus167 in PR #644

New Contributors#

@rushilg99 made their first contribution in PR #628

Full Changelog: v0.0.23←v0.0.24

View complete release notes on GitHub

Release v0.0.23#

What’s Changed#

The macrosynergy.dataquery module has been deprecated, with functionality moved to macrosynergy.download. Please refer to documentation for further details.*in [PR #recated, with functionality moved to macrosynergy.download. Please refer to documentation for further details.](https://github.com/macrosynergy/macrosynergy/pull/recated, with functionality moved to macrosynergy.download. Please refer to documentation for further details.**)
updated version number for v0.0.22 by @Magnus167 in PR #602
debuged panel_calculator by @rsueppel in PR #603
Make DQ heartbeat (check connection) optional with default False by @Magnus167 in PR #605
Main - downstream for develop by @lsimonsen in PR #608
updated version number for v0.0.23 by @Magnus167 in PR #610
corrected job name on Publish to PyPI workflow by @Magnus167 in PR #611
added “proxies” keyword to api init kwargs by @Magnus167 in PR #613
Updated readme with api usage example for proxy server by @Magnus167 in PR #612
adding buisness days dif to be called from the package by @CyrusYavariMacro in PR #614
changes to setup.py for python version 3.10, 3.11 by @Magnus167 in PR #615
updated GH-actions versions by @Magnus167 in PR #616
Feature/api refactor by @Magnus167 in PR #604
API - logging related changes by @Magnus167 in PR #617
pinning sphinx (and sphinx themes’) version by @Magnus167 in PR #621
Bugfix in business_day_dif by @Magnus167 in PR #620
Bugfix (removing bugfix) in panel/panel_calculator.py by @Magnus167 in PR #618
Bugfixes in macrosynergy/download/dataquery.py by @Magnus167 in PR #622
Feature/docsbug by @CyrusYavariMacro in PR #624
API changes for ChunkedEncodingError and recording DQ Error messages by @Magnus167 in PR #626
Feature : Print Debug Logs by @Magnus167 in PR #629
changed readme by @Magnus167 in PR #631
Test ← Develop for v0.0.23 by @Magnus167 in PR #630
Main ← Test for v0.0.23 release by @Magnus167 in PR #632

Full Changelog: v0.0.22←v0.0.23

View complete release notes on GitHub

Release v0.0.22#

What’s Changed#

main ← hotfix/dq_heartbeat by @Magnus167 in PR #607

Full Changelog: v0.0.21←v0.0.22

View complete release notes on GitHub

Release v0.0.21#

What’s Changed#

updated version number to v0.0.21 by @Magnus167 in PR #591
Ralph adds just one letter by @rsueppel in PR #590
Corrected xcat label assignment in NaivePNL by @Magnus167 in PR #594
DQ API add optional proxy server function by @lsimonsen in PR #598
merging test←develop for v0.0.21 by @Magnus167 in PR #599
Merging main←test, for releasing v0.0.21 by @Magnus167 in PR #600

Full Changelog: v0.0.20←v0.0.21

View complete release notes on GitHub

Release v0.0.20#

What’s Changed#

pushing v.0.0.19 by @Magnus167 in PR #560
Updated setup.py for v0.0.20 by @Magnus167 in PR #572
Fixed twine upload destination for TestPyPI by @Magnus167 in PR #573
develop -> test by @Magnus167 in PR #574
Corrected GH secrets token name in TestPyPI workflow by @Magnus167 in PR #575
develop -> test by @Magnus167 in PR #576
Updating readme by @CyrusYavariMacro in PR #577
Changed DataQuery API batch size from 10 to 20 by @Magnus167 in PR #578
bugfix/pnl_refactor by @Ksteeds in PR #570
Make integration tests run on the test branch by @Magnus167 in PR #580
added integration test to Publish to TestPyPI worklflow by @Magnus167 in PR #581
Adding workflow to publish to PyPI on release by @Magnus167 in PR #579
changed comments & whitespace in docs/source/conf.py by @Magnus167 in PR #582
Updating the test branch by @Magnus167 in PR #583
Removing publish command; for testing purposes by @Magnus167 in PR #586
Merge to Test from Develop, with Publish to TestPyPI disabled by @Magnus167 in PR #587
Merging into main from test, pushing v0.0.20 to PyPI by @Magnus167 in PR #588

Full Changelog: v0.0.19←v0.0.20

View complete release notes on GitHub

Release v0.0.19#

What’s Changed#

Merging version 0.0.18@develop to 0.0.18@test by @Magnus167 in PR #541
Feature/publish test py pi workflow by @Magnus167 in PR #543
Feature/publish test py pi workflow by @Magnus167 in PR #544
Feature/fix by @Magnus167 in PR #550
Feature/fix by @Magnus167 in PR #551
Feature/fix (#550) by @lsimonsen in PR #554
Test fixes by @lsimonsen in PR #548
bugfix/n_pnl by @Ksteeds in PR #555
Updated plot_pnls to include facets argument by @Magnus167 in PR #557
bugfix/cr_summation by @Ksteeds in PR #558
Updated setup.py for v0.0.19 by @Magnus167 in PR #559
Feature/main by @lsimonsen in PR #562
No squeeze by @lsimonsen in PR #565
Feature/new main by @lsimonsen in PR #564
Feature/fix (#550) by @lsimonsen in PR #563
Feature/main by @lsimonsen in PR #568
Feature/test by @lsimonsen in PR #567
bugfix/dunda_init by @Ksteeds in PR #566
Suggestion for PyPI version checks by @lsimonsen in PR #556
Updated install instructions in README.md by @Magnus167 in PR #569

Full Changelog: v0.0.18←v0.0.19

View complete release notes on GitHub

Release v0.0.18#

What’s Changed#

Release of bugfix to version 0.0.13 by @lsimonsen in PR #373
Version 14. by @Ksteeds in PR #409
PyPi by @Ksteeds in PR #419
PyPi v.0.0.16 by @Ksteeds in PR #428
PyPi17 by @Ksteeds in PR #495
naive_pnl some changes for efficiency by @rsueppel in PR #514
MSY-500 Naive PnL mis-match of shapes by @lsimonsen in PR #517
bugfix/view_ranges by @Ksteeds in PR #500
Updating index by @CyrusYavariMacro in PR #516
Requirements by @CyrusYavariMacro in PR #520
feature/setup_18 by @Ksteeds in PR #502
#506 bugfix by @Magnus167 in PR #518
Updating test repo by @CyrusYavariMacro in PR #521
Updating main repo (#521) by @CyrusYavariMacro in PR #522
bugfix/category_relations_sum by @Ksteeds in PR #529
Changed L11 to avoid an extra ‘/’ in the API URLs by @Magnus167 in PR #531
Updating test repo (#521) by @lsimonsen in PR #532
Updated call to sns.lineplot to use “estimator” instead of “ci” by @Magnus167 in PR #525
changed “ci” keyword to “estimator” in sns.lineplot calls in view_timelines.py by @Magnus167 in PR #524
Main -> develop by @lsimonsen in PR #533
Fixed bug arising due to a type error by @Magnus167 in PR #523
Feature/codecov by @CyrusYavariMacro in PR #534
Updating integration test by @CyrusYavariMacro in PR #536
Adding feature to publish to TestPyPI by @Magnus167 in PR #527
Feature/check availability windows by @CyrusYavariMacro in PR #538
updating readme by @CyrusYavariMacro in PR #540
Feature/create panel for naive pnl 528 by @Magnus167 in PR #547
Feature/updatedreadme by @CyrusYavariMacro in PR #545
Feature/fix by @Magnus167 in PR #549

Full Changelog: v0.0.17←v0.0.18

View complete release notes on GitHub

Release v0.0.17#

What’s Changed#

feature/cr_simplification by @Ksteeds in PR #432
shortening categories_relations and Todos by @rsueppel in PR #422
feature/set_up by @Ksteeds in PR #429
small changes, small Todos, and one big Todo by @rsueppel in PR #431
signal_return: partial review and TODOs by @rsueppel in PR #437
small changes and Todos by @rsueppel in PR #440
feature/multiple_signals by @Ksteeds in PR #434
bugfix/view_ranges by @Ksteeds in PR #436
bugfix/update_df by @Ksteeds in PR #450
refactored hedge_ratio to returnbeta by @rsueppel in PR #448
bugfix/category_relations by @Ksteeds in PR #454
feature/communal_sample by @Ksteeds in PR #445
feature/naive_pnl_neg by @Ksteeds in PR #462
bugfix/category_relations_reg by @Ksteeds in PR #461
DQ HTTP response code non-ok by @lsimonsen in PR #463
bugfix/check_availability by @Ksteeds in PR #460
small changes to docstring and name by @rsueppel in PR #468
feature/naive_pnl_neg by @Ksteeds in PR #465
bugfix/view_ranges_cat by @Ksteeds in PR #466
Create dq_monitor by @GlennRe9 in PR #471
for naive_pnl moves sig_neg option to make_pnl method by @rsueppel in PR #473
mainly fixes sort_cids_by bug in view_ranges by @rsueppel in PR #474
reg_scatter bugfix line 475 dropna by @rsueppel in PR #476
naive_pnl debug line 100 was missing maxplit by @rsueppel in PR #480
feature/dq_delay by @Ksteeds in PR #483
feature/dq_delay by @Ksteeds in PR #486
bugfix/category_relations by @Ksteeds in PR #488
feature/NaivePnL_negative by @Ksteeds in PR #484
bugfix/check_enddates by @Ksteeds in PR #489
feature/dq_delay by @Ksteeds in PR #491
bugfix/make_relative_value by @Ksteeds in PR #487
feature/dq_delay by @Ksteeds in PR #493
feature/dataframe_format by @Ksteeds in PR #439
bugfix/view_ranges by @Ksteeds in PR #453
feature/setup_17 by @Ksteeds in PR #494

New Contributors#

@GlennRe9 made their first contribution in PR #471

Full Changelog: v0.0.16←v0.0.17

View complete release notes on GitHub

Release v0.0.16#

What’s Changed#

bugfix/shape_dfs by @Ksteeds in PR #421
bugfix/signal_category by @Ksteeds in PR #424
bugfix/signal_category by @Ksteeds in PR #425
Remove REFENCE_DATA from DQ API call by @lsimonsen in PR #426
feature/set_up_16 by @Ksteeds in PR #427

Full Changelog: v0.0.15←v0.0.16

View complete release notes on GitHub

Release v0.0.15#

What’s Changed#

feature/v_correlations by @Ksteeds in PR #412
bugfix/panel_calculator by @Ksteeds in PR #410
bugfix/signal_category by @Ksteeds in PR #413
feature/dq_unit by @Ksteeds in PR #379
Update read-me for clarity by @rsueppel in PR #416
feature/set_up_15 by @Ksteeds in PR #418
feature/integration by @Ksteeds in PR #420
Adding error message for DQ ask by @lsimonsen in PR #423

Full Changelog: v0.0.14←v0.0.15

View complete release notes on GitHub

Release v0.0.14#

What’s Changed#

make_zn_score: Docs changes and Todos by @rsueppel in PR #358
make_zn_score TODOs by @rsueppel in PR #359
Main - update with commits to develop by @lsimonsen in PR #370
Fix package structure and set to version 0.0.13 by @lsimonsen in PR #372
Ralph simplifies make_zn_scores by @rsueppel in PR #362
Example of usage case added to README by @lsimonsen in PR #375
Tests: Python 3.9 and 3.10 by @lsimonsen in PR #378
DataQuery Unittest and Integration test examples by @lsimonsen in PR #374
feature/make_zn_scores_efficient by @Ksteeds in PR #352
Todo on lag name numbers by @rsueppel in PR #385
view_timelines changes and todos by @rsueppel in PR #383
xcat_labels added. by @Ksteeds in PR #387
feature/view_timelines_average by @Ksteeds in PR #380
NaivePnL bm correlation simplified by @rsueppel in PR #388
feature/correl_matrix_lag by @Ksteeds in PR #382
feature/NaivePnL by @Ksteeds in PR #360
Feature/NaivePnL_Unit by @Ksteeds in PR #389
bugfix/signal_return by @Ksteeds in PR #394
signal_return aggregation order also flipped by @rsueppel in PR #395
bugfix/signal_return_axis by @Ksteeds in PR #397
feature/management_efficiency by @Ksteeds in PR #386
feature/NaivePnL_Unit by @Ksteeds in PR #392
bugfix/make_zn_scores by @Ksteeds in PR #401
bugfix/basket_weight by @Ksteeds in PR #402
Todo and string changes by @rsueppel in PR #405
feature/signal_returns_unit by @Ksteeds in PR #396
feature/update_reduce by @Ksteeds in PR #407
Version update. by @Ksteeds in PR #408

Full Changelog: v0.0.12←v0.0.14

View complete release notes on GitHub

Release Release of version 0.0.13#

What’s Changed#

Main - update with commits to develop by @lsimonsen in PR #370
Fix package structure and set to version 0.0.13 by @lsimonsen in PR #372
Release of bugfix to version 0.0.13 by @lsimonsen in PR #373

Full Changelog: v0.0.12←v0.0.13

View complete release notes on GitHub

Release Release version 0.0.12#

#Release notes:

Improved functionality for valuating strategy factors both statistically and on the pnl sidin [PR #ors both statistically and on the pnl side](https://github.com/macrosynergy/macrosynergy/pull/ors both statistically and on the pnl side)
Added DataQuery OAuth as an authentication option the DataQuery interface, and created a separate DataQuery subpackagein [PR #the DataQuery interface, and created a separate DataQuery subpackage.](https://github.com/macrosynergy/macrosynergy/pull/the DataQuery interface, and created a separate DataQuery subpackage.)
Simplified the README.md file for easier installation instructionsin [PR #ion instructions.](https://github.com/macrosynergy/macrosynergy/pull/ion instructions.)

What’s Changed#

changes basket instantiation and first shot at restructure by @rsueppel in PR #261
Basket class update in new structure by Curran by @rsueppel in PR #263
basket: changes to constructor and return functions by @rsueppel in PR #265
various jobs by @rsueppel in PR #269
Multiple baskets integrated. by @rsueppel in PR #271
mainly changes to Basket test by @rsueppel in PR #270
Merge pull request #270 from macrosynergy/basket_rs by @rsueppel in PR #272
Latest versions. by @Ksteeds in PR #273
mainly updates target_positions by @rsueppel in PR #274
fix round bug in view_grades by @rsueppel in PR #275
target_positions review by @rsueppel in PR #278
Correlation Matrix. by @Ksteeds in PR #279
Feature/basket single by @Ksteeds in PR #280
changes facet grid by @rsueppel in PR #281
mainly edit of target_positions docstring by @rsueppel in PR #283
Feature/basket_single by @Ksteeds in PR #276
Connection test added. by @Ksteeds in PR #282
small changes and todos to target positions by @rsueppel in PR #285
basket.py by @Ksteeds in PR #262
target_postion docstring update by @rsueppel in PR #286
Feature/management optimisation by @Ksteeds in PR #287
Feature/df_updates by @Ksteeds in PR #288
adds update_df to init and sets consistent function and argument names by @rsueppel in PR #289
hedge ratio template by @rsueppel in PR #291
Update README.md by @Ksteeds in PR #295
Update README.md by @Ksteeds in PR #294
Hedging rs by @rsueppel in PR #296
adding positive/negative recall by @rsueppel in PR #298
Feature/naive_pnl by @Ksteeds in PR #300
correct positive ratios in signal_return by @rsueppel in PR #301
modifies make_zn_score use in naive_pnls by @rsueppel in PR #303
discrimination issue rough fix by @rsueppel in PR #297
todos for daily hedge ratios and hedged returns by @rsueppel in PR #304
Feature/naive_pnl by @Ksteeds in PR #308
Category relations rs by @rsueppel in PR #310
bugfix for incorrect PnL labeling in plot_pnls by @rsueppel in PR #314
Feature/category relations graph by @rsueppel in PR #316
small changes and todos for hedge ratio by @rsueppel in PR #315
reg_scatter issues by @rsueppel in PR #317
Category_Relations by @Ksteeds in PR #312
Feature/category_relations by @Ksteeds in PR #318
Signal return rs: new table and metrics by @rsueppel in PR #320
ToDos for make_long_pnl by @Ksteeds in PR #324
added formalities and three todos by @rsueppel in PR #323
Feature/naive_pnl by @Ksteeds in PR #322
update_df.py by @Ksteeds in PR #292
hedge_ratio.py by @Ksteeds in PR #293
integrate clustering and frequencty conversion in original correl_mat… by @rsueppel in PR #326
Feature/correl_matrix by @Ksteeds in PR #325
Feature/dq_break by @Ksteeds in PR #331
feature/dq_break by @Ksteeds in PR #332
Feature/dq_break by @Ksteeds in PR #333
fixes coef_box None assert failure by @rsueppel in PR #334
Feature/dq_break by @Ksteeds in PR #335
Feature/dq_break by @Ksteeds in PR #337
Feature/portfolio_hedging_unit by @Ksteeds in PR #329
add sig_neg option to SignalReturnRelations by @rsueppel in PR #339
Feature/signal_return by @Ksteeds in PR #328
Feature/signal_return by @Ksteeds in PR #341
todos for sstrength_plot and signal_display in naive_pnl by @rsueppel in PR #346
Bugfix/update_df by @Ksteeds in PR #347
renames naive_pnl signal functions, edits documentation and makes min… by @rsueppel in PR #348
naive_pnl cleanups and one more Todo by @rsueppel in PR #351
make_relative_value cleanups and Todos by @rsueppel in PR #350
bugfix/make_rv by @Ksteeds in PR #349
feature/NaivePnL by @Ksteeds in PR #344
signal_return: secure correct order of years in table by @rsueppel in PR #355
adds important documentation to summary_table by @rsueppel in PR #354
Modify README and docs by @lsimonsen in PR #366
Implement corrections for simplifications by @lsimonsen in PR #367
feature/dq_oauth by @Ksteeds in PR #361
v0.0.12 by @lsimonsen in PR #368
Release of version 0.0.12 by @lsimonsen in PR #369

Full Changelog: v0.0.11←v0.0.12

View complete release notes on GitHub

Release Release version 0.0.11#

#Latest Macrosynergy release.

View complete release notes on GitHub

Release Release 0.0.3#

Main changes:#

Panel, category relations functionalitin PR #
Rolling historical volatility estimatein PR #
Continuous deployment pipelinin PR #
PyPI README notein PR #

View complete release notes on GitHub