v0.3.0

luca-s released this 14 Mar 16:05

· 69 commits to master since this release

This is a major release from 0.2.1, we recommend that all users upgrade to this version.

New features

Integration with Pyfolio. It is now possible to simulate a portfolio using the input alpha factor and analyze the performance with Pyfolio. Please see the relevant example notebook. [PR 227] and [PR 250]
Added new API utils.get_clean_factor to run Alphalens with returns instead of prices [PR 270]
Changed color palette to improve the visual experience for colorblind users [PR 248]
Standard deviation bars optional in tears.create_event_returns_tear_sheet
Alphalens now properly handles intraday factors

Bugfixes

Alphalens now works with both tz-aware and tz-naive data (but not mixed)
"Cumulative Returns by Quantile" plot used a different color scheme for quantiles than "Average Cumulative Returns by Quantile" plot
Many small but useful bug fixes that avoid sporadic crashes and memory leaks. Please see the git history for more details

Documentation

Added several new example Notebooks

Maintenance

Removed deprecated pandas.TimeGrouper
Migrated tests from deprecated nose-parameterized (#251)
Fixed compatibility with matplotlib 2.2.0
Alphalens is now available via conda-forge. Install via conda install -c conda-forge alphalens

Credits

The following people contributed to this release:

@luca-s - Luca Scarabello
@twiecki - Thomas Wiecki
@mmargenot - Max Margenot
@MichaelJMath
@HereticSK
@TimShawver - Tim Shawver
@alen12345 - Alessio Nava

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