|
|
7e524ccf7a
|
incorporated eomonth in ffill and bfill
More Sharpe tests and ffill/bfill tests
|
2022-05-10 09:51:12 +05:30 |
|
|
|
aea6bf9b57
|
Some tests for Sharpe ratio
Also some corrections based identified during testing
|
2022-05-08 21:04:48 +05:30 |
|
|
|
0d0b2121a3
|
Sharpe ratio is working
|
2022-05-07 14:09:21 +05:30 |
|
|
|
2a8f5b4041
|
limit = None in ffill was causing failure
|
2022-05-01 13:07:19 +05:30 |
|
|
|
41562f7e70
|
returns are not compounded during voloatility calculations
|
2022-05-01 13:03:00 +05:30 |
|
|
|
0f002f3478
|
added mean() method
|
2022-04-29 07:42:39 +05:30 |
|
|
|
79cd44d41f
|
Implemented limit parameter in ffill and bfill
|
2022-04-26 10:32:42 +05:30 |
|
|
|
49604a5ae9
|
Series parameter name change
|
2022-04-12 11:43:11 +05:30 |
|
|
|
123cc0b204
|
Added shrink method, documented expand
|
2022-04-09 22:56:53 +05:30 |
|
|
|
30749382cf
|
Improved documentation
|
2022-04-08 10:49:59 +05:30 |
|
|
|
88e7b3994b
|
implemented sync method
|
2022-04-07 23:44:18 +05:30 |
|
|
|
8e8146a07d
|
changed init to super().__init__
getting started with setitem and sync
|
2022-04-05 23:43:03 +05:30 |
|
|
|
ce6326f4b5
|
Refactored with improved type hints
|
2022-04-05 10:43:53 +05:30 |
|
|
|
ed973cc259
|
improved expand function, handled issue with ffill
getitem with ffill was causing date-value pair to be treated as value in ffill
|
2022-04-04 23:47:34 +05:30 |
|
|
|
03ccbe0cb1
|
Added skip weekend parameters to expand and bfill/ffill
|
2022-04-04 00:48:48 +05:30 |
|
|
|
d88acc5888
|
added read csv function
|
2022-04-02 07:45:59 +05:30 |
|
|
|
3b96d231f4
|
fincal.expand now works by using .get and closest=previous
|
2022-03-25 08:43:28 +05:30 |
|
|
|
b34c14d778
|
Merge branch 'master' of http://192.168.0.114:3000/buddy/fincal
|
2022-03-21 20:48:06 +05:30 |
|
|
|
ff865cb2b9
|
Added expand function, not fully working yet
|
2022-03-21 20:47:55 +05:30 |
|
|
|
1a5518e62a
|
Documentation for max_drawdown
Added other type hints for variables
|
2022-03-16 00:36:10 +05:30 |
|
|
|
a19f7e7b21
|
added max_drawdown function
|
2022-03-14 23:54:54 +05:30 |
|
|
|
1758df0124
|
Added average rolling return function
|
2022-03-13 22:52:23 +05:30 |
|
|
|
810e0bfb65
|
changed interval_type to return_period_unit
Added documentation to volatility function
|
2022-03-13 14:28:08 +05:30 |
|
|
|
f00305771b
|
Changes for number of days and skip weekends
|
2022-03-11 09:41:35 +05:30 |
|
|
|
793d5b1ad7
|
Expanded the volatility function, added annualisation
|
2022-03-07 09:57:14 +05:30 |
|
|
|
24d5d253b5
|
Added volatility function
|
2022-03-06 15:36:23 +05:30 |
|
|
|
17b3e348a2
|
improved documentation and usage of date_parser decorator
|
2022-03-05 23:23:31 +05:30 |
|
|
|
32e4f25f59
|
improved limit calculation
Added basic test for limit
|
2022-03-02 23:35:57 +05:30 |
|
|
|
60f25de710
|
changed pos = [] to *pos in date_parser decorator
|
2022-03-01 15:34:16 +05:30 |
|
|
|
347634f536
|
date_parser decorator now only needs positions
Implemented using inspector.signature
|
2022-02-27 19:26:03 +05:30 |
|
|
|
eeda4064b2
|
implemented decorator
|
2022-02-27 16:29:18 +05:30 |
|
|
|
00ac66219b
|
created decorator function, yet to be implemented
|
2022-02-27 14:49:50 +05:30 |
|
|
|
ad68dcd930
|
improved documentation
|
2022-02-27 00:22:08 +05:30 |
|
|
|
cad4e1f45c
|
general code improvements
|
2022-02-26 22:45:39 +05:30 |
|
|
|
0cbfede7b6
|
added limit parameter to closest lookups
|
2022-02-26 22:18:10 +05:30 |
|
|
|
336276cf4b
|
Implemented DateOutOfRange error in find closes date
|
2022-02-26 20:42:27 +05:30 |
|
|
|
7cac5cc307
|
separated utility functions and exceptions in standalone files
|
2022-02-26 12:46:42 +05:30 |
|
|
|
d1f9e3924f
|
improved calculate_returns function
Using find_closest_date function
|
2022-02-26 00:44:45 +05:30 |
|
|
|
870d0bd96b
|
option to return nan in case of failure in return_calc
return calc returns tuple
|
2022-02-25 10:38:20 +05:30 |
|
=
|
308a4f1abb
|
changed years to any period in return calc
|
2022-02-24 22:38:53 +05:30 |
|
=
|
0fbca4ae4c
|
modified return calculation to include motnhs and days
|
2022-02-24 11:28:37 +05:30 |
|
|
|
371f7e2279
|
Added support for string dates in create_date_series
|
2022-02-22 13:04:44 +05:30 |
|
|
|
9ddf70fc61
|
rolling return now returned as TimeSeries object
|
2022-02-21 23:08:13 +05:30 |
|
|
|
03283f7ed4
|
changed return TimeSeries to return self.__class__
|
2022-02-21 22:48:24 +05:30 |
|
|
|
3391f04e19
|
replaced self.time_series with self.data
|
2022-02-21 22:27:48 +05:30 |
|
|
|
44d5ea7b29
|
date parsing replaced with _parse_date function
This is to avoid ambiguity and keep date parsing uniform
|
2022-02-21 13:11:19 +05:30 |
|
|
|
053a93900a
|
Rolling return was passing frequency object
instea of frequency.symbol
|
2022-02-21 08:27:01 +05:30 |
|
|
|
439fa86b5c
|
ffill and bfill now return TimeSeries objects instead of lists
|
2022-02-20 21:51:54 +05:30 |
|
|
|
e8b4607c29
|
backfill now works with frequency
|
2022-02-20 18:19:34 +05:30 |
|
|
|
23bc0b71a6
|
create_date_series no longer returns dates > end_date
|
2022-02-20 16:07:50 +05:30 |
|
