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numeraire 0.2.1

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@BrightBlu BrightBlu released this 06 Jul 05:15
v0.2.1
fe3687d
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Learn about vigilant mode.

Ecosystem release. The plotting and data companion packages are now on PyPI, and this release adds convenience extras to pull them in — plus the post-0.2.0 API work (all backward-compatible; old names remain as deprecated aliases for one release).

Added

  • Ecosystem extras — pip install "numeraire[graphics]" (pulls numeraire-graphics), "numeraire[data]" (pulls numeraire-dataset), and "numeraire[all]". Plain pip install numeraire stays the minimal spine.
  • backtest(...) — a discoverable dispatching entry point over the typed drivers backtest_weights/_forecast/_panel/_pricing/_pricing_in_sample.
  • Risk-adjusted evaluators (Treynor, Information Ratio, M², Sortino), ICEvaluator, ExposureEvaluator, and fama_macbeth (two-pass, Shanken + Newey-West).

Changed

  • Renamed for a clearer register (old names remain as deprecated aliases emitting DeprecationWarning): walk_forward*→backtest_*, adjust_tests→adjust_pvalues, clark_west→clark_west_test, make_sorts→sort_portfolios, OOSR2Evaluator→OutOfSampleR2Evaluator.

Fixed

  • Weights/forecast backtests align model output to the view's asset order by label before scoring (was positional), preventing silent mis-scoring; clear errors on a missing/misused splitter.
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