Merge 6c199e3 into a1b48c4

quantopian · Aug 18, 2016 · eb2a41a · eb2a41a
2 parents a1b48c4 + 6c199e3
commit eb2a41a
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diff --git a/conda/empyrical/bld.bat b/conda/empyrical/bld.bat
@@ -0,0 +1,8 @@
+"%PYTHON%" setup.py install 
+if errorlevel 1 exit 1
+
+:: Add more build steps here, if they are necessary.
+
+:: See
+:: http://docs.continuum.io/conda/build.html
+:: for a list of environment variables that are set during the build process.
diff --git a/conda/empyrical/build.sh b/conda/empyrical/build.sh
@@ -0,0 +1,9 @@
+#!/bin/bash
+
+$PYTHON setup.py install 
+
+# Add more build steps here, if they are necessary.
+
+# See
+# http://docs.continuum.io/conda/build.html
+# for a list of environment variables that are set during the build process.
diff --git a/conda/empyrical/meta.yaml b/conda/empyrical/meta.yaml
@@ -0,0 +1,33 @@
+package:
+  name: empyrical
+  version: "0.1.9"
+
+source:
+  fn: empyrical-0.1.9.tar.gz
+  url: https://pypi.python.org/packages/15/6b/de1d277d4342d2cecc8134f4935248853f32299cdd9b01728b0ec420c350/empyrical-0.1.9.tar.gz
+  md5: 2c8b928cae192fc9cb8b7104608eec56
+
+requirements:
+  build:
+    - python
+    - setuptools
+    - numpy x.x
+    - pandas >=0.16.1
+    - scipy >=0.15.1
+    - bottleneck >=1.0.0
+
+  run:
+    - python
+    - numpy x.x
+    - pandas >=0.16.1
+    - scipy >=0.15.1
+    - bottleneck >=1.0.0
+
+about:
+  home: https://github.com/quantopian/empyrical
+  license: Apache Software License
+  summary: 'empyrical is a Python library with performance and risk statistics\ncommonly used in quantitative finance'
+
+# See
+# http://docs.continuum.io/conda/build.html for
+# more information about meta.yaml
diff --git a/etc/requirements.txt b/etc/requirements.txt
@@ -62,3 +62,6 @@ sortedcontainers==1.4.4
 intervaltree==2.1.0
 
 cachetools==1.1.5
+
+# For financial risk calculations
+empyrical>=0.1.9
diff --git a/tests/resources/example_data.tar.gz b/tests/resources/example_data.tar.gz
diff --git a/tests/resources/example_data/expected_perf/0-16-1/buy_and_hold b/tests/resources/example_data/expected_perf/0-16-1/buy_and_hold
diff --git a/tests/resources/example_data/expected_perf/0-16-1/buyapple b/tests/resources/example_data/expected_perf/0-16-1/buyapple
diff --git a/tests/resources/example_data/expected_perf/0-16-1/dual_ema_talib b/tests/resources/example_data/expected_perf/0-16-1/dual_ema_talib
diff --git a/tests/resources/example_data/expected_perf/0-16-1/dual_moving_average b/tests/resources/example_data/expected_perf/0-16-1/dual_moving_average
diff --git a/tests/resources/example_data/expected_perf/0-16-1/momentum_pipeline b/tests/resources/example_data/expected_perf/0-16-1/momentum_pipeline
diff --git a/tests/resources/example_data/expected_perf/0-16-1/olmar b/tests/resources/example_data/expected_perf/0-16-1/olmar
diff --git a/tests/resources/example_data/expected_perf/0-17-1/buy_and_hold b/tests/resources/example_data/expected_perf/0-17-1/buy_and_hold
diff --git a/tests/resources/example_data/expected_perf/0-17-1/buyapple b/tests/resources/example_data/expected_perf/0-17-1/buyapple
diff --git a/tests/resources/example_data/expected_perf/0-17-1/dual_ema_talib b/tests/resources/example_data/expected_perf/0-17-1/dual_ema_talib
diff --git a/tests/resources/example_data/expected_perf/0-17-1/dual_moving_average b/tests/resources/example_data/expected_perf/0-17-1/dual_moving_average
diff --git a/tests/resources/example_data/expected_perf/0-17-1/momentum_pipeline b/tests/resources/example_data/expected_perf/0-17-1/momentum_pipeline
diff --git a/tests/resources/example_data/expected_perf/0-17-1/olmar b/tests/resources/example_data/expected_perf/0-17-1/olmar
diff --git a/tests/resources/example_data/new_perf/0-16-1/buy_and_hold b/tests/resources/example_data/new_perf/0-16-1/buy_and_hold
diff --git a/tests/resources/example_data/new_perf/0-16-1/buyapple b/tests/resources/example_data/new_perf/0-16-1/buyapple
diff --git a/tests/resources/example_data/new_perf/0-16-1/dual_ema_talib b/tests/resources/example_data/new_perf/0-16-1/dual_ema_talib
diff --git a/tests/resources/example_data/new_perf/0-16-1/dual_moving_average b/tests/resources/example_data/new_perf/0-16-1/dual_moving_average
diff --git a/tests/resources/example_data/new_perf/0-16-1/momentum_pipeline b/tests/resources/example_data/new_perf/0-16-1/momentum_pipeline
diff --git a/tests/resources/example_data/new_perf/0-16-1/olmar b/tests/resources/example_data/new_perf/0-16-1/olmar
diff --git a/tests/resources/example_data/new_perf/0-17-1/buy_and_hold b/tests/resources/example_data/new_perf/0-17-1/buy_and_hold
diff --git a/tests/resources/example_data/new_perf/0-17-1/buyapple b/tests/resources/example_data/new_perf/0-17-1/buyapple
diff --git a/tests/resources/example_data/new_perf/0-17-1/dual_ema_talib b/tests/resources/example_data/new_perf/0-17-1/dual_ema_talib
diff --git a/tests/resources/example_data/new_perf/0-17-1/dual_moving_average b/tests/resources/example_data/new_perf/0-17-1/dual_moving_average
diff --git a/tests/resources/example_data/new_perf/0-17-1/momentum_pipeline b/tests/resources/example_data/new_perf/0-17-1/momentum_pipeline
diff --git a/tests/resources/example_data/new_perf/0-17-1/olmar b/tests/resources/example_data/new_perf/0-17-1/olmar
diff --git a/tests/resources/example_data/root/data/test/2016-05-25T02;31;01.173926/adjustments.sqlite b/tests/resources/example_data/root/data/test/2016-05-25T02;31;01.173926/adjustments.sqlite
diff --git a/tests/resources/example_data/root/data/test/2016-05-25T02;31;01.173926/assets-3.sqlite b/tests/resources/example_data/root/data/test/2016-05-25T02;31;01.173926/assets-3.sqlite
diff --git a/...ces/example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/__attrs__ b/...ces/example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/__attrs__
diff --git a/.../example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/__rootdirs__ b/.../example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/__rootdirs__
@@ -0,0 +1 @@
+{"names": ["open", "high", "low", "close", "volume", "day", "id"]}
diff --git a/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/close/__attrs__ b/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/close/__attrs__
@@ -0,0 +1 @@
+{}
diff --git a/...le_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/close/data/__0.blp b/...le_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/close/data/__0.blp
diff --git a/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/close/meta/sizes b/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/close/meta/sizes
@@ -0,0 +1 @@
+{"nbytes": 98584, "shape": [24646], "cbytes": 131072}
diff --git a/...le_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/close/meta/storage b/...le_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/close/meta/storage
@@ -0,0 +1 @@
+{"chunklen": 32768, "dtype": "uint32", "expectedlen": 24646, "dflt": 0, "cparams": {"shuffle": true, "clevel": 5}}
diff --git a/...example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/day/__attrs__ b/...example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/day/__attrs__
@@ -0,0 +1 @@
+{}
diff --git a/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/day/data/__0.blp b/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/day/data/__0.blp
diff --git a/...xample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/day/meta/sizes b/...xample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/day/meta/sizes
@@ -0,0 +1 @@
+{"nbytes": 98584, "shape": [24646], "cbytes": 131072}
diff --git a/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/day/meta/storage b/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/day/meta/storage
@@ -0,0 +1 @@
+{"chunklen": 32768, "dtype": "uint32", "expectedlen": 24646, "dflt": 0, "cparams": {"shuffle": true, "clevel": 5}}
diff --git a/...xample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/high/__attrs__ b/...xample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/high/__attrs__
@@ -0,0 +1 @@
+{}
diff --git a/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/high/data/__0.blp b/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/high/data/__0.blp
diff --git a/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/high/meta/sizes b/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/high/meta/sizes
@@ -0,0 +1 @@
+{"nbytes": 98584, "shape": [24646], "cbytes": 131072}
diff --git a/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/high/meta/storage b/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/high/meta/storage
@@ -0,0 +1 @@
+{"chunklen": 32768, "dtype": "uint32", "expectedlen": 24646, "dflt": 0, "cparams": {"shuffle": true, "clevel": 5}}
diff --git a/.../example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/id/__attrs__ b/.../example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/id/__attrs__
@@ -0,0 +1 @@
+{}
diff --git a/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/id/data/__0.blp b/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/id/data/__0.blp
diff --git a/...example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/id/meta/sizes b/...example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/id/meta/sizes
@@ -0,0 +1 @@
+{"nbytes": 98584, "shape": [24646], "cbytes": 131072}
diff --git a/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/id/meta/storage b/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/id/meta/storage
@@ -0,0 +1 @@
+{"chunklen": 32768, "dtype": "uint32", "expectedlen": 24646, "dflt": 0, "cparams": {"shuffle": true, "clevel": 5}}
diff --git a/...example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/low/__attrs__ b/...example_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/low/__attrs__
@@ -0,0 +1 @@
+{}
diff --git a/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/low/data/__0.blp b/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/low/data/__0.blp
diff --git a/...xample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/low/meta/sizes b/...xample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/low/meta/sizes
@@ -0,0 +1 @@
+{"nbytes": 98584, "shape": [24646], "cbytes": 131072}
diff --git a/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/low/meta/storage b/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/low/meta/storage
@@ -0,0 +1 @@
+{"chunklen": 32768, "dtype": "uint32", "expectedlen": 24646, "dflt": 0, "cparams": {"shuffle": true, "clevel": 5}}
diff --git a/...xample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/open/__attrs__ b/...xample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/open/__attrs__
@@ -0,0 +1 @@
+{}
diff --git a/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/open/data/__0.blp b/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/open/data/__0.blp
diff --git a/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/open/meta/sizes b/...ample_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/open/meta/sizes
@@ -0,0 +1 @@
+{"nbytes": 98584, "shape": [24646], "cbytes": 131072}
diff --git a/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/open/meta/storage b/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/open/meta/storage
@@ -0,0 +1 @@
+{"chunklen": 32768, "dtype": "uint32", "expectedlen": 24646, "dflt": 0, "cparams": {"shuffle": true, "clevel": 5}}
diff --git a/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/volume/__attrs__ b/...mple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/volume/__attrs__
@@ -0,0 +1 @@
+{}
diff --git a/...e_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/volume/data/__0.blp b/...e_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/volume/data/__0.blp
diff --git a/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/volume/meta/sizes b/...ple_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/volume/meta/sizes
@@ -0,0 +1 @@
+{"nbytes": 98584, "shape": [24646], "cbytes": 131072}
diff --git a/...e_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/volume/meta/storage b/...e_data/root/data/test/2016-05-25T02;31;01.173926/daily_equities.bcolz/volume/meta/storage
@@ -0,0 +1 @@
+{"chunklen": 32768, "dtype": "uint32", "expectedlen": 24646, "dflt": 0, "cparams": {"shuffle": true, "clevel": 5}}
diff --git a/...xample_data/root/data/test/2016-05-25T02;31;01.173926/minute_equities.bcolz/metadata.json b/...xample_data/root/data/test/2016-05-25T02;31;01.173926/minute_equities.bcolz/metadata.json
diff --git a/tests/resources/example_data/root/extension.py b/tests/resources/example_data/root/extension.py
diff --git a/tests/risk/AnswerKeyAnnotations.ipynb b/tests/risk/AnswerKeyAnnotations.ipynb
diff --git a/tests/risk/AnswerKeyLink.ipynb b/tests/risk/AnswerKeyLink.ipynb