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New version: v.1.2.0#6

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0xfdf wants to merge 28 commits intomain0xfdf/toraniko:mainfrom v1.1.20xfdf/toraniko:v1.1.2Copy head branch name to clipboard

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Commits on Aug 10, 2024

• inc version to 1.1.2

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• better example of show_versions

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Commits on Aug 11, 2024

• implement basic issue templates for github organization

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• more documentation of the momentum factor, and add more optionality

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• add flexibility to pass custom column names as arguments

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• add new columns to docs while I wait for a run

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• looks like this will become a 1.2 release; more flexibility; rounded out documentation on the methodology in the value factor

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• allow users to pass their own column names for the estimate_factor_returns function as well

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• significantly better documentation on the core model functions

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• map_groups is significantly faster (on 2000 assets over 10 years, it comes down from 68 seconds to 52 seconds on an M1 mac

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• to ensure backwards compat, put back lower and upper deciles

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• inc version to 1.2.0 to reflect significant feature enhancements under semver, but no backwards compat violations

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• add logging on center vs standardize nuance in style factors

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• create a config file

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• initial implementations of ledoit-wolf and sftu shrinkage

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• create dummies is implemented and fully tested

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• full documentation of config options

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• fully document types in the config.ini

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Commits on Aug 12, 2024

• implement config system

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• test turning on more of the style factors

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• Update math.py

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Commits on Aug 13, 2024

• rounded out an mvp of the FactorModel class

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• fix merge

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• Merge branch 'v1.1.2' of ssh://github.com/0xfdf/toraniko into v1.1.2

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• make the inputs lazy proactively

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Commits on Aug 14, 2024

• use collect_schema().names() instead of .columns for perf enhancement

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Commits on Aug 15, 2024

• add logic to drop_nans_and_nulls; also part out the nan_to_null lgoic as its own function

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Commits on Aug 16, 2024

• implement rolling covariance so we can use ledoit_wolf for idio cov proxy

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