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updated to v.0.1.15; added signal_weight portfolio optimization, refa…
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…ctored PortfolioOptimization to include signals, and other attributes, added alpha_ewma trend factor, alpha and beta returns metrics
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nicklatin committed Nov 30, 2024
1 parent e68f10e commit 4393fbf
Showing 1 changed file with 1 addition and 9 deletions.
10 changes: 1 addition & 9 deletions pyproject.toml
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[tool.poetry]
name = "factorlab"
version = "0.1.13"
version = "0.1.15"
description = "Python library which enables the discovery and analysis of alpha and risk factors used in the investment algorithm development process"
authors = ["Systamental"]
license = "Apache License 2.0"
readme = "README.md"

# Trend class, added signal bool param to breakout method
# added available methods
# added gen_factor_name method
# refactored tripple_ewma_diff to convert window_size (span) param to half-life

# PortfolioOptimization, added signals argument and weights attribute


[tool.poetry.dependencies]
python = ">=3.9"
numpy = ">=1.23.3"
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