From 4393fbf5894976119571c37fb5ee2374fe5eeadb Mon Sep 17 00:00:00 2001 From: Nick Latinovic Date: Sun, 1 Dec 2024 02:46:34 +0400 Subject: [PATCH] updated to v.0.1.15; added signal_weight portfolio optimization, refactored PortfolioOptimization to include signals, and other attributes, added alpha_ewma trend factor, alpha and beta returns metrics --- pyproject.toml | 10 +--------- 1 file changed, 1 insertion(+), 9 deletions(-) diff --git a/pyproject.toml b/pyproject.toml index 5d2e950..d1216e8 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -1,19 +1,11 @@ [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"