This is a major new release since v0.1.0. It contains small API breakage, several new features and many bug fixes. All users are recommended to upgrade.
# New since v0.1.0
## New features
- Added support for group neutral factor analysis (`group_neutral` argument): this affects the return analysis that is now able to compute returns statistics for each group independently and aggregate them together assuming a portfolio where each group has equal weight.
- `utils.get_clean_factor_and_forward_returns` has a new parameter `max_loss` that controls how much data the function is allowed to drop due to not having enough price data or due to binning errors (`pandas.qcut`). This gives the users more control on what is happening and also avoid the function to raise an exception if the binning doesn't go well on some values.
- Greatly improved API documentation
## Bugfixes
## API change
- Removed deprecated `alphalens.tears.create_factor_tear_sheet`
- `tears.create_summary_tear_sheet`: added argument `group_neutral`.
- `tears.create_returns_tear_sheet`: added argument `group_neutral`. Please consider using keyword arguments to avoid API breakage
- `tears.create_information_tear_sheet`: `group_adjust` is now deprecated and `group_neutral` should be used instead
- `tears.create_full_tear_sheet`: `group_adjust` is now deprecated and `group_neutral` should be used instead
- `tears.create_event_returns_tear_sheet`: added argument `group_neutral`. Please consider using keyword arguments to avoid API breakage
- Several small changes to lower level API (`alphalens.performance`)
## Maintenance
- Depends on pandas>=0.18.0
- Changed deprecated `pd.rolling_mean()` to use the new `*.rolling().mean()` API
- Changed deprecated `pd.rolling_apply()` to use the new `*.rolling().apply()` API
- Use versioneer to pull version from git tag
Besides Quantopian employees, Luca Scarabello made major contributions to this software.