numerai-tools 0.4.0.dev1__tar.gz → 0.4.1__tar.gz

{numerai_tools-0.4.0.dev1 → numerai_tools-0.4.1}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: numerai_tools
-Version: 0.4.0.dev1
+Version: 0.4.1
 Summary: A collection of open-source tools to help interact with Numerai, model data, and automate submissions.
 Home-page: https://github.com/numerai/numerai-tools
 Maintainer: Numerai

{numerai_tools-0.4.0.dev1 → numerai_tools-0.4.1}/numerai_tools/signals.py

@@ -19,7 +19,8 @@ def churn(
 
     For 2 given series with overlapping indices, churn is 1 - Spearman Correlation.
     If top_bottom is provided, the churn is calculated as the average of the % of
-    tickers that stay in the top and bottom predictions.
+    tickers that stay in the top and bottom predictions. This is only relevant when
+    the series are rank signals and not portfolio weights.
 
     Arguments:
         s1: pd.Series - the first series to compare
@@ -43,3 +44,29 @@ def churn(
     assert s1.std() > 0, "s1 must have non-zero standard deviation"
     assert s2.std() > 0, "s2 must have non-zero standard deviation"
     return 1 - spearman_correlation(s1, s2)
+
+
+def turnover(
+    s1: pd.Series,
+    s2: pd.Series,
+):
+    """Calculate the turnover between two series. Turnover is the total change in weights between
+    the two series divided by 2.
+
+    For 2 given series with overlapping indices, join the series on index, fill nans with zeroes
+    and calculate turnover as the absolute total difference between the two series divided by 2.
+    This is only relevant when the series are portfolio weights and not rank signals.
+
+    Arguments:
+        s1: pd.Series - the first series to compare
+        s2: pd.Series - the second series to compare
+        top_bottom: Optional[int] - the number of top and bottom predictions to use
+                                    when calculating the correlation. Results in
+                                    2*top_bottom predictions.
+
+    Returns:
+        float - the turnover between the two series
+    """
+    s1, s2 = filter_sort_index(s1, s2)
+    turnover = (s1 - s2).abs().sum() / 2
+    return turnover

{numerai_tools-0.4.0.dev1 → numerai_tools-0.4.1}/numerai_tools.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: numerai-tools
-Version: 0.4.0.dev1
+Version: 0.4.1
 Summary: A collection of open-source tools to help interact with Numerai, model data, and automate submissions.
 Home-page: https://github.com/numerai/numerai-tools
 Maintainer: Numerai

numerai_tools-0.4.1/numerai_tools.egg-info/requires.txt

@@ -0,0 +1,5 @@
+pandas<3.0.0,>=2.2.2
+numpy<3.0.0,>=2.0.0
+scipy<2.0.0,>=1.13.0
+scikit-learn<2.0.0,>=1.5.0
+torch

{numerai_tools-0.4.0.dev1 → numerai_tools-0.4.1}/setup.py

@@ -1,7 +1,7 @@
 from setuptools import setup
 from setuptools import find_packages
 
-VERSION = "0.4.0.dev1"
+VERSION = "0.4.1"
 
 
 def load(path):
@@ -38,10 +38,11 @@ if __name__ == "__main__":
         },
         packages=find_packages(exclude=["tests"]),
         install_requires=[
-            "pandas~=2.2.2",
-            "numpy~=2.0.0",
-            "scipy~=1.11.4",
-            "scikit-learn~=1.3.0",
+            # pandas 2.2.2 was the first version to support numpy 2
+            "pandas>=2.2.2,<3.0.0",
+            "numpy>=2.0.0,<3.0.0",
+            "scipy>=1.13.0,<2.0.0",
+            "scikit-learn>=1.5.0,<2.0.0",
             "torch",
         ],
     )

{numerai_tools-0.4.0.dev1 → numerai_tools-0.4.1}/tests/test_scoring.py

@@ -318,8 +318,8 @@ class TestScoring(unittest.TestCase):
                 [5, 1],
             ]
         )
-        v = pd.Series([3, 2, 1, 2, 3]).T
-        t = pd.Series([1, 2, 3, 2, 1]).T
+        v = pd.Series([1, 0.5, 1, 0.5, 1]).T
+        t = pd.Series([1, 0, 1, 0, 1]).T
         score = alpha(s, N, v, t)
         np.testing.assert_allclose(score, 0.0, atol=1e-14, rtol=1e-14)
 

{numerai_tools-0.4.0.dev1 → numerai_tools-0.4.1}/tests/test_signals.py

@@ -3,7 +3,7 @@ import unittest
 import numpy as np
 import pandas as pd  # type: ignore
 
-from numerai_tools.signals import churn
+from numerai_tools.signals import churn, turnover
 
 
 class TestSignals(unittest.TestCase):
@@ -39,6 +39,13 @@ class TestSignals(unittest.TestCase):
         tmp = churn(self.up, self.constant, top_bottom=2)
         assert np.isclose(tmp, 0), tmp
 
+    def test_turnover(self):
+        assert np.isclose(turnover(self.up, self.up), 0)
+        assert np.isclose(turnover(self.up, self.up_down), 3)
+        assert np.isclose(turnover(self.up, self.oscillate), 4.5)
+        assert np.isclose(turnover(self.up, self.down), 6)
+        assert np.isclose(turnover(self.up, self.constant), 3.5)
+
 
 if __name__ == "__main__":
     unittest.main()

numerai_tools-0.4.0.dev1/numerai_tools.egg-info/requires.txt

@@ -1,5 +0,0 @@
-pandas~=2.2.2
-numpy~=2.0.0
-scipy~=1.11.4
-scikit-learn~=1.3.0
-torch