openseries 1.7.2__py3-none-any.whl → 1.7.4__py3-none-any.whl

openseries/_common_model.py

@@ -18,7 +18,15 @@ if TYPE_CHECKING:
 from openpyxl.utils.dataframe import dataframe_to_rows
 from openpyxl.workbook.workbook import Workbook
 from openpyxl.worksheet.worksheet import Worksheet
-from pandas import DataFrame, DatetimeIndex, Index, MultiIndex, Series, date_range
+from pandas import (
+    DataFrame,
+    DatetimeIndex,
+    Index,
+    MultiIndex,
+    Series,
+    date_range,
+    to_datetime,
+)
 from pandas.tseries.offsets import CustomBusinessDay
 from plotly.graph_objs import Figure  # type: ignore[import-untyped,unused-ignore]
 from plotly.io import to_html  # type: ignore[import-untyped,unused-ignore]
@@ -51,6 +59,7 @@ from .types import (
 )
 
 
+# noinspection PyTypeChecker
 class _CommonModel(BaseModel):
     """Declare _CommonModel."""
 
@@ -351,9 +360,7 @@ class _CommonModel(BaseModel):
         """
         wmdf = self.tsdf.copy()
         wmdf.index = DatetimeIndex(wmdf.index)
-        result = (
-            wmdf.resample("BME").last().pct_change(fill_method=cast(str, None)).min()
-        )
+        result = wmdf.resample("BME").last().pct_change().min()
 
         if self.tsdf.shape[1] == 1:
             return float(result.iloc[0])
@@ -521,8 +528,8 @@ class _CommonModel(BaseModel):
             An OpenFrame object
 
         """
-        startyear = DatetimeIndex(self.tsdf.index)[0].year
-        endyear = DatetimeIndex(self.tsdf.index)[-1].year
+        startyear = to_datetime(self.tsdf.index[0]).year
+        endyear = to_datetime(self.tsdf.index[-1]).year
         calendar = holiday_calendar(
             startyear=startyear,
             endyear=endyear,
@@ -674,7 +681,7 @@ class _CommonModel(BaseModel):
                 output.append(dict(itemdata))
 
         with dirpath.joinpath(filename).open(mode="w", encoding="utf-8") as jsonfile:
-            dump(output, jsonfile, indent=2, sort_keys=False)
+            dump(obj=output, fp=jsonfile, indent=2, sort_keys=False)
 
         return output
 
@@ -1022,7 +1029,8 @@ class _CommonModel(BaseModel):
 
         result = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-            .pct_change(fill_method=cast(str, None))
+            .ffill()
+            .pct_change()
             .mean()
             * time_factor
         )
@@ -1081,9 +1089,7 @@ class _CommonModel(BaseModel):
             time_factor = how_many / fraction
 
         data = self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-        result = (
-            data.pct_change(fill_method=cast(str, None)).std().mul(sqrt(time_factor))
-        )
+        result = data.ffill().pct_change().std().mul(sqrt(time_factor))
 
         if self.tsdf.shape[1] == 1:
             return float(cast(SupportsFloat, result.iloc[0]))
@@ -1279,22 +1285,20 @@ class _CommonModel(BaseModel):
         if drift_adjust:
             imp_vol = (-sqrt(time_factor) / norm.ppf(level)) * (
                 self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-                .pct_change(fill_method=cast(str, None))
+                .pct_change()
                 .quantile(1 - level, interpolation=interpolation)
                 - self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-                .pct_change(fill_method=cast(str, None))
+                .pct_change()
                 .sum()
                 / len(
-                    self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(
-                        fill_method=cast(str, None),
-                    ),
+                    self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(),
                 )
             )
         else:
             imp_vol = (
                 -sqrt(time_factor)
                 * self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-                .pct_change(fill_method=cast(str, None))
+                .pct_change()
                 .quantile(1 - level, interpolation=interpolation)
                 / norm.ppf(level)
             )
@@ -1357,14 +1361,14 @@ class _CommonModel(BaseModel):
         cvar_df = self.tsdf.loc[cast(int, earlier) : cast(int, later)].copy(deep=True)
         result = [
             cvar_df.loc[:, x]  # type: ignore[call-overload,index]
-            .pct_change(fill_method=cast(str, None))
+            .pct_change()
             .sort_values()
             .iloc[
                 : int(
                     ceil(
                         (1 - level)
                         * cvar_df.loc[:, x]  # type: ignore[index]
-                        .pct_change(fill_method=cast(str, None))
+                        .pct_change()
                         .count(),
                     ),
                 )
@@ -1424,7 +1428,7 @@ class _CommonModel(BaseModel):
         )
         how_many = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-            .pct_change(fill_method=cast(str, None))
+            .pct_change()
             .count(numeric_only=True)
         )
         if periods_in_a_year_fixed:
@@ -1439,7 +1443,7 @@ class _CommonModel(BaseModel):
 
         dddf = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-            .pct_change(fill_method=cast(str, None))
+            .pct_change()
             .sub(min_accepted_return / time_factor)
         )
 
@@ -1542,7 +1546,7 @@ class _CommonModel(BaseModel):
         )
         result: NDArray[float64] = skew(
             a=self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-            .pct_change(fill_method=cast(str, None))
+            .pct_change()
             .to_numpy(),
             bias=True,
             nan_policy="omit",
@@ -1589,9 +1593,7 @@ class _CommonModel(BaseModel):
             to_dt=to_date,
         )
         result: NDArray[float64] = kurtosis(
-            self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(
-                fill_method=cast(str, None),
-            ),
+            self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(),
             fisher=True,
             bias=True,
             nan_policy="omit",
@@ -1687,19 +1689,13 @@ class _CommonModel(BaseModel):
         )
         pos = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-            .pct_change(fill_method=cast(str, None))[1:][
-                self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(
-                    fill_method=cast(str, None),
-                )[1:]
+            .pct_change()[1:][
+                self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change()[1:]
                 > zero
             ]
             .count()
         )
-        tot = (
-            self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-            .pct_change(fill_method=cast(str, None))[1:]
-            .count()
-        )
+        tot = self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change().count()
         share = pos / tot
         if self.tsdf.shape[1] == 1:
             return float(share.iloc[0])
@@ -1875,9 +1871,7 @@ class _CommonModel(BaseModel):
             from_dt=from_date,
             to_dt=to_date,
         )
-        retdf = self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(
-            fill_method=cast(str, None),
-        )
+        retdf = self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change()
         pos = retdf[retdf > min_accepted_return].sub(min_accepted_return).sum()
         neg = retdf[retdf < min_accepted_return].sub(min_accepted_return).sum()
         ratio = pos / -neg
@@ -1965,7 +1959,7 @@ class _CommonModel(BaseModel):
             period = "-".join([str(year), str(month).zfill(2)])
         vrdf = self.tsdf.copy()
         vrdf.index = DatetimeIndex(vrdf.index)
-        resultdf = DataFrame(vrdf.pct_change(fill_method=None))  # type: ignore[arg-type]
+        resultdf = DataFrame(vrdf.pct_change())
         result = resultdf.loc[period] + 1
         cal_period = result.cumprod(axis="index").iloc[-1] - 1
         if self.tsdf.shape[1] == 1:
@@ -2017,7 +2011,7 @@ class _CommonModel(BaseModel):
         )
         result = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-            .pct_change(fill_method=cast(str, None))
+            .pct_change()
             .quantile(1 - level, interpolation=interpolation)
         )
 
@@ -2065,7 +2059,7 @@ class _CommonModel(BaseModel):
         )
         result = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-            .pct_change(fill_method=cast(str, None))
+            .pct_change()
             .rolling(observations, min_periods=observations)
             .sum()
             .min()
@@ -2111,9 +2105,7 @@ class _CommonModel(BaseModel):
             from_dt=from_date,
             to_dt=to_date,
         )
-        zscframe = self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(
-            fill_method=cast(str, None),
-        )
+        zscframe = self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change()
         result = (zscframe.iloc[-1] - zscframe.mean()) / zscframe.std()
 
         if self.tsdf.shape[1] == 1:
@@ -2182,7 +2174,7 @@ class _CommonModel(BaseModel):
         ret_label = cast(tuple[str], self.tsdf.iloc[:, column].name)[0]
         retseries = (
             self.tsdf.iloc[:, column]
-            .pct_change(fill_method=cast(str, None))
+            .pct_change()
             .rolling(observations, min_periods=observations)
             .sum()
         )
@@ -2259,7 +2251,7 @@ class _CommonModel(BaseModel):
         else:
             time_factor = self.periods_in_a_year
         vol_label = cast(tuple[str, ValueType], self.tsdf.iloc[:, column].name)[0]
-        dframe = self.tsdf.iloc[:, column].pct_change(fill_method=cast(str, None))
+        dframe = self.tsdf.iloc[:, column].pct_change()
         volseries = dframe.rolling(
             observations,
             min_periods=observations,

openseries/datefixer.py

@@ -336,7 +336,7 @@ def generate_calendar_date_range(
         )
         calendar = holiday_calendar(
             startyear=start.year,
-            endyear=tmp_range[-1].year,
+            endyear=date_fix(tmp_range[-1]).year,
             countries=countries,
         )
         return [
@@ -351,7 +351,7 @@ def generate_calendar_date_range(
     if end and not start:
         tmp_range = date_range(end=end, periods=trading_days * 365 // 252, freq="D")
         calendar = holiday_calendar(
-            startyear=tmp_range[0].year,
+            startyear=date_fix(tmp_range[0]).year,
             endyear=end.year,
             countries=countries,
         )
@@ -371,7 +371,6 @@ def generate_calendar_date_range(
     raise ValueError(msg)
 
 
-# noinspection PyUnusedLocal
 def _do_resample_to_business_period_ends(
     data: DataFrame,
     freq: LiteralBizDayFreq,
@@ -421,4 +420,4 @@ def _do_resample_to_business_period_ends(
         ]
         + [copydata.index[-1]],
     )
-    return dates.drop_duplicates()
+    return DatetimeIndex(dates.drop_duplicates())

openseries/frame.py

@@ -14,7 +14,6 @@ if TYPE_CHECKING:
 import statsmodels.api as sm  # type: ignore[import-untyped,unused-ignore]
 from numpy import (
     cov,
-    cumprod,
     divide,
     isinf,
     log,
@@ -336,11 +335,12 @@ class OpenFrame(_CommonModel):
             The returns of the values in the series
 
         """
-        self.tsdf = self.tsdf.pct_change(fill_method=None)
-        self.tsdf.iloc[0] = 0
+        returns = self.tsdf.ffill().pct_change()
+        returns.iloc[0] = 0
         new_labels = [ValueType.RTRN] * self.item_count
         arrays = [self.tsdf.columns.get_level_values(0), new_labels]
-        self.tsdf.columns = MultiIndex.from_arrays(arrays)
+        returns.columns = MultiIndex.from_arrays(arrays=arrays)
+        self.tsdf = returns.copy()
         return self
 
     def value_to_diff(self: Self, periods: int = 1) -> Self:
@@ -374,14 +374,20 @@ class OpenFrame(_CommonModel):
             An OpenFrame object
 
         """
-        if any(
-            x == ValueType.PRICE
-            for x in self.tsdf.columns.get_level_values(1).to_numpy()
-        ):
-            self.value_to_ret()
+        vtypes = [x == ValueType.RTRN for x in self.tsdf.columns.get_level_values(1)]
+        if not any(vtypes):
+            returns = self.tsdf.ffill().pct_change()
+            returns.iloc[0] = 0
+        elif all(vtypes):
+            returns = self.tsdf.copy()
+            returns.iloc[0] = 0
+        else:
+            msg = "Mix of series types will give inconsistent results"
+            raise ValueError(msg)
+
+        returns = returns.add(1.0)
+        self.tsdf = returns.cumprod(axis=0) / returns.iloc[0]
 
-        self.tsdf = self.tsdf.add(1.0)
-        self.tsdf = self.tsdf.apply(cumprod, axis="index") / self.tsdf.iloc[0]
         new_labels = [ValueType.PRICE] * self.item_count
         arrays = [self.tsdf.columns.get_level_values(0), new_labels]
         self.tsdf.columns = MultiIndex.from_arrays(arrays)
@@ -449,11 +455,19 @@ class OpenFrame(_CommonModel):
                 countries=countries,
             )
             xerie.tsdf = xerie.tsdf.reindex(
-                [deyt.date() for deyt in dates], method=method,
+                [deyt.date() for deyt in dates],
+                method=method,
             )
 
+        arrays = [
+            self.tsdf.columns.get_level_values(0),
+            self.tsdf.columns.get_level_values(1),
+        ]
+
         self._set_tsdf()
 
+        self.tsdf.columns = MultiIndex.from_arrays(arrays)
+
         return self
 
     def ewma_risk(
@@ -588,7 +602,7 @@ class OpenFrame(_CommonModel):
             Correlation matrix
 
         """
-        corr_matrix = self.tsdf.pct_change(fill_method=None).corr(
+        corr_matrix = self.tsdf.pct_change().corr(
             method="pearson",
             min_periods=1,
         )
@@ -615,7 +629,6 @@ class OpenFrame(_CommonModel):
 
         """
         self.constituents += [new_series]
-        # noinspection PyUnreachableCode
         self.tsdf = concat([self.tsdf, new_series.tsdf], axis="columns", sort=True)
         return self
 
@@ -814,10 +827,9 @@ class OpenFrame(_CommonModel):
                     :,
                     item,
                 ]
-                # noinspection PyTypeChecker
                 relative = 1.0 + longdf - shortdf
                 vol = float(
-                    relative.pct_change(fill_method=None).std() * sqrt(time_factor),
+                    relative.pct_change().std() * sqrt(time_factor),
                 )
                 terrors.append(vol)
 
@@ -905,13 +917,12 @@ class OpenFrame(_CommonModel):
                     :,
                     item,
                 ]
-                # noinspection PyTypeChecker
                 relative = 1.0 + longdf - shortdf
                 ret = float(
-                    relative.pct_change(fill_method=None).mean() * time_factor,
+                    relative.pct_change().mean() * time_factor,
                 )
                 vol = float(
-                    relative.pct_change(fill_method=None).std() * sqrt(time_factor),
+                    relative.pct_change().std() * sqrt(time_factor),
                 )
                 ratios.append(ret / vol)
 
@@ -1010,18 +1021,16 @@ class OpenFrame(_CommonModel):
                 msg = "ratio must be one of 'up', 'down' or 'both'."
                 if ratio == "up":
                     uparray = (
-                        longdf.pct_change(fill_method=None)[
-                            shortdf.pct_change(fill_method=None).to_numpy()
-                            > loss_limit
+                        longdf.pct_change()[
+                            shortdf.pct_change().to_numpy() > loss_limit
                         ]
                         .add(1)
                         .to_numpy()
                     )
                     up_rtrn = uparray.prod() ** (1 / (len(uparray) / time_factor)) - 1
                     upidxarray = (
-                        shortdf.pct_change(fill_method=None)[
-                            shortdf.pct_change(fill_method=None).to_numpy()
-                            > loss_limit
+                        shortdf.pct_change()[
+                            shortdf.pct_change().to_numpy() > loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1032,9 +1041,8 @@ class OpenFrame(_CommonModel):
                     ratios.append(up_rtrn / up_idx_return)
                 elif ratio == "down":
                     downarray = (
-                        longdf.pct_change(fill_method=None)[
-                            shortdf.pct_change(fill_method=None).to_numpy()
-                            < loss_limit
+                        longdf.pct_change()[
+                            shortdf.pct_change().to_numpy() < loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1043,9 +1051,8 @@ class OpenFrame(_CommonModel):
                         downarray.prod() ** (1 / (len(downarray) / time_factor)) - 1
                     )
                     downidxarray = (
-                        shortdf.pct_change(fill_method=None)[
-                            shortdf.pct_change(fill_method=None).to_numpy()
-                            < loss_limit
+                        shortdf.pct_change()[
+                            shortdf.pct_change().to_numpy() < loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1057,18 +1064,16 @@ class OpenFrame(_CommonModel):
                     ratios.append(down_return / down_idx_return)
                 elif ratio == "both":
                     uparray = (
-                        longdf.pct_change(fill_method=None)[
-                            shortdf.pct_change(fill_method=None).to_numpy()
-                            > loss_limit
+                        longdf.pct_change()[
+                            shortdf.pct_change().to_numpy() > loss_limit
                         ]
                         .add(1)
                         .to_numpy()
                     )
                     up_rtrn = uparray.prod() ** (1 / (len(uparray) / time_factor)) - 1
                     upidxarray = (
-                        shortdf.pct_change(fill_method=None)[
-                            shortdf.pct_change(fill_method=None).to_numpy()
-                            > loss_limit
+                        shortdf.pct_change()[
+                            shortdf.pct_change().to_numpy() > loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1077,9 +1082,8 @@ class OpenFrame(_CommonModel):
                         upidxarray.prod() ** (1 / (len(upidxarray) / time_factor)) - 1
                     )
                     downarray = (
-                        longdf.pct_change(fill_method=None)[
-                            shortdf.pct_change(fill_method=None).to_numpy()
-                            < loss_limit
+                        longdf.pct_change()[
+                            shortdf.pct_change().to_numpy() < loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1088,9 +1092,8 @@ class OpenFrame(_CommonModel):
                         downarray.prod() ** (1 / (len(downarray) / time_factor)) - 1
                     )
                     downidxarray = (
-                        shortdf.pct_change(fill_method=None)[
-                            shortdf.pct_change(fill_method=None).to_numpy()
-                            < loss_limit
+                        shortdf.pct_change()[
+                            shortdf.pct_change().to_numpy() < loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1294,30 +1297,8 @@ class OpenFrame(_CommonModel):
 
         """
         full_year = 1.0
-        if all(
-            x == ValueType.RTRN
-            for x in self.tsdf.columns.get_level_values(1).to_numpy()
-        ):
-            msg = "asset should be a tuple[str, ValueType] or an integer."
-            if isinstance(asset, tuple):
-                asset_log = self.tsdf.loc[:, asset]
-                asset_cagr = asset_log.mean()
-            elif isinstance(asset, int):
-                asset_log = self.tsdf.iloc[:, asset]
-                asset_cagr = asset_log.mean()
-            else:
-                raise TypeError(msg)
-
-            msg = "market should be a tuple[str, ValueType] or an integer."
-            if isinstance(market, tuple):
-                market_log = self.tsdf.loc[:, market]
-                market_cagr = market_log.mean()
-            elif isinstance(market, int):
-                market_log = self.tsdf.iloc[:, market]
-                market_cagr = market_log.mean()
-            else:
-                raise TypeError(msg)
-        else:
+        vtypes = [x == ValueType.RTRN for x in self.tsdf.columns.get_level_values(1)]
+        if not any(vtypes):
             msg = "asset should be a tuple[str, ValueType] or an integer."
             if isinstance(asset, tuple):
                 asset_log = log(
@@ -1385,6 +1366,29 @@ class OpenFrame(_CommonModel):
                     )
             else:
                 raise TypeError(msg)
+        elif all(vtypes):
+            msg = "asset should be a tuple[str, ValueType] or an integer."
+            if isinstance(asset, tuple):
+                asset_log = self.tsdf.loc[:, asset]
+                asset_cagr = asset_log.mean()
+            elif isinstance(asset, int):
+                asset_log = self.tsdf.iloc[:, asset]
+                asset_cagr = asset_log.mean()
+            else:
+                raise TypeError(msg)
+
+            msg = "market should be a tuple[str, ValueType] or an integer."
+            if isinstance(market, tuple):
+                market_log = self.tsdf.loc[:, market]
+                market_cagr = market_log.mean()
+            elif isinstance(market, int):
+                market_log = self.tsdf.iloc[:, market]
+                market_cagr = market_log.mean()
+            else:
+                raise TypeError(msg)
+        else:
+            msg = "Mix of series types will give inconsistent results"
+            raise ValueError(msg)
 
         covariance = cov(asset_log, market_log, ddof=dlta_degr_freedms)
         beta = covariance[0, 1] / covariance[1, 1]
@@ -1417,27 +1421,30 @@ class OpenFrame(_CommonModel):
                 "to run the make_portfolio method."
             )
             raise ValueError(msg)
-        dframe = self.tsdf.copy()
-        if not any(
-            x == ValueType.RTRN
-            for x in self.tsdf.columns.get_level_values(1).to_numpy()
-        ):
-            dframe = dframe.pct_change(fill_method=None)
-            dframe.iloc[0] = 0
+
+        vtypes = [x == ValueType.RTRN for x in self.tsdf.columns.get_level_values(1)]
+        if not any(vtypes):
+            returns = self.tsdf.ffill().pct_change()
+            returns.iloc[0] = 0
+        elif all(vtypes):
+            returns = self.tsdf.copy()
+        else:
+            msg = "Mix of series types will give inconsistent results"
+            raise ValueError(msg)
 
         msg = "Weight strategy not implemented"
         if weight_strat:
             if weight_strat == "eq_weights":
                 self.weights = [1.0 / self.item_count] * self.item_count
             elif weight_strat == "inv_vol":
-                vol = divide(1.0, std(dframe, axis=0, ddof=1))
+                vol = divide(1.0, std(returns, axis=0, ddof=1))
                 vol[isinf(vol)] = nan
                 self.weights = list(divide(vol, vol.sum()))
             else:
                 raise NotImplementedError(msg)
 
         return DataFrame(
-            data=(dframe @ self.weights).add(1.0).cumprod(),
+            data=(returns @ self.weights).add(1.0).cumprod(),
             index=self.tsdf.index,
             columns=[[name], [ValueType.PRICE]],
             dtype="float64",
@@ -1492,13 +1499,11 @@ class OpenFrame(_CommonModel):
         )
 
         retseries = (
-            relative.pct_change(fill_method=None)
-            .rolling(observations, min_periods=observations)
-            .sum()
+            relative.pct_change().rolling(observations, min_periods=observations).sum()
         )
         retdf = retseries.dropna().to_frame()
 
-        voldf = relative.pct_change(fill_method=None).rolling(
+        voldf = relative.pct_change().rolling(
             observations,
             min_periods=observations,
         ).std() * sqrt(time_factor)
@@ -1542,7 +1547,7 @@ class OpenFrame(_CommonModel):
         asset_label = cast(tuple[str, str], self.tsdf.iloc[:, asset_column].name)[0]
         beta_label = f"{asset_label} / {market_label}"
 
-        rolling = self.tsdf.pct_change(fill_method=None).rolling(
+        rolling = self.tsdf.pct_change().rolling(
             observations,
             min_periods=observations,
         )
@@ -1599,12 +1604,10 @@ class OpenFrame(_CommonModel):
         )
         first_series = (
             self.tsdf.iloc[:, first_column]
-            .pct_change(fill_method=None)[1:]
+            .pct_change()[1:]
             .rolling(observations, min_periods=observations)
         )
-        second_series = self.tsdf.iloc[:, second_column].pct_change(
-            fill_method=None,
-        )[1:]
+        second_series = self.tsdf.iloc[:, second_column].pct_change()[1:]
         corrdf = first_series.corr(other=second_series).dropna().to_frame()
         corrdf.columns = MultiIndex.from_arrays(
             [

openseries/portfoliotools.py

@@ -83,13 +83,15 @@ def simulate_portfolios(
     """
     copi = simframe.from_deepcopy()
 
-    if any(
-        x == ValueType.PRICE for x in copi.tsdf.columns.get_level_values(1).to_numpy()
-    ):
+    vtypes = [x == ValueType.RTRN for x in copi.tsdf.columns.get_level_values(1)]
+    if not any(vtypes):
         copi.value_to_ret()
         log_ret = copi.tsdf.copy()[1:]
-    else:
+    elif all(vtypes):
         log_ret = copi.tsdf.copy()
+    else:
+        msg = "Mix of series types will give inconsistent results"
+        raise ValueError(msg)
 
     log_ret.columns = log_ret.columns.droplevel(level=1)
 
@@ -105,15 +107,14 @@ def simulate_portfolios(
         weights = weights / npsum(weights)
         all_weights[x, :] = weights
 
-        vol_arr[x] = sqrt(weights.T @
-                (log_ret.cov() * simframe.periods_in_a_year @ weights),
+        vol_arr[x] = sqrt(
+            weights.T @ (log_ret.cov() * simframe.periods_in_a_year @ weights),
         )
 
         ret_arr[x] = npsum(log_ret.mean() * weights * simframe.periods_in_a_year)
 
         sharpe_arr[x] = ret_arr[x] / vol_arr[x]
 
-    # noinspection PyUnreachableCode
     simdf = concat(
         [
             DataFrame({"stdev": vol_arr, "ret": ret_arr, "sharpe": sharpe_arr}),
@@ -166,13 +167,15 @@ def efficient_frontier(  # noqa: C901
 
     copi = eframe.from_deepcopy()
 
-    if any(
-        x == ValueType.PRICE for x in copi.tsdf.columns.get_level_values(1).to_numpy()
-    ):
+    vtypes = [x == ValueType.RTRN for x in copi.tsdf.columns.get_level_values(1)]
+    if not any(vtypes):
         copi.value_to_ret()
         log_ret = copi.tsdf.copy()[1:]
-    else:
+    elif all(vtypes):
         log_ret = copi.tsdf.copy()
+    else:
+        msg = "Mix of series types will give inconsistent results"
+        raise ValueError(msg)
 
     log_ret.columns = log_ret.columns.droplevel(level=1)
 
@@ -284,7 +287,6 @@ def efficient_frontier(  # noqa: C901
         frontier_x.append(result["fun"])
         frontier_weights.append(result["x"])
 
-    # noinspection PyUnreachableCode
     line_df = concat(
         [
             DataFrame(data=frontier_weights, columns=eframe.columns_lvl_zero),

openseries/series.py

@@ -205,7 +205,7 @@ class OpenTimeSeries(_CommonModel):
     @classmethod
     def from_df(
         cls: type[OpenTimeSeries],
-        dframe: DataFrame | Series[float],
+        dframe: Series[float] | DataFrame,
         column_nmbr: int = 0,
         valuetype: ValueType = ValueType.PRICE,
         baseccy: CurrencyStringType = "SEK",
@@ -234,10 +234,8 @@ class OpenTimeSeries(_CommonModel):
 
         """
         msg = "Argument dframe must be pandas Series or DataFrame."
-        if isinstance(dframe, Series):  # type: ignore[unreachable,unused-ignore]
-            if isinstance(  # type: ignore[unreachable,unused-ignore]
-                    dframe.name, tuple,
-            ):
+        if isinstance(dframe, Series):
+            if isinstance(dframe.name, tuple):
                 label, _ = dframe.name
             else:
                 label = dframe.name
@@ -348,6 +346,7 @@ class OpenTimeSeries(_CommonModel):
                 - cast(DatetimeIndex, d_range)[:-1]
             ],
         )
+        # noinspection PyTypeChecker
         arr = list(cumprod(insert(1 + deltas * rate / 365, 0, 1.0)))
         dates = [d.strftime("%Y-%m-%d") for d in cast(DatetimeIndex, d_range)]
 
@@ -436,15 +435,12 @@ class OpenTimeSeries(_CommonModel):
             The returns of the values in the series
 
         """
-        self.tsdf = self.tsdf.pct_change(fill_method=None)  # type: ignore[arg-type]
-        self.tsdf.iloc[0] = 0
+        returns = self.tsdf.ffill().pct_change()
+        returns.iloc[0] = 0
         self.valuetype = ValueType.RTRN
-        self.tsdf.columns = MultiIndex.from_arrays(
-            [
-                [self.label],
-                [self.valuetype],
-            ],
-        )
+        arrays = [[self.label], [self.valuetype]]
+        returns.columns = MultiIndex.from_arrays(arrays=arrays)
+        self.tsdf = returns.copy()
         return self
 
     def value_to_diff(self: Self, periods: int = 1) -> Self:
@@ -482,14 +478,12 @@ class OpenTimeSeries(_CommonModel):
             An OpenTimeSeries object
 
         """
-        if not any(
-            x == ValueType.RTRN
-            for x in cast(MultiIndex, self.tsdf.columns).get_level_values(1).to_numpy()
-        ):
+        if self.valuetype == ValueType.PRICE:
             self.value_to_ret()
 
         self.tsdf = self.tsdf.add(1.0)
         self.tsdf = self.tsdf.cumprod(axis=0) / self.tsdf.iloc[0]
+
         self.valuetype = ValueType.PRICE
         self.tsdf.columns = MultiIndex.from_arrays(
             [
@@ -522,6 +516,7 @@ class OpenTimeSeries(_CommonModel):
         arr = array(self.values) / divider
 
         deltas = array([i.days for i in self.tsdf.index[1:] - self.tsdf.index[:-1]])
+        # noinspection PyTypeChecker
         arr = cumprod(insert(1.0 + deltas * arr[:-1] / days_in_year, 0, 1.0))
 
         self.dates = [d.strftime("%Y-%m-%d") for d in self.tsdf.index]
@@ -686,17 +681,13 @@ class OpenTimeSeries(_CommonModel):
             An OpenTimeSeries object
 
         """
-        values: list[float]
-        if any(
-            x == ValueType.RTRN
-            for x in cast(MultiIndex, self.tsdf.columns).get_level_values(1).to_numpy()
-        ):
+        if self.valuetype == ValueType.RTRN:
             ra_df = self.tsdf.copy()
             values = [1.0]
             returns_input = True
         else:
             values = [cast(float, self.tsdf.iloc[0, 0])]
-            ra_df = self.tsdf.pct_change(fill_method=None)  # type: ignore[arg-type]
+            ra_df = self.tsdf.pct_change()
             returns_input = False
         ra_df = ra_df.dropna()
 
@@ -820,6 +811,7 @@ def timeseries_chain(
 
     dates.extend([x.strftime("%Y-%m-%d") for x in new.tsdf.index])
 
+    # noinspection PyUnresolvedReferences
     if back.__class__.__subclasscheck__(
         OpenTimeSeries,
     ):

openseries/simulation.py

@@ -122,10 +122,7 @@ class ReturnSimulation(BaseModel):
         """
         return cast(
             float,
-            (
-                self.results.pct_change(fill_method=cast(str, None)).mean()
-                * self.trading_days_in_year
-            ).iloc[0],
+            (self.results.pct_change().mean() * self.trading_days_in_year).iloc[0],
         )
 
     @property
@@ -140,10 +137,9 @@ class ReturnSimulation(BaseModel):
         """
         return cast(
             float,
-            (
-                self.results.pct_change(fill_method=cast(str, None)).std()
-                * sqrt(self.trading_days_in_year)
-            ).iloc[0],
+            (self.results.pct_change().std() * sqrt(self.trading_days_in_year)).iloc[
+                0
+            ],
         )
 
     @classmethod

openseries/types.py

@@ -4,6 +4,7 @@ from __future__ import annotations
 
 import datetime as dt
 from enum import Enum
+from pprint import pformat
 from typing import Annotated, ClassVar, Literal, Union
 
 from numpy import datetime64
@@ -225,8 +226,8 @@ LiteralFrameProps = Literal[
 ]
 
 
-class OpenTimeSeriesPropertiesList(list[str]):
-    """Allowed property arguments for the OpenTimeSeries class."""
+class PropertiesList(list[str]):
+    """Base class for allowed property arguments definition."""
 
     allowed_strings: ClassVar[set[str]] = {
         "value_ret",
@@ -246,9 +247,38 @@ class OpenTimeSeriesPropertiesList(list[str]):
         "vol_from_var",
         "worst",
         "worst_month",
-        "max_drawdown_cal_year",
         "max_drawdown",
         "max_drawdown_date",
+        "max_drawdown_cal_year",
+    }
+
+    def _validate(self: Self) -> None:
+        """Validate the string input of the all_properties method."""
+        seen = set()
+        invalids = set()
+        duplicates = set()
+        msg = ""
+        for item in self:
+            if item not in self.allowed_strings:
+                invalids.add(item)
+            if item in seen:
+                duplicates.add(item)
+            seen.add(item)
+        if len(invalids) != 0:
+            msg += (
+                f"Invalid string(s): {list(invalids)}.\nAllowed strings are:"
+                f"\n{pformat(self.allowed_strings)}\n"
+            )
+        if len(duplicates) != 0:
+            msg += f"Duplicate string(s): {list(duplicates)}."
+        if len(msg) != 0:
+            raise ValueError(msg)
+
+
+class OpenTimeSeriesPropertiesList(PropertiesList):
+    """Allowed property arguments for the OpenTimeSeries class."""
+
+    allowed_strings: ClassVar[set[str]] = PropertiesList.allowed_strings | {
         "first_idx",
         "last_idx",
         "length",
@@ -265,44 +295,11 @@ class OpenTimeSeriesPropertiesList(list[str]):
         super().__init__(args)
         self._validate()
 
-    def _validate(self: Self) -> None:
-        seen = set()
-        for item in self:
-            if item not in self.allowed_strings:
-                msg = (
-                    f"Invalid string: {item}. Allowed strings: {self.allowed_strings}"
-                )
-                raise ValueError(msg)
-            if item in seen:
-                msg = f"Duplicate string: {item}"
-                raise ValueError(msg)
-            seen.add(item)
-
 
-class OpenFramePropertiesList(list[str]):
+class OpenFramePropertiesList(PropertiesList):
     """Allowed property arguments for the OpenFrame class."""
 
-    allowed_strings: ClassVar[set[str]] = {
-        "value_ret",
-        "geo_ret",
-        "arithmetic_ret",
-        "vol",
-        "downside_deviation",
-        "ret_vol_ratio",
-        "sortino_ratio",
-        "omega_ratio",
-        "z_score",
-        "skew",
-        "kurtosis",
-        "positive_share",
-        "var_down",
-        "cvar_down",
-        "vol_from_var",
-        "worst",
-        "worst_month",
-        "max_drawdown",
-        "max_drawdown_date",
-        "max_drawdown_cal_year",
+    allowed_strings: ClassVar[set[str]] = PropertiesList.allowed_strings | {
         "first_indices",
         "last_indices",
         "lengths_of_items",
@@ -314,19 +311,6 @@ class OpenFramePropertiesList(list[str]):
         super().__init__(args)
         self._validate()
 
-    def _validate(self: Self) -> None:
-        seen = set()
-        for item in self:
-            if item not in self.allowed_strings:
-                msg = (
-                    f"Invalid string: {item}. Allowed strings: {self.allowed_strings}"
-                )
-                raise ValueError(msg)
-            if item in seen:
-                msg = f"Duplicate string: {item}"
-                raise ValueError(msg)
-            seen.add(item)
-
 
 class ValueType(str, Enum):
     """Enum types of OpenTimeSeries to identify the output."""

{openseries-1.7.2.dist-info → openseries-1.7.4.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: openseries
-Version: 1.7.2
+Version: 1.7.4
 Summary: Tools for analyzing financial timeseries.
 Home-page: https://github.com/CaptorAB/openseries
 License: BSD-3-Clause
@@ -28,7 +28,7 @@ Requires-Dist: pyarrow (>=14.0.2,<18.0.0)
 Requires-Dist: pydantic (>=2.5.2,<3.0.0)
 Requires-Dist: python-dateutil (>=2.8.2,<3.0.0)
 Requires-Dist: requests (>=2.20.0,<3.0.0)
-Requires-Dist: scipy (>=1.11.4,<1.14.1)
+Requires-Dist: scipy (>=1.11.4,<2.0.0)
 Requires-Dist: statsmodels (>=0.14.0,<1.0.0)
 Project-URL: Repository, https://github.com/CaptorAB/openseries
 Description-Content-Type: text/markdown

openseries-1.7.4.dist-info/RECORD

@@ -0,0 +1,16 @@
+openseries/__init__.py,sha256=gD2dMKRTJ9HMXLca_5sR67xGiU5sWExwaNUi-9N_RGQ,1032
+openseries/_common_model.py,sha256=kCP2UWRwnlh4Byj6qUKEddW5HhSh6z5tD6xinJNNtQE,72863
+openseries/_risk.py,sha256=PReIfkzhInvIgJkzI4k1wYvhmLZ4cCurYKuQAvlHLlE,2082
+openseries/datefixer.py,sha256=3E8Ddf3Ps9k5qUWqL13ONelyMECZsvtyrsFJg7r3bxE,12298
+openseries/frame.py,sha256=3f-vXWhQgmApJ4FSLYXydHSxutI1uT0dLJSF9zASlfs,54784
+openseries/load_plotly.py,sha256=Uuk_-iIY4_C6Z5U3rAneOh8ZlGYWbkuis9s4Amxzko4,1921
+openseries/plotly_captor_logo.json,sha256=F5nhMzEyxKywtjvQqMTKgKRCJQYMDIiBgDSxdte8Clo,178
+openseries/plotly_layouts.json,sha256=ahx8-dL4_RPzvHtBOX0SiL0AH7xQJzNRSDhGrSmU-Og,1429
+openseries/portfoliotools.py,sha256=pyCXnNLTnd9MGtmRIJZ-bz4fccOuUsXSX-3AbSpwa2Y,19094
+openseries/series.py,sha256=NSL3wFqoXgGLlGX-9t6QJo3QPOXJWV7yAn2_oIY-SaU,27646
+openseries/simulation.py,sha256=jghKf0d2deXK-rqn8BeJ_s3JQVLL9FuE_IW29Kf1_-k,13816
+openseries/types.py,sha256=IbzW9iVuA3MEx3WtjyB6QYeSd3TkGjTOkFnnpSADKlY,7491
+openseries-1.7.4.dist-info/LICENSE.md,sha256=IQ8_IMXgHxyv4M48G14fJsjcrkiSASdalASTXWCOsj4,1515
+openseries-1.7.4.dist-info/METADATA,sha256=Is5FxVodV6ix3yUHuljPgP8fP3EAtU3H4u5h9Q-RCRE,43973
+openseries-1.7.4.dist-info/WHEEL,sha256=sP946D7jFCHeNz5Iq4fL4Lu-PrWrFsgfLXbbkciIZwg,88
+openseries-1.7.4.dist-info/RECORD,,

openseries-1.7.2.dist-info/RECORD

@@ -1,16 +0,0 @@
-openseries/__init__.py,sha256=gD2dMKRTJ9HMXLca_5sR67xGiU5sWExwaNUi-9N_RGQ,1032
-openseries/_common_model.py,sha256=QuwlYSGCaTr6q0pPiHg6ni63ZvA8I2HfbgqSj4HmBHY,73657
-openseries/_risk.py,sha256=PReIfkzhInvIgJkzI4k1wYvhmLZ4cCurYKuQAvlHLlE,2082
-openseries/datefixer.py,sha256=IJiR43fVAf7hLJk0-5-xzQXNv6vAYxoJgRHH_EM1a9c,12292
-openseries/frame.py,sha256=WNih33lji-oHkHQMLqMQ3CWz-jmfS4eLQrcXE0wzbys,54885
-openseries/load_plotly.py,sha256=Uuk_-iIY4_C6Z5U3rAneOh8ZlGYWbkuis9s4Amxzko4,1921
-openseries/plotly_captor_logo.json,sha256=F5nhMzEyxKywtjvQqMTKgKRCJQYMDIiBgDSxdte8Clo,178
-openseries/plotly_layouts.json,sha256=ahx8-dL4_RPzvHtBOX0SiL0AH7xQJzNRSDhGrSmU-Og,1429
-openseries/portfoliotools.py,sha256=WQSf2OdrSojx-uOhLWQzz6IMnCOZjWjh-8yPJmqTZcA,18933
-openseries/series.py,sha256=PaXIVp7dLM4VsxPOe4B8tqM1MMDtJtPSDFvhv1Yblhc,27971
-openseries/simulation.py,sha256=P5nkX7o3O_3pOL22MAZTqL_i4TB2IUmPGCodegsAM04,13932
-openseries/types.py,sha256=C_t7WLyc7BgKun728CpLXnJS1GisGdNnxYAMBNAcVXU,7830
-openseries-1.7.2.dist-info/LICENSE.md,sha256=IQ8_IMXgHxyv4M48G14fJsjcrkiSASdalASTXWCOsj4,1515
-openseries-1.7.2.dist-info/METADATA,sha256=58Cg-cbff8KR3P_vvGUMEFvJg3SEy271FXNhEbIQudI,43974
-openseries-1.7.2.dist-info/WHEEL,sha256=sP946D7jFCHeNz5Iq4fL4Lu-PrWrFsgfLXbbkciIZwg,88
-openseries-1.7.2.dist-info/RECORD,,