openseries 1.7.3__tar.gz → 1.7.5__tar.gz

{openseries-1.7.3 → openseries-1.7.5}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: openseries
-Version: 1.7.3
+Version: 1.7.5
 Summary: Tools for analyzing financial timeseries.
 Home-page: https://github.com/CaptorAB/openseries
 License: BSD-3-Clause
@@ -20,7 +20,7 @@ Classifier: Programming Language :: Python :: 3.11
 Classifier: Programming Language :: Python :: 3.12
 Classifier: Topic :: Office/Business :: Financial :: Investment
 Requires-Dist: holidays (>=0.30,<1.0)
-Requires-Dist: numpy (>=1.23.2,<=3.0.0)
+Requires-Dist: numpy (>=1.23.2,<3.0.0)
 Requires-Dist: openpyxl (>=3.1.2,<4.0.0)
 Requires-Dist: pandas (>=2.1.2,<3.0.0)
 Requires-Dist: plotly (>=5.18.0,<6.0.0)
@@ -29,7 +29,7 @@ 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,<2.0.0)
-Requires-Dist: statsmodels (>=0.14.0,<1.0.0)
+Requires-Dist: statsmodels (>=0.14.0,!=0.14.2,<1.0.0)
 Project-URL: Repository, https://github.com/CaptorAB/openseries
 Description-Content-Type: text/markdown
 

{openseries-1.7.3 → openseries-1.7.5}/openseries/_common_model.py

@@ -59,6 +59,7 @@ from .types import (
 )
 
 
+# noinspection PyTypeChecker
 class _CommonModel(BaseModel):
     """Declare _CommonModel."""
 
@@ -359,7 +360,7 @@ class _CommonModel(BaseModel):
         """
         wmdf = self.tsdf.copy()
         wmdf.index = DatetimeIndex(wmdf.index)
-        result = wmdf.resample("BME").last().pct_change().min()
+        result = wmdf.resample("BME").last().ffill().pct_change().min()
 
         if self.tsdf.shape[1] == 1:
             return float(result.iloc[0])
@@ -680,7 +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
 
@@ -1027,7 +1028,10 @@ class _CommonModel(BaseModel):
             time_factor = how_many / fraction
 
         result = (
-            self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change().mean()
+            self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+            .ffill()
+            .pct_change()
+            .mean()
             * time_factor
         )
 
@@ -1085,7 +1089,7 @@ class _CommonModel(BaseModel):
             time_factor = how_many / fraction
 
         data = self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-        result = data.pct_change().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]))
@@ -1281,19 +1285,24 @@ class _CommonModel(BaseModel):
         if drift_adjust:
             imp_vol = (-sqrt(time_factor) / norm.ppf(level)) * (
                 self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+                .ffill()
                 .pct_change()
                 .quantile(1 - level, interpolation=interpolation)
                 - self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+                .ffill()
                 .pct_change()
                 .sum()
                 / len(
-                    self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(),
+                    self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+                    .ffill()
+                    .pct_change(),
                 )
             )
         else:
             imp_vol = (
                 -sqrt(time_factor)
                 * self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+                .ffill()
                 .pct_change()
                 .quantile(1 - level, interpolation=interpolation)
                 / norm.ppf(level)
@@ -1357,6 +1366,7 @@ 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]
+            .ffill()
             .pct_change()
             .sort_values()
             .iloc[
@@ -1364,6 +1374,7 @@ class _CommonModel(BaseModel):
                     ceil(
                         (1 - level)
                         * cvar_df.loc[:, x]  # type: ignore[index]
+                        .ffill()
                         .pct_change()
                         .count(),
                     ),
@@ -1424,6 +1435,7 @@ class _CommonModel(BaseModel):
         )
         how_many = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+            .ffill()
             .pct_change()
             .count(numeric_only=True)
         )
@@ -1439,6 +1451,7 @@ class _CommonModel(BaseModel):
 
         dddf = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+            .ffill()
             .pct_change()
             .sub(min_accepted_return / time_factor)
         )
@@ -1542,6 +1555,7 @@ class _CommonModel(BaseModel):
         )
         result: NDArray[float64] = skew(
             a=self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+            .ffill()
             .pct_change()
             .to_numpy(),
             bias=True,
@@ -1589,7 +1603,7 @@ class _CommonModel(BaseModel):
             to_dt=to_date,
         )
         result: NDArray[float64] = kurtosis(
-            self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(),
+            self.tsdf.loc[cast(int, earlier) : cast(int, later)].ffill().pct_change(),
             fisher=True,
             bias=True,
             nan_policy="omit",
@@ -1685,13 +1699,21 @@ class _CommonModel(BaseModel):
         )
         pos = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+            .ffill()
             .pct_change()[1:][
-                self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change()[1:]
+                self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+                .ffill()
+                .pct_change()[1:]
                 > zero
             ]
             .count()
         )
-        tot = self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change().count()
+        tot = (
+            self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+            .ffill()
+            .pct_change()
+            .count()
+        )
         share = pos / tot
         if self.tsdf.shape[1] == 1:
             return float(share.iloc[0])
@@ -1867,7 +1889,9 @@ class _CommonModel(BaseModel):
             from_dt=from_date,
             to_dt=to_date,
         )
-        retdf = self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change()
+        retdf = (
+            self.tsdf.loc[cast(int, earlier) : cast(int, later)].ffill().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
@@ -1955,7 +1979,7 @@ 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())
+        resultdf = DataFrame(vrdf.ffill().pct_change())
         result = resultdf.loc[period] + 1
         cal_period = result.cumprod(axis="index").iloc[-1] - 1
         if self.tsdf.shape[1] == 1:
@@ -2007,6 +2031,7 @@ class _CommonModel(BaseModel):
         )
         result = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+            .ffill()
             .pct_change()
             .quantile(1 - level, interpolation=interpolation)
         )
@@ -2055,6 +2080,7 @@ class _CommonModel(BaseModel):
         )
         result = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+            .ffill()
             .pct_change()
             .rolling(observations, min_periods=observations)
             .sum()
@@ -2101,7 +2127,9 @@ class _CommonModel(BaseModel):
             from_dt=from_date,
             to_dt=to_date,
         )
-        zscframe = self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change()
+        zscframe = (
+            self.tsdf.loc[cast(int, earlier) : cast(int, later)].ffill().pct_change()
+        )
         result = (zscframe.iloc[-1] - zscframe.mean()) / zscframe.std()
 
         if self.tsdf.shape[1] == 1:
@@ -2170,6 +2198,7 @@ class _CommonModel(BaseModel):
         ret_label = cast(tuple[str], self.tsdf.iloc[:, column].name)[0]
         retseries = (
             self.tsdf.iloc[:, column]
+            .ffill()
             .pct_change()
             .rolling(observations, min_periods=observations)
             .sum()
@@ -2247,7 +2276,7 @@ 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()
+        dframe = self.tsdf.iloc[:, column].ffill().pct_change()
         volseries = dframe.rolling(
             observations,
             min_periods=observations,

{openseries-1.7.3 → openseries-1.7.5}/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()
-        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)
@@ -453,8 +459,15 @@ class OpenFrame(_CommonModel):
                 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(
@@ -589,9 +602,13 @@ class OpenFrame(_CommonModel):
             Correlation matrix
 
         """
-        corr_matrix = self.tsdf.pct_change().corr(
-            method="pearson",
-            min_periods=1,
+        corr_matrix = (
+            self.tsdf.ffill()
+            .pct_change()
+            .corr(
+                method="pearson",
+                min_periods=1,
+            )
         )
         corr_matrix.columns = corr_matrix.columns.droplevel(level=1)
         corr_matrix.index = corr_matrix.index.droplevel(level=1)
@@ -816,7 +833,7 @@ class OpenFrame(_CommonModel):
                 ]
                 relative = 1.0 + longdf - shortdf
                 vol = float(
-                    relative.pct_change().std() * sqrt(time_factor),
+                    relative.ffill().pct_change().std() * sqrt(time_factor),
                 )
                 terrors.append(vol)
 
@@ -906,10 +923,10 @@ class OpenFrame(_CommonModel):
                 ]
                 relative = 1.0 + longdf - shortdf
                 ret = float(
-                    relative.pct_change().mean() * time_factor,
+                    relative.ffill().pct_change().mean() * time_factor,
                 )
                 vol = float(
-                    relative.pct_change().std() * sqrt(time_factor),
+                    relative.ffill().pct_change().std() * sqrt(time_factor),
                 )
                 ratios.append(ret / vol)
 
@@ -1008,16 +1025,18 @@ class OpenFrame(_CommonModel):
                 msg = "ratio must be one of 'up', 'down' or 'both'."
                 if ratio == "up":
                     uparray = (
-                        longdf.pct_change()[
-                            shortdf.pct_change().to_numpy() > loss_limit
+                        longdf.ffill()
+                        .pct_change()[
+                            shortdf.ffill().pct_change().to_numpy() > loss_limit
                         ]
                         .add(1)
                         .to_numpy()
                     )
                     up_rtrn = uparray.prod() ** (1 / (len(uparray) / time_factor)) - 1
                     upidxarray = (
-                        shortdf.pct_change()[
-                            shortdf.pct_change().to_numpy() > loss_limit
+                        shortdf.ffill()
+                        .pct_change()[
+                            shortdf.ffill().pct_change().to_numpy() > loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1028,8 +1047,9 @@ class OpenFrame(_CommonModel):
                     ratios.append(up_rtrn / up_idx_return)
                 elif ratio == "down":
                     downarray = (
-                        longdf.pct_change()[
-                            shortdf.pct_change().to_numpy() < loss_limit
+                        longdf.ffill()
+                        .pct_change()[
+                            shortdf.ffill().pct_change().to_numpy() < loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1038,8 +1058,9 @@ class OpenFrame(_CommonModel):
                         downarray.prod() ** (1 / (len(downarray) / time_factor)) - 1
                     )
                     downidxarray = (
-                        shortdf.pct_change()[
-                            shortdf.pct_change().to_numpy() < loss_limit
+                        shortdf.ffill()
+                        .pct_change()[
+                            shortdf.ffill().pct_change().to_numpy() < loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1051,16 +1072,18 @@ class OpenFrame(_CommonModel):
                     ratios.append(down_return / down_idx_return)
                 elif ratio == "both":
                     uparray = (
-                        longdf.pct_change()[
-                            shortdf.pct_change().to_numpy() > loss_limit
+                        longdf.ffill()
+                        .pct_change()[
+                            shortdf.ffill().pct_change().to_numpy() > loss_limit
                         ]
                         .add(1)
                         .to_numpy()
                     )
                     up_rtrn = uparray.prod() ** (1 / (len(uparray) / time_factor)) - 1
                     upidxarray = (
-                        shortdf.pct_change()[
-                            shortdf.pct_change().to_numpy() > loss_limit
+                        shortdf.ffill()
+                        .pct_change()[
+                            shortdf.ffill().pct_change().to_numpy() > loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1069,8 +1092,9 @@ class OpenFrame(_CommonModel):
                         upidxarray.prod() ** (1 / (len(upidxarray) / time_factor)) - 1
                     )
                     downarray = (
-                        longdf.pct_change()[
-                            shortdf.pct_change().to_numpy() < loss_limit
+                        longdf.ffill()
+                        .pct_change()[
+                            shortdf.ffill().pct_change().to_numpy() < loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1079,8 +1103,9 @@ class OpenFrame(_CommonModel):
                         downarray.prod() ** (1 / (len(downarray) / time_factor)) - 1
                     )
                     downidxarray = (
-                        shortdf.pct_change()[
-                            shortdf.pct_change().to_numpy() < loss_limit
+                        shortdf.ffill()
+                        .pct_change()[
+                            shortdf.ffill().pct_change().to_numpy() < loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1284,30 +1309,8 @@ 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(
@@ -1375,6 +1378,29 @@ 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]
@@ -1407,27 +1433,30 @@ 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()
-            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",
@@ -1482,11 +1511,14 @@ class OpenFrame(_CommonModel):
         )
 
         retseries = (
-            relative.pct_change().rolling(observations, min_periods=observations).sum()
+            relative.ffill()
+            .pct_change()
+            .rolling(observations, min_periods=observations)
+            .sum()
         )
         retdf = retseries.dropna().to_frame()
 
-        voldf = relative.pct_change().rolling(
+        voldf = relative.ffill().pct_change().rolling(
             observations,
             min_periods=observations,
         ).std() * sqrt(time_factor)
@@ -1530,9 +1562,13 @@ 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().rolling(
-            observations,
-            min_periods=observations,
+        rolling = (
+            self.tsdf.ffill()
+            .pct_change()
+            .rolling(
+                observations,
+                min_periods=observations,
+            )
         )
 
         rcov = rolling.cov(ddof=dlta_degr_freedms)
@@ -1587,10 +1623,11 @@ class OpenFrame(_CommonModel):
         )
         first_series = (
             self.tsdf.iloc[:, first_column]
+            .ffill()
             .pct_change()[1:]
             .rolling(observations, min_periods=observations)
         )
-        second_series = self.tsdf.iloc[:, second_column].pct_change()[1:]
+        second_series = self.tsdf.iloc[:, second_column].ffill().pct_change()[1:]
         corrdf = first_series.corr(other=second_series).dropna().to_frame()
         corrdf.columns = MultiIndex.from_arrays(
             [

{openseries-1.7.3 → openseries-1.7.5}/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)
 
@@ -165,13 +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)
 
@@ -304,7 +308,7 @@ def efficient_frontier(  # noqa: C901
 
     if tweak:
         limit_tweak = 0.001
-        line_df["stdev_diff"] = line_df.stdev.pct_change()
+        line_df["stdev_diff"] = line_df.stdev.ffill().pct_change()
         line_df = line_df.loc[line_df.stdev_diff.abs() > limit_tweak]
         line_df = line_df.drop(columns="stdev_diff")
 

{openseries-1.7.3 → openseries-1.7.5}/openseries/series.py

@@ -346,6 +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)]
 
@@ -434,15 +435,12 @@ class OpenTimeSeries(_CommonModel):
             The returns of the values in the series
 
         """
-        self.tsdf = self.tsdf.pct_change()
-        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:
@@ -480,14 +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(
             [
@@ -520,6 +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]
@@ -684,17 +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()
+            ra_df = self.tsdf.ffill().pct_change()
             returns_input = False
         ra_df = ra_df.dropna()
 
@@ -818,6 +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-1.7.3 → openseries-1.7.5}/openseries/simulation.py

@@ -122,7 +122,9 @@ class ReturnSimulation(BaseModel):
         """
         return cast(
             float,
-            (self.results.pct_change().mean() * self.trading_days_in_year).iloc[0],
+            (
+                self.results.ffill().pct_change().mean() * self.trading_days_in_year
+            ).iloc[0],
         )
 
     @property
@@ -137,9 +139,10 @@ class ReturnSimulation(BaseModel):
         """
         return cast(
             float,
-            (self.results.pct_change().std() * sqrt(self.trading_days_in_year)).iloc[
-                0
-            ],
+            (
+                self.results.ffill().pct_change().std()
+                * sqrt(self.trading_days_in_year)
+            ).iloc[0],
         )
 
     @classmethod

{openseries-1.7.3 → openseries-1.7.5}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "openseries"
-version = "1.7.3"
+version = "1.7.5"
 description = "Tools for analyzing financial timeseries."
 authors = ["Martin Karrin <martin.karrin@captor.se>"]
 repository = "https://github.com/CaptorAB/openseries"
@@ -34,7 +34,7 @@ keywords = [
 [tool.poetry.dependencies]
 python = ">=3.10,<3.13"
 holidays = ">=0.30,<1.0"
-numpy = ">=1.23.2,<=3.0.0"
+numpy = ">=1.23.2,<3.0.0"
 openpyxl = ">=3.1.2,<4.0.0"
 pandas = ">=2.1.2,<3.0.0"
 plotly = ">=5.18.0,<6.0.0"
@@ -43,7 +43,7 @@ pydantic = ">=2.5.2,<3.0.0"
 python-dateutil = ">=2.8.2,<3.0.0"
 requests = ">=2.20.0,<3.0.0"
 scipy = ">=1.11.4,<2.0.0"
-statsmodels = ">=0.14.0,<1.0.0"
+statsmodels = ">=0.14.0,!=0.14.2,<1.0.0"
 
 [tool.poetry.group.dev.dependencies]
 black = ">=24.4.2,<25.0.0"
@@ -51,9 +51,9 @@ coverage = ">=7.6.0,<8.0.0"
 genbadge = {version = ">=1.1.1,<2.0.0", extras = ["coverage"]}
 mypy = "^1.11.2"
 pandas-stubs = ">=2.1.2,<3.0.0"
-pre-commit = ">=3.7.1,<4.0.0"
+pre-commit = ">=3.7.1,<6.0.0"
 pytest = ">=8.2.2,<9.0.0"
-ruff = "^0.6.5"
+ruff = "^0.6.9"
 types-openpyxl = ">=3.1.2,<4.0.0"
 types-python-dateutil = ">=2.8.2,<3.0.0"
 types-requests = ">=2.20.0,<3.0.0"
@@ -110,7 +110,7 @@ fixable = ["ALL"]
 
 [tool.ruff.lint.pylint]
 max-args = 12
-max-branches = 22
+max-branches = 23
 max-statements = 59
 
 [tool.pytest.ini_options]