openseries 1.9.1__tar.gz → 1.9.2__tar.gz

{openseries-1.9.1 → openseries-1.9.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: openseries
-Version: 1.9.1
+Version: 1.9.2
 Summary: Tools for analyzing financial timeseries.
 License: # BSD 3-Clause License
          
@@ -55,8 +55,8 @@ Requires-Dist: plotly (>=5.18.0,<7.0.0)
 Requires-Dist: pydantic (>=2.5.2,<3.0.0)
 Requires-Dist: python-dateutil (>=2.8.2,<4.0.0)
 Requires-Dist: requests (>=2.20.0,<3.0.0)
+Requires-Dist: scikit-learn (>=1.4.0,<2.0.0)
 Requires-Dist: scipy (>=1.11.4,<2.0.0)
-Requires-Dist: statsmodels (>=0.14.0,!=0.14.2,<1.0.0)
 Project-URL: Homepage, https://github.com/CaptorAB/openseries
 Project-URL: Issue Tracker, https://github.com/CaptorAB/openseries/issues
 Project-URL: Release Notes, https://github.com/CaptorAB/openseries/releases
@@ -74,7 +74,7 @@ Description-Content-Type: text/markdown
 ![Platform](https://img.shields.io/badge/platforms-Windows%20%7C%20macOS%20%7C%20Linux-blue)
 [![Python version](https://img.shields.io/pypi/pyversions/openseries.svg)](https://www.python.org/)
 [![GitHub Action Test Suite](https://github.com/CaptorAB/openseries/actions/workflows/test.yml/badge.svg)](https://github.com/CaptorAB/openseries/actions/workflows/test.yml)
-[![codecov](https://img.shields.io/codecov/c/github/CaptorAB/openseries/master)](https://codecov.io/gh/CaptorAB/openseries/branch/master)
+[![codecov](https://img.shields.io/codecov/c/gh/CaptorAB/openseries?logo=codecov)](https://codecov.io/gh/CaptorAB/openseries/branch/master)
 [![Poetry](https://img.shields.io/endpoint?url=https://python-poetry.org/badge/v0.json)](https://python-poetry.org/)
 [![Ruff](https://img.shields.io/endpoint?url=https://raw.githubusercontent.com/astral-sh/ruff/main/assets/badge/v2.json)](https://beta.ruff.rs/docs/)
 [![GitHub License](https://img.shields.io/github/license/CaptorAB/openseries)](https://github.com/CaptorAB/openseries/blob/master/LICENSE.md)
@@ -119,7 +119,7 @@ _,_=series.plot_series()
 
 ### Sample output using the report_html() function:
 
-<img src="./captor_plot_image.png" alt="Two Assets Compared" width="1000" />
+<img src="https://raw.githubusercontent.com/CaptorAB/openseries/master/captor_plot_image.png" alt="Two Assets Compared" width="1000" />
 
 ## Development Instructions
 

{openseries-1.9.1 → openseries-1.9.2}/README.md

@@ -9,7 +9,7 @@
 ![Platform](https://img.shields.io/badge/platforms-Windows%20%7C%20macOS%20%7C%20Linux-blue)
 [![Python version](https://img.shields.io/pypi/pyversions/openseries.svg)](https://www.python.org/)
 [![GitHub Action Test Suite](https://github.com/CaptorAB/openseries/actions/workflows/test.yml/badge.svg)](https://github.com/CaptorAB/openseries/actions/workflows/test.yml)
-[![codecov](https://img.shields.io/codecov/c/github/CaptorAB/openseries/master)](https://codecov.io/gh/CaptorAB/openseries/branch/master)
+[![codecov](https://img.shields.io/codecov/c/gh/CaptorAB/openseries?logo=codecov)](https://codecov.io/gh/CaptorAB/openseries/branch/master)
 [![Poetry](https://img.shields.io/endpoint?url=https://python-poetry.org/badge/v0.json)](https://python-poetry.org/)
 [![Ruff](https://img.shields.io/endpoint?url=https://raw.githubusercontent.com/astral-sh/ruff/main/assets/badge/v2.json)](https://beta.ruff.rs/docs/)
 [![GitHub License](https://img.shields.io/github/license/CaptorAB/openseries)](https://github.com/CaptorAB/openseries/blob/master/LICENSE.md)
@@ -54,7 +54,7 @@ _,_=series.plot_series()
 
 ### Sample output using the report_html() function:
 
-<img src="./captor_plot_image.png" alt="Two Assets Compared" width="1000" />
+<img src="https://raw.githubusercontent.com/CaptorAB/openseries/master/captor_plot_image.png" alt="Two Assets Compared" width="1000" />
 
 ## Development Instructions
 

{openseries-1.9.1 → openseries-1.9.2}/openseries/frame.py

@@ -18,11 +18,6 @@ from typing import TYPE_CHECKING, cast
 if TYPE_CHECKING:  # pragma: no cover
     import datetime as dt
 
-    from statsmodels.regression.linear_model import (  # type: ignore[import-untyped]
-        OLSResults,
-    )
-
-import statsmodels.api as sm  # type: ignore[import-untyped]
 from numpy import (
     array,
     cov,
@@ -44,6 +39,7 @@ from pandas import (
     merge,
 )
 from pydantic import field_validator
+from sklearn.linear_model import LinearRegression
 
 from ._common_model import _CommonModel
 from .datefixer import _do_resample_to_business_period_ends
@@ -54,8 +50,6 @@ from .owntypes import (
     LiteralCaptureRatio,
     LiteralFrameProps,
     LiteralHowMerge,
-    LiteralOlsFitCovType,
-    LiteralOlsFitMethod,
     LiteralPandasReindexMethod,
     LiteralPortfolioWeightings,
     LiteralTrunc,
@@ -75,7 +69,7 @@ __all__ = ["OpenFrame"]
 
 
 # noinspection PyUnresolvedReferences,PyTypeChecker
-class OpenFrame(_CommonModel):
+class OpenFrame(_CommonModel):  # type: ignore[misc]
     """OpenFrame objects hold OpenTimeSeries in the list constituents.
 
     The intended use is to allow comparisons across these timeseries.
@@ -1229,16 +1223,13 @@ class OpenFrame(_CommonModel):
         self: Self,
         y_column: tuple[str, ValueType] | int,
         x_column: tuple[str, ValueType] | int,
-        method: LiteralOlsFitMethod = "pinv",
-        cov_type: LiteralOlsFitCovType = "nonrobust",
         *,
         fitted_series: bool = True,
-    ) -> OLSResults:
+    ) -> dict[str, float]:
         """Ordinary Least Squares fit.
 
         Performs a linear regression and adds a new column with a fitted line
         using Ordinary Least Squares fit
-        https://www.statsmodels.org/stable/examples/notebooks/generated/ols.html.
 
         Parameters
         ----------
@@ -1246,50 +1237,50 @@ class OpenFrame(_CommonModel):
             The column level values of the dependent variable y
         x_column: tuple[str, ValueType] | int
             The column level values of the exogenous variable x
-        method: LiteralOlsFitMethod, default: pinv
-            Method to solve least squares problem
-        cov_type: LiteralOlsFitCovType, default: nonrobust
-            Covariance estimator
         fitted_series: bool, default: True
             If True the fit is added as a new column in the .tsdf Pandas.DataFrame
 
         Returns:
         -------
-        OLSResults
-            The Statsmodels regression output
+        dict[str, float]
+            A dictionary with the coefficient, intercept and rsquared outputs.
 
         """
         msg = "y_column should be a tuple[str, ValueType] or an integer."
         if isinstance(y_column, tuple):
-            y_value = self.tsdf.loc[:, y_column]
+            y_value = self.tsdf.loc[:, y_column].to_numpy()
             y_label = cast(
                 "tuple[str, str]",
                 self.tsdf.loc[:, y_column].name,
             )[0]
         elif isinstance(y_column, int):
-            y_value = self.tsdf.iloc[:, y_column]
+            y_value = self.tsdf.iloc[:, y_column].to_numpy()
             y_label = cast("tuple[str, str]", self.tsdf.iloc[:, y_column].name)[0]
         else:
             raise TypeError(msg)
 
         msg = "x_column should be a tuple[str, ValueType] or an integer."
         if isinstance(x_column, tuple):
-            x_value = self.tsdf.loc[:, x_column]
+            x_value = self.tsdf.loc[:, x_column].to_numpy().reshape(-1, 1)
             x_label = cast(
                 "tuple[str, str]",
                 self.tsdf.loc[:, x_column].name,
             )[0]
         elif isinstance(x_column, int):
-            x_value = self.tsdf.iloc[:, x_column]
+            x_value = self.tsdf.iloc[:, x_column].to_numpy().reshape(-1, 1)
             x_label = cast("tuple[str, str]", self.tsdf.iloc[:, x_column].name)[0]
         else:
             raise TypeError(msg)
 
-        results = sm.OLS(y_value, x_value).fit(method=method, cov_type=cov_type)
+        model = LinearRegression(fit_intercept=True)
+        model.fit(x_value, y_value)
         if fitted_series:
-            self.tsdf[y_label, x_label] = results.predict(x_value)
-
-        return cast("OLSResults", results)
+            self.tsdf[y_label, x_label] = model.predict(x_value)
+        return {
+            "coefficient": model.coef_[0],
+            "intercept": model.intercept_,
+            "rsquared": model.score(x_value, y_value),
+        }
 
     def jensen_alpha(
         self: Self,

{openseries-1.9.1 → openseries-1.9.2}/openseries/owntypes.py

@@ -141,21 +141,7 @@ LiteralPlotlyHistogramHistNorm = Literal[
     "density",
     "probability density",
 ]
-LiteralOlsFitMethod = Literal["pinv", "qr"]
 LiteralPortfolioWeightings = Literal["eq_weights", "inv_vol"]
-LiteralOlsFitCovType = Literal[
-    "nonrobust",
-    "fixed scale",
-    "HC0",
-    "HC1",
-    "HC2",
-    "HC3",
-    "HAC",
-    "hac-panel",
-    "hac-groupsum",
-    "cluster",
-]
-
 LiteralMinimizeMethods = Literal[
     "SLSQP",
     "Nelder-Mead",

{openseries-1.9.1 → openseries-1.9.2}/openseries/report.py

@@ -26,7 +26,7 @@ if TYPE_CHECKING:  # pragma: no cover
     from .owntypes import LiteralPlotlyJSlib, LiteralPlotlyOutput
 
 
-from pandas import DataFrame, Series, concat
+from pandas import DataFrame, Series, Timestamp, concat
 from plotly.io import to_html
 from plotly.offline import plot
 from plotly.subplots import make_subplots
@@ -73,8 +73,12 @@ def calendar_period_returns(
         copied.value_to_ret()
     cldr = copied.tsdf.iloc[1:].copy()
     if relabel:
-        if freq == "BYE":
+        if freq.upper() == "BYE":
             cldr.index = [d.year for d in cldr.index]
+        elif freq.upper() == "BQE":
+            cldr.index = [
+                Timestamp(d).to_period("Q").strftime("Q%q %Y") for d in cldr.index
+            ]
         else:
             cldr.index = [d.strftime("%b %y") for d in cldr.index]
 

{openseries-1.9.1 → openseries-1.9.2}/pyproject.toml

@@ -1,6 +1,6 @@
 [project]
 name = "openseries"
-version = "1.9.1"
+version = "1.9.2"
 description = "Tools for analyzing financial timeseries."
 authors = [
     { name = "Martin Karrin", email = "martin.karrin@captor.se" },
@@ -50,7 +50,7 @@ dependencies = [
     "python-dateutil (>=2.8.2,<4.0.0)",
     "requests (>=2.20.0,<3.0.0)",
     "scipy (>=1.11.4,<2.0.0)",
-    "statsmodels (>=0.14.0,!=0.14.2,<1.0.0)"
+    "scikit-learn (>=1.4.0,<2.0.0)"
 ]
 
 [project.urls]
@@ -61,12 +61,13 @@ dependencies = [
 
 [tool.poetry.group.dev.dependencies]
 black = ">=24.4.2,<27.0.0"
-coverage = ">=7.2.7,<9.0.0"
-mypy = "1.16.0"
+mypy = "1.16.1"
 pandas-stubs = ">=2.1.2,<3.0.0"
 pre-commit = ">=3.7.1,<6.0.0"
 pytest = ">=8.2.2,<9.0.0"
-ruff = "0.11.13"
+pytest-cov = ">=5.0.0,<7.0.0"
+pytest-xdist = ">=3.3.1,<5.0.0"
+ruff = "0.12.1"
 types-openpyxl = ">=3.1.2,<5.0.0"
 types-python-dateutil = ">=2.8.2,<4.0.0"
 types-requests = ">=2.20.0,<3.0.0"
@@ -78,7 +79,6 @@ build-backend = "poetry.core.masonry.api"
 [tool.coverage.run]
 branch = true
 omit = ["venv/*", "tests/*", "**/__init__.py"]
-include = ["openseries/*"]
 
 [tool.coverage.report]
 omit = ["**/__init__.py"]