openseries 2.0.3__tar.gz → 2.1.1__tar.gz

{openseries-2.0.3 → openseries-2.1.1}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: openseries
-Version: 2.0.3
+Version: 2.1.1
 Summary: Tools for analyzing financial timeseries.
 License-Expression: BSD-3-Clause
 License-File: LICENSE.md
@@ -9,8 +9,7 @@ Author: Martin Karrin
 Author-email: martin.karrin@captor.se
 Maintainer: Martin Karrin
 Maintainer-email: martin.karrin@captor.se
-Requires-Python: >=3.10,<3.15
-Classifier: Programming Language :: Python :: 3.10
+Requires-Python: >=3.11,<3.15
 Classifier: Programming Language :: Python :: 3.11
 Classifier: Programming Language :: Python :: 3.12
 Classifier: Programming Language :: Python :: 3.13
@@ -33,7 +32,7 @@ Requires-Dist: requests (>=2.20.0)
 Requires-Dist: scikit-learn (>=1.4.0)
 Requires-Dist: scipy (>=1.14.1)
 Project-URL: Documentation, https://openseries.readthedocs.io/
-Project-URL: Homepage, https://github.com/CaptorAB/openseries
+Project-URL: Homepage, https://captorab.github.io/openseries/
 Project-URL: Issue Tracker, https://github.com/CaptorAB/openseries/issues
 Project-URL: Release Notes, https://github.com/CaptorAB/openseries/releases
 Project-URL: Source, https://github.com/CaptorAB/openseries
@@ -59,8 +58,6 @@ Description-Content-Type: text/markdown
 
 Tools for analyzing financial timeseries of a single asset or a group of assets. Designed for daily or less frequent data.
 
-> **⚠️ Python Version Notice**: Python 3.10 support is deprecated and will be removed, no earlier than 2025-12-01. Please upgrade to Python ≥3.11. See [#340](https://github.com/CaptorAB/openseries/issues/340) (pinned) for details.
-
 ## Documentation
 
 Complete documentation is available at: [https://openseries.readthedocs.io](https://openseries.readthedocs.io/)

{openseries-2.0.3 → openseries-2.1.1}/README.md

@@ -18,8 +18,6 @@
 
 Tools for analyzing financial timeseries of a single asset or a group of assets. Designed for daily or less frequent data.
 
-> **⚠️ Python Version Notice**: Python 3.10 support is deprecated and will be removed, no earlier than 2025-12-01. Please upgrade to Python ≥3.11. See [#340](https://github.com/CaptorAB/openseries/issues/340) (pinned) for details.
-
 ## Documentation
 
 Complete documentation is available at: [https://openseries.readthedocs.io](https://openseries.readthedocs.io/)

{openseries-2.0.3 → openseries-2.1.1}/openseries/__init__.py

@@ -1,6 +1,6 @@
 """openseries package initialization."""
 
-__version__ = "2.0.3"
+__version__ = "2.1.0"
 
 from .datefixer import (
     date_fix,
@@ -12,7 +12,7 @@ from .datefixer import (
 )
 from .frame import OpenFrame
 from .load_plotly import load_plotly_dict
-from .owntypes import Self, ValueType
+from .owntypes import ValueType
 from .portfoliotools import (
     constrain_optimized_portfolios,
     efficient_frontier,
@@ -28,7 +28,6 @@ __all__ = [
     "OpenFrame",
     "OpenTimeSeries",
     "ReturnSimulation",
-    "Self",
     "ValueType",
     "constrain_optimized_portfolios",
     "date_fix",

{openseries-2.0.3 → openseries-2.1.1}/openseries/_common_model.py

@@ -12,7 +12,7 @@ from math import ceil
 from pathlib import Path
 from secrets import choice
 from string import ascii_letters
-from typing import TYPE_CHECKING, Any, Generic, Literal, cast
+from typing import TYPE_CHECKING, Any, Generic, Literal, Self, cast
 
 from numpy import asarray, float64, inf, isnan, log, maximum, sqrt
 
@@ -23,7 +23,6 @@ from .owntypes import (
     NumberOfItemsAndLabelsNotSameError,
     PlotlyConfigType,
     ResampleDataLossError,
-    Self,
     SeriesOrFloat_co,
     ValueType,
 )
@@ -206,15 +205,13 @@ class _CommonModel(BaseModel, Generic[SeriesOrFloat_co]):
         if self.tsdf.shape[1] == 1:
             arr = float(asarray(a=result, dtype=float64).squeeze())
             return cast("SeriesOrFloat_co", arr)  # type: ignore[redundant-cast]
-        return cast(
-            "SeriesOrFloat_co",
-            Series(
-                data=result,
-                index=self.tsdf.columns,
-                name=name,
-                dtype="float64",
-            ),
+        series_result: SeriesOrFloat_co = Series(  # type: ignore[assignment]
+            data=result,
+            index=self.tsdf.columns,
+            name=name,
+            dtype="float64",
         )
+        return series_result
 
     @property
     def length(self: Self) -> int:
@@ -272,7 +269,9 @@ class _CommonModel(BaseModel, Generic[SeriesOrFloat_co]):
 
     @property
     def max_drawdown_cal_year(self: Self) -> SeriesOrFloat_co:
-        """https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp.
+        """Maximum drawdown in a single calendar year.
+
+        Reference: https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp.
 
         Returns:
         --------
@@ -294,7 +293,9 @@ class _CommonModel(BaseModel, Generic[SeriesOrFloat_co]):
 
     @property
     def geo_ret(self: Self) -> SeriesOrFloat_co:
-        """https://www.investopedia.com/terms/c/cagr.asp.
+        """Compounded Annual Growth Rate (CAGR).
+
+        Reference: https://www.investopedia.com/terms/c/cagr.asp.
 
         Returns:
         --------
@@ -308,7 +309,9 @@ class _CommonModel(BaseModel, Generic[SeriesOrFloat_co]):
 
     @property
     def arithmetic_ret(self: Self) -> SeriesOrFloat_co:
-        """https://www.investopedia.com/terms/a/arithmeticmean.asp.
+        """Annualized arithmetic mean of returns.
+
+        Reference: https://www.investopedia.com/terms/a/arithmeticmean.asp.
 
         Returns:
         --------
@@ -339,7 +342,8 @@ class _CommonModel(BaseModel, Generic[SeriesOrFloat_co]):
         """Annualized volatility.
 
         Based on Pandas .std() which is the equivalent of stdev.s([...]) in MS Excel.
-        https://www.investopedia.com/terms/v/volatility.asp.
+
+        Reference: https://www.investopedia.com/terms/v/volatility.asp.
 
         Returns:
         --------
@@ -357,7 +361,8 @@ class _CommonModel(BaseModel, Generic[SeriesOrFloat_co]):
 
         Standard deviation of returns that are below a Minimum Accepted Return
         of zero. It is used to calculate the Sortino Ratio.
-        https://www.investopedia.com/terms/d/downside-deviation.asp.
+
+        Reference: https://www.investopedia.com/terms/d/downside-deviation.asp.
 
         Returns:
         --------
@@ -391,7 +396,9 @@ class _CommonModel(BaseModel, Generic[SeriesOrFloat_co]):
 
     @property
     def sortino_ratio(self: Self) -> SeriesOrFloat_co:
-        """https://www.investopedia.com/terms/s/sortinoratio.asp.
+        """Sortino ratio.
+
+        Reference: https://www.investopedia.com/terms/s/sortinoratio.asp.
 
         Returns:
         --------
@@ -438,7 +445,9 @@ class _CommonModel(BaseModel, Generic[SeriesOrFloat_co]):
 
     @property
     def omega_ratio(self: Self) -> SeriesOrFloat_co:
-        """https://en.wikipedia.org/wiki/Omega_ratio.
+        """Omega ratio.
+
+        Reference: https://en.wikipedia.org/wiki/Omega_ratio.
 
         Returns:
         --------
@@ -453,7 +462,9 @@ class _CommonModel(BaseModel, Generic[SeriesOrFloat_co]):
 
     @property
     def z_score(self: Self) -> SeriesOrFloat_co:
-        """https://www.investopedia.com/terms/z/zscore.asp.
+        """Z-score.
+
+        Reference: https://www.investopedia.com/terms/z/zscore.asp.
 
         Returns:
         --------
@@ -467,7 +478,9 @@ class _CommonModel(BaseModel, Generic[SeriesOrFloat_co]):
 
     @property
     def max_drawdown(self: Self) -> SeriesOrFloat_co:
-        """https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp.
+        """Maximum drawdown without any limit on date range.
+
+        Reference: https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp.
 
         Returns:
         --------
@@ -483,7 +496,7 @@ class _CommonModel(BaseModel, Generic[SeriesOrFloat_co]):
     def max_drawdown_date(self: Self) -> dt.date | Series[dt.date]:
         """Date when the maximum drawdown occurred.
 
-        https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp.
+        Reference: https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp.
 
         Returns:
         --------
@@ -493,16 +506,17 @@ class _CommonModel(BaseModel, Generic[SeriesOrFloat_co]):
         """
         mdddf = self.tsdf.copy()
         mdddf.index = DatetimeIndex(mdddf.index)
-        result = (mdddf / mdddf.expanding(min_periods=1).max()).idxmin().dt.date
+        result = (mdddf / mdddf.expanding(min_periods=1).max()).idxmin().dt.date  # type: ignore[attr-defined,arg-type]
 
         if self.tsdf.shape[1] == 1:
-            return result.iloc[0]
-        return Series(
+            return cast("dt.date", result.iloc[0])
+        date_series = Series(
             data=result,
             index=self.tsdf.columns,
             name="Max drawdown date",
             dtype="datetime64[ns]",
-        ).dt.date
+        ).dt.date  # type: ignore[attr-defined]
+        return cast("Series[dt.date]", date_series)
 
     @property
     def worst(self: Self) -> SeriesOrFloat_co:
@@ -581,7 +595,9 @@ class _CommonModel(BaseModel, Generic[SeriesOrFloat_co]):
 
     @property
     def skew(self: Self) -> SeriesOrFloat_co:
-        """https://www.investopedia.com/terms/s/skewness.asp.
+        """Skew of the return distribution.
+
+        Reference: https://www.investopedia.com/terms/s/skewness.asp.
 
         Returns:
         --------
@@ -595,7 +611,9 @@ class _CommonModel(BaseModel, Generic[SeriesOrFloat_co]):
 
     @property
     def kurtosis(self: Self) -> SeriesOrFloat_co:
-        """https://www.investopedia.com/terms/k/kurtosis.asp.
+        """Kurtosis of the return distribution.
+
+        Reference: https://www.investopedia.com/terms/k/kurtosis.asp.
 
         Returns:
         --------
@@ -609,7 +627,9 @@ class _CommonModel(BaseModel, Generic[SeriesOrFloat_co]):
 
     @property
     def cvar_down(self: Self) -> SeriesOrFloat_co:
-        """https://www.investopedia.com/terms/c/conditional_value_at_risk.asp.
+        """Downside 95% Conditional Value At Risk "CVaR".
+
+        Reference: https://www.investopedia.com/terms/c/conditional_value_at_risk.asp.
 
         Returns:
         --------

{openseries-2.0.3 → openseries-2.1.1}/openseries/_risk.py

@@ -23,7 +23,7 @@ def _cvar_down_calc(
 ) -> float:
     """Calculate downside Conditional Value at Risk (CVaR).
 
-    https://www.investopedia.com/terms/c/conditional_value_at_risk.asp.
+    Reference: https://www.investopedia.com/terms/c/conditional_value_at_risk.asp.
 
     Args:
         data: The data to perform the calculation over.
@@ -48,8 +48,9 @@ def _var_down_calc(
 ) -> float:
     """Calculate downside Value At Risk (VaR).
 
-    The equivalent of percentile.inc([...], 1-level) over returns in MS Excel
-    https://www.investopedia.com/terms/v/var.asp.
+    The equivalent of percentile.inc([...], 1-level) over returns in MS Excel.
+
+    Reference: https://www.investopedia.com/terms/v/var.asp.
 
     Args:
         data: The data to perform the calculation over.