skfolio 0.0.10__py3-none-any.whl → 0.1.0__py3-none-any.whl

skfolio/prior/_factor_model.py

@@ -1,7 +1,12 @@
 """Factor Model estimator"""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# Implementation derived from:
+# Riskfolio-Lib, Copyright (c) 2020-2023, Dany Cajas, Licensed under BSD 3 clause.
+# scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
+# Grisel Licensed under BSD 3 clause.
 
 from abc import ABC, abstractmethod
 

skfolio/typing.py

@@ -1,5 +1,6 @@
 """Custom typing module."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
 

skfolio/uncertainty_set/_base.py

@@ -1,5 +1,6 @@
 """Base Uncertainty estimator"""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
 

skfolio/uncertainty_set/_bootstrap.py

@@ -1,7 +1,12 @@
 """Bootstrap Uncertainty Set estimators."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# Implementation derived from:
+# Riskfolio-Lib, Copyright (c) 2020-2023, Dany Cajas, Licensed under BSD 3 clause.
+# scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
+# Grisel Licensed under BSD 3 clause.
 
 import numpy as np
 import numpy.typing as npt

skfolio/uncertainty_set/_empirical.py

@@ -1,7 +1,12 @@
 """Empirical Uncertainty Set estimators."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# Implementation derived from:
+# Riskfolio-Lib, Copyright (c) 2020-2023, Dany Cajas, Licensed under BSD 3 clause.
+# scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
+# Grisel Licensed under BSD 3 clause.
 
 import numpy as np
 import numpy.typing as npt

skfolio/utils/bootstrap.py

@@ -1,7 +1,10 @@
 """Bootstrap module."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# Implementation derived from:
+# Riskfolio-Lib, Copyright (c) 2020-2023, Dany Cajas, Licensed under BSD 3 clause.
 
 import numpy as np
 

skfolio/utils/equations.py

@@ -1,5 +1,6 @@
 """Equation module"""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
 

skfolio/utils/fixes/__init__.py

@@ -0,0 +1,3 @@
+from skfolio.utils.fixes._dendrogram import create_dendrogram
+
+__all__ = ["create_dendrogram"]

skfolio/utils/fixes/_dendrogram.py

@@ -0,0 +1,389 @@
+"""Compatibility fixes for plotly"""
+
+# Fixes of the create_dendrogram plotly function until
+# https://github.com/plotly/plotly.py/pull/4487 is corrected
+
+from collections import OrderedDict
+
+import numpy as np
+import scipy.cluster.hierarchy as sch
+import scipy.spatial as scs
+from plotly import exceptions
+from plotly.graph_objs import graph_objs
+
+
+def create_dendrogram(
+    X,
+    orientation="bottom",
+    labels=None,
+    colorscale=None,
+    distfun=None,
+    linkagefun=lambda x: sch.linkage(x, "complete"),
+    hovertext=None,
+    color_threshold=None,
+):
+    """
+    Function that returns a dendrogram Plotly figure object. This is a thin
+    wrapper around scipy.cluster.hierarchy.dendrogram.
+
+    See also https://dash.plot.ly/dash-bio/clustergram.
+
+    :param (ndarray) X: Matrix of observations as array of arrays
+    :param (str) orientation: 'top', 'right', 'bottom', or 'left'
+    :param (list) labels: List of axis category labels(observation labels)
+    :param (list) colorscale: Optional colorscale for the dendrogram tree.
+                              Requires 8 colors to be specified, the 7th of
+                              which is ignored.  With scipy>=1.5.0, the 2nd, 3rd
+                              and 6th are used twice as often as the others.
+                              Given a shorter list, the missing values are
+                              replaced with defaults and with a longer list the
+                              extra values are ignored.
+    :param (function) distfun: Function to compute the pairwise distance from
+                               the observations
+    :param (function) linkagefun: Function to compute the linkage matrix from
+                               the pairwise distances
+    :param (list[list]) hovertext: List of hovertext for constituent traces of dendrogram
+                               clusters
+    :param (double) color_threshold: Value at which the separation of clusters will be made
+
+    Example 1: Simple bottom oriented dendrogram
+
+    >>> from plotly.figure_factory import create_dendrogram
+
+    >>> import numpy as np
+
+    >>> X = np.random.rand(10,10)
+    >>> fig = create_dendrogram(X)
+    >>> fig.show()
+
+    Example 2: Dendrogram to put on the left of the heatmap
+
+    >>> from plotly.figure_factory import create_dendrogram
+
+    >>> import numpy as np
+
+    >>> X = np.random.rand(5,5)
+    >>> names = ['Jack', 'Oxana', 'John', 'Chelsea', 'Mark']
+    >>> dendro = create_dendrogram(X, orientation='right', labels=names)
+    >>> dendro.update_layout({'width':700, 'height':500}) # doctest: +SKIP
+    >>> dendro.show()
+
+    Example 3: Dendrogram with Pandas
+
+    >>> from plotly.figure_factory import create_dendrogram
+
+    >>> import numpy as np
+    >>> import pandas as pd
+
+    >>> Index= ['A','B','C','D','E','F','G','H','I','J']
+    >>> df = pd.DataFrame(abs(np.random.randn(10, 10)), index=Index)
+    >>> fig = create_dendrogram(df, labels=Index)
+    >>> fig.show()
+    """
+
+    s = X.shape
+    if len(s) != 2:
+        exceptions.PlotlyError("X should be 2-dimensional array.")
+
+    if distfun is None:
+        distfun = scs.distance.pdist
+
+    dendrogram = _Dendrogram(
+        X,
+        orientation,
+        labels,
+        colorscale,
+        distfun=distfun,
+        linkagefun=linkagefun,
+        hovertext=hovertext,
+        color_threshold=color_threshold,
+    )
+
+    return graph_objs.Figure(data=dendrogram.data, layout=dendrogram.layout)
+
+
+class _Dendrogram:
+    """Refer to FigureFactory.create_dendrogram() for docstring."""
+
+    def __init__(
+        self,
+        X,
+        orientation="bottom",
+        labels=None,
+        colorscale=None,
+        width=np.inf,
+        height=np.inf,
+        xaxis="xaxis",
+        yaxis="yaxis",
+        distfun=None,
+        linkagefun=lambda x: sch.linkage(x, "complete"),
+        hovertext=None,
+        color_threshold=None,
+    ):
+        self.orientation = orientation
+        self.labels = labels
+        self.xaxis = xaxis
+        self.yaxis = yaxis
+        self.data = []
+        self.leaves = []
+        self.sign = {self.xaxis: 1, self.yaxis: 1}
+        self.layout = {self.xaxis: {}, self.yaxis: {}}
+
+        if self.orientation in ["left", "bottom"]:
+            self.sign[self.xaxis] = 1
+        else:
+            self.sign[self.xaxis] = -1
+
+        if self.orientation in ["right", "bottom"]:
+            self.sign[self.yaxis] = 1
+        else:
+            self.sign[self.yaxis] = -1
+
+        if distfun is None:
+            distfun = scs.distance.pdist
+
+        (dd_traces, xvals, yvals, ordered_labels, leaves) = self.get_dendrogram_traces(
+            X, colorscale, distfun, linkagefun, hovertext, color_threshold
+        )
+
+        self.labels = ordered_labels
+        self.leaves = leaves
+        yvals_flat = yvals.flatten()
+        xvals_flat = xvals.flatten()
+
+        self.zero_vals = []
+
+        for i in range(len(yvals_flat)):
+            if yvals_flat[i] == 0.0 and xvals_flat[i] not in self.zero_vals:
+                self.zero_vals.append(xvals_flat[i])
+
+        if len(self.zero_vals) > len(yvals) + 1:
+            # If the length of zero_vals is larger than the length of yvals,
+            # it means that there are wrong vals because of the identicial samples.
+            # Three and more identicial samples will make the yvals of spliting
+            # center into 0 and it will accidentally take it as leaves.
+            l_border = int(min(self.zero_vals))
+            r_border = int(max(self.zero_vals))
+            correct_leaves_pos = range(
+                l_border, r_border + 1, int((r_border - l_border) / len(yvals))
+            )
+            # Regenerating the leaves pos from the self.zero_vals with equally intervals.
+            self.zero_vals = [v for v in correct_leaves_pos]
+
+        self.zero_vals.sort()
+        self.layout = self.set_figure_layout(width, height)
+        self.data = dd_traces
+
+    def get_color_dict(self, colorscale):
+        """
+        Returns colorscale used for dendrogram tree clusters.
+
+        :param (list) colorscale: Colors to use for the plot in rgb format.
+        :rtype (dict): A dict of default colors mapped to the user colorscale.
+
+        """
+
+        # These are the color codes returned for dendrograms
+        # We're replacing them with nicer colors
+        # This list is the colors that can be used by dendrogram, which were
+        # determined as the combination of the default above_threshold_color and
+        # the default color palette (see scipy/cluster/hierarchy.py)
+        d = {
+            "r": "red",
+            "g": "green",
+            "b": "blue",
+            "c": "cyan",
+            "m": "magenta",
+            "y": "yellow",
+            "k": "black",
+            # palette in scipy/cluster/hierarchy.py
+            "w": "white",
+        }
+        default_colors = OrderedDict(sorted(d.items(), key=lambda t: t[0]))
+
+        if colorscale is None:
+            rgb_colorscale = [
+                "rgb(0,116,217)",  # blue
+                "rgb(35,205,205)",  # cyan
+                "rgb(61,153,112)",  # green
+                "rgb(40,35,35)",  # black
+                "rgb(133,20,75)",  # magenta
+                "rgb(255,65,54)",  # red
+                "rgb(255,255,255)",  # white
+                "rgb(255,220,0)",  # yellow
+            ]
+        else:
+            rgb_colorscale = colorscale
+
+        for i in range(len(default_colors.keys())):
+            k = list(default_colors.keys())[i]  # PY3 won't index keys
+            if i < len(rgb_colorscale):
+                default_colors[k] = rgb_colorscale[i]
+
+        # add support for cyclic format colors as introduced in scipy===1.5.0
+        # before this, the colors were named 'r', 'b', 'y' etc., now they are
+        # named 'C0', 'C1', etc. To keep the colors consistent regardless of the
+        # scipy version, we try as much as possible to map the new colors to the
+        # old colors
+        # this mapping was found by inpecting scipy/cluster/hierarchy.py (see
+        # comment above).
+        new_old_color_map = [
+            ("C0", "b"),
+            ("C1", "g"),
+            ("C2", "r"),
+            ("C3", "c"),
+            ("C4", "m"),
+            ("C5", "y"),
+            ("C6", "k"),
+            ("C7", "g"),
+            ("C8", "r"),
+            ("C9", "c"),
+        ]
+        for nc, oc in new_old_color_map:
+            try:
+                default_colors[nc] = default_colors[oc]
+            except KeyError:
+                # it could happen that the old color isn't found (if a custom
+                # colorscale was specified), in this case we set it to an
+                # arbitrary default.
+                default_colors[nc] = "rgb(0,116,217)"
+
+        return default_colors
+
+    def set_axis_layout(self, axis_key):
+        """
+        Sets and returns default axis object for dendrogram figure.
+
+        :param (str) axis_key: E.g., 'xaxis', 'xaxis1', 'yaxis', yaxis1', etc.
+        :rtype (dict): An axis_key dictionary with set parameters.
+
+        """
+        axis_defaults = {
+            "type": "linear",
+            "ticks": "outside",
+            "mirror": "allticks",
+            "rangemode": "tozero",
+            "showticklabels": True,
+            "zeroline": False,
+            "showgrid": False,
+            "showline": True,
+        }
+
+        if len(self.labels) != 0:
+            axis_key_labels = self.xaxis
+            if self.orientation in ["left", "right"]:
+                axis_key_labels = self.yaxis
+            if axis_key_labels not in self.layout:
+                self.layout[axis_key_labels] = {}
+            self.layout[axis_key_labels]["tickvals"] = [
+                zv * self.sign[axis_key] for zv in self.zero_vals
+            ]
+            self.layout[axis_key_labels]["ticktext"] = self.labels
+            self.layout[axis_key_labels]["tickmode"] = "array"
+
+        self.layout[axis_key].update(axis_defaults)
+
+        return self.layout[axis_key]
+
+    def set_figure_layout(self, width, height):
+        """
+        Sets and returns default layout object for dendrogram figure.
+
+        """
+        self.layout.update({
+            "showlegend": False,
+            "autosize": False,
+            "hovermode": "closest",
+            "width": width,
+            "height": height,
+        })
+
+        self.set_axis_layout(self.xaxis)
+        self.set_axis_layout(self.yaxis)
+
+        return self.layout
+
+    def get_dendrogram_traces(
+        self, X, colorscale, distfun, linkagefun, hovertext, color_threshold
+    ):
+        """
+        Calculates all the elements needed for plotting a dendrogram.
+
+        :param (ndarray) X: Matrix of observations as array of arrays
+        :param (list) colorscale: Color scale for dendrogram tree clusters
+        :param (function) distfun: Function to compute the pairwise distance
+                                   from the observations
+        :param (function) linkagefun: Function to compute the linkage matrix
+                                      from the pairwise distances
+        :param (list) hovertext: List of hovertext for constituent traces of dendrogram
+        :rtype (tuple): Contains all the traces in the following order:
+            (a) trace_list: List of Plotly trace objects for dendrogram tree
+            (b) icoord: All X points of the dendrogram tree as array of arrays
+                with length 4
+            (c) dcoord: All Y points of the dendrogram tree as array of arrays
+                with length 4
+            (d) ordered_labels: leaf labels in the order they are going to
+                appear on the plot
+            (e) P['leaves']: left-to-right traversal of the leaves
+
+        """
+        d = distfun(X)
+        Z = linkagefun(d)
+        P = sch.dendrogram(
+            Z,
+            orientation=self.orientation,
+            labels=self.labels,
+            no_plot=True,
+            color_threshold=color_threshold,
+        )
+
+        icoord = np.array(P["icoord"])
+        dcoord = np.array(P["dcoord"])
+        ordered_labels = np.array(P["ivl"])
+        color_list = np.array(P["color_list"])
+        colors = self.get_color_dict(colorscale)
+
+        trace_list = []
+
+        for i in range(len(icoord)):
+            # xs and ys are arrays of 4 points that make up the '∩' shapes
+            # of the dendrogram tree
+            if self.orientation in ["top", "bottom"]:
+                xs = icoord[i]
+            else:
+                xs = dcoord[i]
+
+            if self.orientation in ["top", "bottom"]:
+                ys = dcoord[i]
+            else:
+                ys = icoord[i]
+            color_key = color_list[i]
+            hovertext_label = None
+            if hovertext:
+                hovertext_label = hovertext[i]
+            trace = dict(
+                type="scatter",
+                x=np.multiply(self.sign[self.xaxis], xs),
+                y=np.multiply(self.sign[self.yaxis], ys),
+                mode="lines",
+                marker=dict(color=colors[color_key]),
+                text=hovertext_label,
+                hoverinfo="text",
+            )
+
+            try:
+                x_index = int(self.xaxis[-1])
+            except ValueError:
+                x_index = ""
+
+            try:
+                y_index = int(self.yaxis[-1])
+            except ValueError:
+                y_index = ""
+
+            trace["xaxis"] = "x" + x_index
+            trace["yaxis"] = "y" + y_index
+
+            trace_list.append(trace)
+
+        return trace_list, icoord, dcoord, ordered_labels, P["leaves"]

skfolio/utils/sorting.py

@@ -1,5 +1,6 @@
 """Fast non-dominated sorting module"""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
 

skfolio/utils/stats.py

@@ -1,8 +1,11 @@
 """Tools module"""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
-
+# Implementation derived from:
+# Riskfolio-Lib, Copyright (c) 2020-2023, Dany Cajas, Licensed under BSD 3 clause.
+# Statsmodels, Copyright (C) 2006, Jonathan E. Taylor, Licensed under BSD 3 clause.
 
 from enum import auto
 

skfolio/utils/tools.py

@@ -1,7 +1,11 @@
 """Tools module"""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# Implementation derived from:
+# scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
+# Grisel Licensed under BSD 3 clause.
 
 from collections.abc import Callable, Iterator
 from enum import Enum

{skfolio-0.0.10.dist-info → skfolio-0.1.0.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: skfolio
-Version: 0.0.10
+Version: 0.1.0
 Summary: Portfolio optimization built on top of scikit-learn
 Author-email: Hugo Delatte <delatte.hugo@gmail.com>
 Maintainer-email: Hugo Delatte <delatte.hugo@gmail.com>
@@ -37,7 +37,7 @@ Project-URL: API Reference, https://www.skfolio.org/api_reference.html
 Project-URL: Documentation, https://www.skfolio.org
 Project-URL: Tutorials, https://www.skfolio.org
 Project-URL: Repository, https://github.com/skfolio/skfolio
-Keywords: portfolio,optimization,optimisation,finance,asset,allocation,quantitative,quant,investment,startegy,machine-learning,scikit-learn,data-mining,data-science
+Keywords: portfolio,optimization,optimisation,finance,asset,allocation,quantitative,quant,investment,strategy,machine-learning,scikit-learn,data-mining,data-science
 Classifier: Intended Audience :: Developers
 Classifier: Intended Audience :: Science/Research
 Classifier: Intended Audience :: Financial and Insurance Industry
@@ -85,12 +85,12 @@ Requires-Dist: ruff ; extra == 'tests'
 
 .. -*- mode: rst -*-
 
-|Licence|_ |Codecov|_ |Black|_ |PythonVersion|_ |PyPi|_ |CI/CD|_
+|Licence|_ |Codecov|_ |Black|_ |PythonVersion|_ |PyPi|_ |CI/CD|_ |Downloads|_ |Ruff|_ |Contribution|_ |Website|_
 
 .. |Licence| image:: https://img.shields.io/badge/License-BSD%203--Clause-blue.svg
 .. _Licence: https://github.com/skfolio/skfolio/blob/main/LICENSE
 
-.. |Codecov| image:: https://codecov.io/gh/skfolio/skfolio/branch/main/graph/badge.svg
+.. |Codecov| image:: https://codecov.io/gh/skfolio/skfolio/graph/badge.svg?token=KJ0SE4LHPV
 .. _Codecov: https://codecov.io/gh/skfolio/skfolio
 
 .. |PythonVersion| image:: https://img.shields.io/badge/python-3.10%20%7C%203.11%20%7C%203.12-blue
@@ -105,6 +105,17 @@ Requires-Dist: ruff ; extra == 'tests'
 .. |CI/CD| image:: https://img.shields.io/github/actions/workflow/status/skfolio/skfolio/release.yml?logo=github
 .. _CI/CD: https://github.com/skfolio/skfolio/raw/main/LICENSE
 
+.. |Downloads| image:: https://static.pepy.tech/badge/skfolio
+.. _Downloads: https://pepy.tech/project/skfolio
+
+.. |Ruff| image:: https://img.shields.io/endpoint?url=https://raw.githubusercontent.com/astral-sh/ruff/main/assets/badge/v2.json
+.. _Ruff: https://github.com/astral-sh/ruff
+
+.. |Contribution| image:: https://img.shields.io/badge/Contributions-Welcome-blue
+.. _Contribution: https://github.com/skfolio/skfolio/blob/main/CONTRIBUTING.md
+
+.. |Website| image:: https://img.shields.io/website-up-down-53cc0d-red/http/skfolio.org
+.. _Website: https://skfolio.org
 
 .. |PythonMinVersion| replace:: 3.10
 .. |NumpyMinVersion| replace:: 1.23.4
@@ -119,7 +130,7 @@ Requires-Dist: ruff ; extra == 'tests'
 ===============
 |icon|  skfolio
 ===============
-.. |icon| image:: https://raw.githubusercontent.com/skfolio/skfolio/master/docs/_static/favicon.png
+.. |icon| image:: https://raw.githubusercontent.com/skfolio/skfolio/master/docs/_static/logo_animate.svg
     :width: 100
     :alt: skfolio documentation
     :target: https://skfolio.org/
@@ -465,7 +476,7 @@ Randomized Search of the L2 Norm
 
     randomized_search = RandomizedSearchCV(
         estimator=MeanRisk(),
-        cv=WalkForward(train_size=255, test_size=60),
+        cv=WalkForward(train_size=252, test_size=60),
         param_distributions={
             "l2_coef": loguniform(1e-3, 1e-1),
         },
@@ -634,7 +645,7 @@ If you use `skfolio` in a scientific publication, we would appreciate citations:
 Bibtex entry::
 
     @misc{skfolio,
-          author = {Hugo Delatte},
+          author = {Hugo Delatte, Carlo Nicolini},
           title = {skfolio},
           year  = {2023},
           url   = {https://github.com/skfolio/skfolio}

skfolio-0.1.0.dist-info/RECORD

@@ -0,0 +1,81 @@
+skfolio/__init__.py,sha256=5pn5LpTz6v2j2sxGkY97cVRrSPsN3Yav9b6Uw08boEI,618
+skfolio/exceptions.py,sha256=-XniKql9QHgfitMgHsE9UXWVPdjWpNGO2dVk2SsdPWE,662
+skfolio/typing.py,sha256=yEZiCZ6UIyfYUqtfj9Kf2KA9mrjUbmxyzpH9uqVboJs,1378
+skfolio/cluster/__init__.py,sha256=4g-PFB_ld9BhiQ1ZPvvAorpFbRwd_p_DkeRlulDv2Hk,251
+skfolio/cluster/_hierarchical.py,sha256=SoISGgdyq4Rgqq1_TCzMbLv69c8a2Q91j_s9-jqaB3E,12817
+skfolio/datasets/__init__.py,sha256=9Tpf0Uj8wgr-g7xqvqQP4S4TUYDUNmNmK8t6lqBw2Fs,407
+skfolio/datasets/_base.py,sha256=GYvblFzTyfTs-Tij20FKWgVDCIT1n7y4uwx4TkZzdHc,13915
+skfolio/datasets/data/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
+skfolio/datasets/data/factors_dataset.csv.gz,sha256=brCJlT25DJo40yg1gnUXAakNtvWZZYR_1ksFeN5JcWE,36146
+skfolio/datasets/data/sp500_dataset.csv.gz,sha256=7iHKwovvsdCnOanOsiGE-ZU5RyaqDP3pohlB0awErA0,426065
+skfolio/datasets/data/sp500_index.csv.gz,sha256=iUw0QxwoT4aqZKRn4Xbio8m2l8hX65qzUAbC3VXT_fI,41898
+skfolio/distance/__init__.py,sha256=vpdmjFlJeI0AvPV3r5tp2zooAG4N9ihCwPlaqqdVj1w,547
+skfolio/distance/_base.py,sha256=jBgRk6lZrP1woSI9541fTfxBBkp4WCTLlRPmWcmA3j4,1326
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