|
4 | 4 | Ultra-minimal, maximum performance WQ-style factor expressions. |
5 | 5 | Built on Polars for lightning-fast factor research. |
6 | 6 |
|
7 | | -Author: Phantom Management |
| 7 | +Author: quantbai |
8 | 8 | """ |
9 | 9 |
|
10 | | -__version__ = "0.1.0" |
11 | | -__author__ = "Phantom Management" |
| 10 | +__version__ = "0.1.1" |
| 11 | +__author__ = "quantbai" |
12 | 12 |
|
13 | | -from .core import ( |
14 | | - Factor, |
15 | | - load, |
16 | | - lf, |
17 | | - col, |
18 | | - collect, |
19 | | - collect_all, |
20 | | - to_csv, |
21 | | - to_pandas, |
22 | | -) |
| 13 | +from .core import Factor |
| 14 | +from .io import load, Panel, PanelInfo |
23 | 15 |
|
24 | 16 | from .ops import ( |
25 | | - add, sub, mul, div, reverse, |
| 17 | + add, subtract, multiply, divide, reverse, |
26 | 18 |
|
27 | 19 | ts_delay, ts_delta, ts_mean, ts_sum, ts_std_dev, |
28 | 20 | ts_min, ts_max, ts_median, ts_rank, ts_skewness, ts_kurtosis, |
29 | 21 | ts_zscore, ts_corr, ts_covariance, ts_product, |
30 | 22 | ts_arg_max, ts_arg_min, ts_decay_linear, ts_av_diff, ts_scale, |
31 | | - ts_var, ts_quantile_val, ts_cv, ts_autocorr, |
32 | | - ts_return, ts_log_return, ts_pct_change, |
33 | | - ts_count_nulls, ts_step, |
34 | | - ts_ewm_mean, ts_ewm_std, ts_ewm_var, |
| 23 | + ts_quantile, ts_cv, ts_autocorr, |
| 24 | + ts_count_nans, |
35 | 25 |
|
36 | | - rank, zscore, mean, median, sum_, std, |
| 26 | + rank, zscore, mean, median, |
37 | 27 | scale, normalize, quantile, spread, signal, |
38 | 28 |
|
39 | | - log, ln, sqrt, abs_, sign, power, signed_power, |
| 29 | + log, ln, sqrt, sign, power, signed_power, |
40 | 30 | inverse, s_log_1p, maximum, minimum, where, |
41 | | - clip, nan_to_value, fill_null, |
42 | 31 |
|
43 | | - vector_neut, regression_neut, demean, market_neut, |
44 | | - group_demean, group_rank, group_zscore, group_scale, |
45 | | - group_normalize, winsorize, mad_winsorize, |
| 32 | + vector_neut, regression_neut, |
| 33 | + group_neutralize, group_rank, group_zscore, group_scale, |
| 34 | + group_normalize, |
46 | 35 | ) |
47 | 36 |
|
48 | 37 | __all__ = [ |
49 | 38 | "__version__", |
50 | 39 | "__author__", |
51 | 40 | "Factor", |
52 | | - "load", "lf", "col", "collect", "collect_all", "to_csv", "to_pandas", |
| 41 | + "load", "Panel", "PanelInfo", |
53 | 42 |
|
54 | | - "add", "sub", "mul", "div", "reverse", |
| 43 | + "add", "subtract", "multiply", "divide", "reverse", |
55 | 44 |
|
56 | 45 | "ts_delay", "ts_delta", "ts_mean", "ts_sum", "ts_std_dev", |
57 | 46 | "ts_min", "ts_max", "ts_median", "ts_rank", "ts_skewness", "ts_kurtosis", |
58 | 47 | "ts_zscore", "ts_corr", "ts_covariance", "ts_product", |
59 | 48 | "ts_arg_max", "ts_arg_min", "ts_decay_linear", "ts_av_diff", "ts_scale", |
60 | | - "ts_var", "ts_quantile_val", "ts_cv", "ts_autocorr", |
61 | | - "ts_return", "ts_log_return", "ts_pct_change", |
62 | | - "ts_count_nulls", "ts_step", |
63 | | - "ts_ewm_mean", "ts_ewm_std", "ts_ewm_var", |
| 49 | + "ts_quantile", "ts_cv", "ts_autocorr", |
| 50 | + "ts_count_nans", |
64 | 51 |
|
65 | | - "rank", "zscore", "mean", "median", "sum_", "std", |
| 52 | + "rank", "zscore", "mean", "median", |
66 | 53 | "scale", "normalize", "quantile", "spread", "signal", |
67 | 54 |
|
68 | | - "log", "ln", "sqrt", "abs_", "sign", "power", "signed_power", |
| 55 | + "log", "ln", "sqrt", "sign", "power", "signed_power", |
69 | 56 | "inverse", "s_log_1p", "maximum", "minimum", "where", |
70 | | - "clip", "nan_to_value", "fill_null", |
71 | 57 |
|
72 | | - "vector_neut", "regression_neut", "demean", "market_neut", |
73 | | - "group_demean", "group_rank", "group_zscore", "group_scale", |
74 | | - "group_normalize", "winsorize", "mad_winsorize", |
| 58 | + "vector_neut", "regression_neut", |
| 59 | + "group_neutralize", "group_rank", "group_zscore", "group_scale", |
| 60 | + "group_normalize", |
75 | 61 | ] |
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