Changelog
0.9.1 2024-01-10
[Bug] #92: Released a new version because of pypi version was wrong
0.8.1 2022-07-25
[Support] #91: NA
0.8.0 2022-06-28
[Support] #78: Bump dependencies.
0.7.0 2022-07-04
[Feature] #68: Added Johansen Eigenvector, Box-Tiao Canonical Decomposition, Minimum ADF Test T-statistic methods to Hedge Ratios Module.
[Feature] #68: Updated Hedge Ratios Module to work with any type of spread (3-leg, N-leg spread).
[Feature] #68: Updated Cointegration Pairs Selection Module to work with any type of spread (3-leg, N-leg spread).
[Feature] #70: Updated requirements versions to the newest stable numpy, pandas etc.
[Feature] #72: Created a separate Multivariate Cointegration Trading Strategy in the Trading Strategies Module.
[Feature] #72: Created a separate Minimum Profit Trading Strategy in the Trading Strategies Module.
[Feature] #72: Added Bollinger Band Strategy to the Trading Strategies Module.
[Feature] #72: Created a separate Mispricing Index Copula Trading Strategy in the Trading Strategies Module.
[Feature] #73: Created a separate Basic Copula Trading Strategy in the Trading Strategies Module.
[Feature] #73: Refactored all Copulas to allow independent use and fitting in the Copula Approach Module.
[Bug] #69: Fixed SCS package version breaking Sparse MR Module.
[Bug] #70: Fixed package breaking due to faulty werkzeug version.
[Support] #66: Added presentation slides and videos to documentation.
[Support] #67: Added blog post links to documentation.
[Support] #68: Reflected changes to Hedge Ratios Module in the documentation.
[Support] #68: Added Spread Selection Tools Module to the documentation.
[Support] #71: Added UML Diagram for debugging to documentation.
[Support] #71: Added Raw Docs for debugging to documentation.
[Support] #72: Added Multivariate Cointegration Trading Strategy documentation.
[Support] #72: Added Minimum Profit Trading Strategy documentation.
[Support] #72: Added Bollinger Band Strategy documentation.
[Support] #72: Added Mispricing Index Copula Trading Strategy documentation.
[Support] #72: Added Basic Copula Trading Strategy documentation.
[Support] #72: Adjusted Copula Approach Module documentation.
[Support] #73: Moved research notebooks to .zip format for distribution.
0.6.0 2021-11-15
[Feature] #51: OU Optimal Threshold Model Zeng added to the Time Series Approach Module.
[Feature] #51: OU Optimal Threshold Model Bertram added to the Time Series Approach Module.
[Feature] #54: Markov Regime-Switching Model added to the Time Series Approach Module.
[Feature] #55: Scaling function for cointegration vectors added to the Cointegration Approach Module.
[Feature] #56: H-Strategy (Renko and Kagi) Model added to the Time Series Approach Module.
[Bug] #60: Fix unit tests not passing due to cvxpy bad installs.
[Support] #51: Updated requirements - new package (mpmath==1.2.1).
[Support] #51: OU Optimal Threshold Model Zeng documentation.
[Support] #51: OU Optimal Threshold Model Bertram documentation.
[Support] #54: Markov Regime-Switching Model documentation.
[Support] #56: H-Strategy (Renko and Kagi) Model documentation.
0.5.0 2021-04-15
[Feature] #49: Cointegration and OU Model Tear Sheets added to the Visualization Module.
[Feature] #46: Optimal Convergence Model added to the Stochastic Control Approach Module.
[Feature] #45: Pearson Strategy added to the Distance Approach Module.
[Feature] #48: Hedge Ratio Estimation Module added with OLS, TLS, and Minimum HL Methods.
[Feature] #48: ML Approach Pairs Selection Module made more flexible - clustering and selection steps are now separate.
[Bug] #48: Fixed bug in ML Approach Pairs Selector hedge ratio calculation (previously had included intercept).
[Bug] #52: Fixed issue with too many function calls in web analytics.
[Support] #50: Updated documentation theme to hudsonthames-sphinx-docs.
[Support] #49: Cointegration and OU Model Tear Sheets documentation.
[Support] #46: Optimal Convergence Model documentation.
[Support] #45: Pearson Strategy documentation.
[Support] #48: Hedge Ratio Estimation Module documentation.
[Support] #48: ML Approach Pairs Selection Module documentation updated.
0.4.1 2021-04-15
[Feature] #40: Vine Copula Partner Selection Approaches added to the Copula Approach Module.
[Feature] #42: Options to sort pairs by zero-crossings, variance, same industry group added to the Basic Distance Strategy.
[Feature] #44: CVine Copula and CVine Copula Strategy added to the Copula Approach Module.
[Feature] #43: OU Model Jurek and OU Model Mudchanatongsuk added to the Stochastic Control Approach Module.
[Support] #40: Vine Copula Partner Selection Approaches documentation.
[Support] #42: Updated Basic Distance Strategy documentation.
[Support] #44: CVine Copula and CVine Copula Strategy documentation.
[Support] #43: OU Model Jurek and OU Model Mudchanatongsuk documentation.
0.3.1 2021-02-19
[Support] #38: Removed TensorFlow from requirements and adjusted installation guide.
0.3.0 2021-02-16
[Feature] #26: Multivariate Cointegration strategy (Galenko et al. 2010) added to the Cointegration Approach Module.
[Feature] #28: Quick Pairs Selection and ECDF added to the Copula Approach Module.
[Feature] #28: Mispricing Index Trading Strategy added to the Copula Approach Module.
[Feature] #28: Support of Clayton-Frank-Gumbel and Clayton-Student-Gumbel mixed copulas added to the Copula Approach Module.
[Feature] #28: CopulaStrategy replaced with improved BasicCopulaStrategy in the Copula Approach Module.
[Feature] #25: Futures Rollover added to the Data Module.
[Feature] #25: Spread Modeling using Neural Networks, Filters and Fair Value Model added to the ML Approach Module.
[Feature] #33: Sparse Mean-Reverting Portfolios Model added to the Cointegration Approach Module.
[Bug] #34: Data Importer, Distance Approach, ML Approach modules imports were not exposed.
[Support] #35: Moved package to python version 3.8.
[Support] #35: Updated requirements versions (numpy==1.20.1, matplotlib==3.2.2 pandas==1.1.5, scikit-learn==0.24.1, scipy==1.6.0, statsmodels==0.12.2).
[Support] #26: Multivariate Cointegration strategy documentation.
[Support] #28: Equity Curve Convention documentation.
[Support] #28: Mispricing Index Trading Strategy, Quick Pairs Selection and ECDF documentation.
[Support] #28: Updated Copula Brief Intro and added Copula Deeper Intro to documentation.
[Support] #25: Updated requirements - new packages (keras==2.3.1, tensorflow==2.2.1, arch==4.16.1).
[Support] #25: Futures Rollover documentation.
[Support] #25: Spread Modeling, Filters and Fair Value Model documentation.
[Support] #33: Installation guide for Windows updated (cvxpy from conda).
[Support] #35: Updated requirements - new package (cvxpy==1.1.10).
[Support] #33: Sparse Mean-Reverting Portfolios Model documentation.
0.2.2 2020-12-24
[Bug] #32: Copulas module imports were not exposed.
0.2.1 2020-12-22
[Bug] #Hot: Error with environment variables.
0.2.0 2020-12-14
[Feature] #27: CIR-model to the Optimal Mean Reversion module added.
[Feature] #24: Quantile Time Series Strategy (SM Sarmento, N Horta, 2020) and Auto ARIMA model added.
[Feature] #23: Heat potential approach module added.
[Feature] #22: XOU-model to the Optimal Mean Reversion module added.
[Feature] #19: Cointegrated time series simulation module added (Lin et al. 2006): Simulate cointegrated series that follows AR(1) dynamics.
[Feature] #19: Minimum profit optimization module added (Lin et al. 2006, Puspaningrum et al. 2010): Finding optimal pre-set boundaries for cointegrated pairs trading strategy.
[Feature] #8: Copulas supported: Gumbel, Frank, Clayton, Joe, N13, N14, Gaussian, Student(Student-t).
[Feature] #8: Copula strategy added (Liew et al. 2013): Log price (or equivalently, cumulative log returns) based copula strategy.
[Feature] #5: ML Based Pairs Selection (Horta, 2020) and Data Importer added.
[Support] #27: CIR-model documentation.
[Support] #24: Quantile Time Series Strategy and Auto ARIMA model documentation.
[Support] #23: Heat potential approach documentation.
[Support] #22: XOU-model documentation.
[Support] #19: Cointegrated time series simulation documentation.
[Support] #19: Minimum profit optimization documentation for cointegrated pairs trading strategy.
[Support] #8: Copula strategy documentation (Liew et al. 2013) for log price based copula strategy.
[Support] #5: ML Based Pairs Selection and Data Importer documentation.
0.1.0 2020-11-18
[Feature] #16: OU-model to the Optimal Mean Reversion module added.
[Feature] #15: Codependence module added.
[Feature] #14: Landmark paper: The Distance Approach (Gatev et al. 2006).
[Feature] #4: Landmark paper: PCA Approach (Avellaneda and Lee, 2010)
[Feature] #3: Linear & Bollinger Band strategy by EP Chan.
[Feature] #3: Method for Half-Life of mean reverting process.
[Feature] #3: Landmark techniques: Engle Granger and Johansen tests for co-integration.
[Feature] #2: Kalman Filter + Kalman strategy added.
[Support] #20: Add install documentation and test on OS/Ubuntu/Windows.
[Support] #17: Added Licence, ReadMe, and RoadMap
[Support] #16: OU-model documentation.
[Support] #15: Codependence module documentation.
[Support] #14: Added a number of new tools to improve our deployment and align us with best practices. They include: CircleCI, VersionBump, Update Issue Templates, ChangeLog, Logo, Favicon.
[Support] #14: Distance approach documentation.
[Support] #4: Documentation for PCA approach.
[Support] #3: Co-integration approach documentation.
[Support] #2: Kalman Filter documentation.