Alphalens

This is a minor release from 0.3.6 that includes bugfixes, performance improvements, and build changes.

Bug Fixes
https://github.com/quantopian/alphalens/pull/334
Pandas 1.0 fix: https://github.com/quantopian/alphalens/pull/364

New Features
Turnover tearsheet improvement: https://github.com/quantopian/alphalens/pull/354
CI builds now run on GitHub Actions: https://github.com/quantopian/alphalens/pull/363

Performance + API Change
https://github.com/quantopian/alphalens/pull/361 simplified the cumulative returns calculation, making it much faster. Other function signatures and behaviors were modified as well.

Docs + Miscellaneous
https://github.com/quantopian/alphalens/pull/332
README updates: https://github.com/quantopian/alphalens/pull/345, https://github.com/quantopian/alphalens/pull/337
A new [tutorial notebook](https://github.com/quantopian/alphalens/pull/349).

Credits
The following people contributed to this release:
eigenfoo, luca-s, twiecki, ivigamberdiev, fawce, jbredeche, jimportico, gerrymanoim, jmccorriston, altquant

Add option to compute forward returns non-cumulatively

This is a minor release from 0.3.4 that includes bugfixes, speed enhancement and compatibility with more recent pandas versions. We recommend that all users upgrade to this version.

Bugfixes
- [Issue 323](https://github.com/quantopian/alphalens/issues/323) factor_rank_autocorrelation infers turnover period in calendar space while periods could have different time space
- [PR 324](https://github.com/quantopian/alphalens/pull/324) avoid crashing Alphalens when autocorrelation or turnover data contains only NaNs

Performance
- [PR 327](https://github.com/quantopian/alphalens/pull/327) Speed up `compute_forward_returns` and `get_clean_factor`

Compatibility with new pandas versions

- [PR 328](https://github.com/quantopian/alphalens/pull/328) improved compatibility with pandas 0.23.4

This is a minor release from 0.3.3 that includes bugfixes, small enhancements and **backward compatibility breakages**. We recommend that all users upgrade to this version.

Bugfixes
- [PR 317](https://github.com/quantopian/alphalens/pull/317) Fix date conversion in newer versions of pandas
- [Issue 309](https://github.com/quantopian/alphalens/issues/309) Biased Mean Quantile Returns for Non-Equal Bins

New features
- [PR 306](https://github.com/quantopian/alphalens/pull/306) added zero aware quantiles option

API change

- [PR 268](https://github.com/quantopian/alphalens/pull/286) All functions deprecated in version v0.2.0 are no longer available

Credits

The following people contributed to this release:

eigenfoo - George Ho
MichaelJMath - Mike Matthews
freddiev4 - Freddie Vargus
vikram-narayan - Vikram Narayan
twiecki - Thomas Wiecki
luca-s - Luca Scarabello

This is a minor release from 0.3.1 that includes bugfixes and small enhancements. We recommend that all users upgrade to this version.

Bugfixes
- [PR297](https://github.com/quantopian/alphalens/pull/297) BUG: create_pyfolio_input doesn't work with frequency higher than 1 day
- [PR302](https://github.com/quantopian/alphalens/pull/302) BUG: compute_mean_return_spread returns error if no std_err argument


New features
- [PR298](https://github.com/quantopian/alphalens/pull/298) ENH: added rate of return option in 'create_event_study_tear_sheet'
- [PR300](https://github.com/quantopian/alphalens/pull/300) ENH: added n_bars option in 'create_event_study_tear_sheet'

This is a minor release from 0.3.0 that includes bugfixes and performance improvement. We recommend that all users upgrade to this version.

Bugfixes

- [PR 287](https://github.com/quantopian/alphalens/pull/287) `utils.get_clean_factor crashes` with malformed 'groupby' data
- [PR 287](https://github.com/quantopian/alphalens/pull/287) `perf.average_cumulative_return_by_quantile` crahes in certain scenarios
- [PR 288](https://github.com/quantopian/alphalens/pull/288) monthly IC heatmap plot has inverted colors (red for positive and blue for negative IC)
- [PR 295](https://github.com/quantopian/alphalens/pull/295) [Issue 292](https://github.com/quantopian/alphalens/issues/292) `utils.compute_forward_returns` fails to detect the correct period length

Performance
- [PR 294](https://github.com/quantopian/alphalens/pull/294) computation of cumulative returns is very slow