Pyfolio

This is a bugfix release fixing an indentation bug. For more information, see https://github.com/quantopian/pyfolio/pull/568.

New features

- Previously, `pyfolio` has required a benchmark, usually the U.S. market
returns `SPY`. In order to provide support for international equities and
alternative data sets, `pyfolio` is now completely independent of benchmarks.
If a benchmark is passed, all benchmark-related analyses will be performed;
if not, they will simply be skipped. By [George Ho](https://github.com/eigenfoo)
- Performance attribution tearsheet [PR441](https://github.com/quantopian/pyfolio/pull/441), [PR433](https://github.com/quantopian/pyfolio/pull/433), [PR442](https://github.com/quantopian/pyfolio/pull/442). By [Vikram Narayan](https://github.com/vikram-narayan).
- Improved implementation of `get_turnover` [PR332](https://github.com/quantopian/pyfolio/pull/432). By [Gus Gordon](https://github.com/gusgordon).
- Users can now pass in extra rows (as a dict or OrderedDict) to display in the perf_stats table [PR445](https://github.com/quantopian/pyfolio/pull/445). By [Gus Gordon](https://github.com/gusgordon).

Maintenance

- Many features have been more extensively troubleshooted, maintained and
tested. By [Ana Ruelas](https://github.com/ahgnaw) and [Vikram
Narayan](https://github.com/vikram-narayan).
- Various fixes to support pandas versions >= 0.18.1 [PR443](https://github.com/quantopian/pyfolio/pull/443). By [Andrew Daniels](https://github.com/yankees714).

This is a major release from `0.7.0`, and all users are recommended to upgrade.

New features

- Adds a new risk tear sheet that analyzes the risk exposures of the portfolio. Generates analysis showing the portfolio's exposures to common factors such as momentum and mean reversion, the portfolio's gross and net exposure to each sector, the gross and net exposure to each market cap bucket, and the overall exposure to illiquid stocks.
- Adds a new performance attribution tear sheet that analyzes how much of the portfolio's returns is attributable to common factors (e.g. sector or style factors). Generates analysis showing the exposure to, and PnL generated by, common factors.
- Adds a new simple tear sheet to provide a quick summary analysis using the most important plots in the full tear sheet.
- Adds a rolling annual volatility plot to the returns tear sheet.
- Adds new features to performance statistics summary table.

Bugfixes
- Bug fix with Yahoo and pandas data reader.
- Rolling Fama-French exposures now performs a multivariate regression instead of multiple linear regressions.
- Removed `information_ratio` to remain compatible with empyrical.

Maintenance
- Migrated Fama-French data loaders from pyfolio to empyrical. `utils.load_portfolio_risk_factors` is now deprecated in pyfolio, please use the same function in empyrical.
- Minor decorative changes to plots, particularly the holdings plots.

This is a major release from `0.6.0`, and all users are recommended to upgrade.

New features
- Adds a transaction timing plot, which gives insight into the strategies' trade times.
- Adds a plot showing the number of longs and shorts held over time.
- New round trips plot selects a sample of held positions (16 by default) and shows their round trips. This replaces the old round trip plot, which became unreadable for strategies that traded many positions.
- Adds basic capability for analyzing intraday strategies. If a strategy makes a large amount of transactions relative to its end-of-day positions, then pyfolio will attempt to reconstruct the intraday positions, take the point of peak exposure to the market during each day, and plot that data with the positions tear sheet. By default pyfolio will automatically detect this, but the behavior can be changed by passing either `estimate_intraday=True` or `estimate_intraday=False` to the tear sheet functions ([see here](https://github.com/quantopian/pyfolio/blob/master/pyfolio/tears.pyL131)).
- Now formats [zipline](https://github.com/quantopian/zipline) assets, displaying their ticker symbol.
- Gross leverage is no longer required to be passed, and will now be calculated from the passed positions DataFrame.

Bugfixes
- Cone plotting location is now correct.
- Adjust scaling of beta and Fama-French plots.
- Removed multiple dependencies, some of which were previously unused.
- Various text fixes.

This is a major new release from `0.5.1`. All users are recommended to upgrade.

New features
- Computation of performance and risk measures has been split off into [`empyrical`](https://github.com/quantopian/empyrical). This allows [`Zipline`](https://zipline.io) and `pyfolio` to use the same code to calculate its risk statistics. By [Ana Ruelas](https://github.com/ahgnaw) and [Abhi Kalyan](https://github.com/abhijeetkalyan).
- New multistrike cone which redraws the cone when it crossed its initial bounds [PR310](https://github.com/quantopian/pyfolio/pull/310). By [Ana Ruelas](https://github.com/ahgnaw) and [Abhi Kalyan](https://github.com/abhijeetkalyan).

Bugfixes
- Can use most recent PyMC3 now.
- Depends on seaborn 0.7.0 or later now [PR331](https://github.com/quantopian/pyfolio/pull/331).
- Disable buggy computation of round trips per day and per month [PR339](https://github.com/quantopian/pyfolio/pull/339).