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Commits on Jun 29, 2020

• Add Thomas Wiecki to authors. Change contact email.

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• Change copyright to Quantopian Inc.

  twiecki

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Commits on Jun 17, 2020

• Add note on current status

  twiecki

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• Change authors

  twiecki

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• Add license file

  twiecki

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Commits on Apr 16, 2020

• Only compute exposures conditionally

  twiecki

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• Create algos as dataframe

  twiecki

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Commits on Nov 13, 2019

• Wrong attribute to algo

  twiecki

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Commits on Aug 6, 2018

• DOC: add example notebook

  

  eigenfoo

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  twiecki

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Commits on Aug 2, 2018

• Add correlations to author model (#60)

  

  eigenfoo

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  aseyboldt

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• MAINT PyMC3 3.5 renamed infer_shape to to_tuple (#61)

  

  twiecki

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Commits on Jul 31, 2018

• ENH: estimate sigma backtest (#56)

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  eigenfoo

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Commits on Jul 25, 2018

• BUG: rename column in test data (#59)

  

  eigenfoo

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  twiecki

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• MAINT: rename sharpe_ratio_is to sharpe_ratio (#58)

  

  eigenfoo

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Commits on Jul 20, 2018

• BUG: save long data (#53)

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  eigenfoo

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Commits on Jul 19, 2018

• MAINT Peg empyrical (#47)

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Commits on Jul 18, 2018

• BUG: Rename coordinates for data in author model (#51)

  

  eigenfoo

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  aseyboldt

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• MAINT: Save data and rebuild model (#49)

  

  eigenfoo

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• STY: flake8 (#43)

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• Merge pull request #41 from quantopian/spy-penalty

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Commits on Jul 17, 2018

• Merge pull request #46 from quantopian/check_data

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• BUG: sort all data prior to running model

  eigenfoo

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• BUG: loc bug

  eigenfoo

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• MAINT: run a sort instead of passing in sorted data

  eigenfoo

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• TST: add test for ordered data

  eigenfoo

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• BUG: check data before running model

  eigenfoo

  committed
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• Add doc and fix rebase

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• Update README.md

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Commits on Jul 16, 2018

• DOC: update readme (#45)

  eigenfoo

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• REV: remove abc (#42)

  

  eigenfoo

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• Make changes over time optional

  aseyboldt

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• Add factor penalties in optimization

  

  aseyboldt (Quacs)

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  aseyboldt

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• Reparameterize chol

  

  aseyboldt (Quacs)

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  aseyboldt

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• Merge pull request #37 from quantopian/make_tests

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  twiecki

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• MAINT: fix import

  eigenfoo

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