fix some bugs in pandas==0.25.0

Author: huaiweicheng

pyfolio/capacity.py

@@ -34,7 +34,7 @@ def daily_txns_with_bar_data(transactions, market_data):
     transactions.index.name = 'date'
     txn_daily = pd.DataFrame(transactions.assign(
         amount=abs(transactions.amount)).groupby(
-        ['symbol', pd.TimeGrouper('D')]).sum()['amount'])
+        ['symbol', pd.Grouper(freq='D')]).sum()['amount'])
     txn_daily['price'] = market_data.xs('price', level=1).unstack()
     txn_daily['volume'] = market_data.xs('volume', level=1).unstack()
 

pyfolio/round_trips.py

@@ -79,15 +79,13 @@ def agg_all_long_short(round_trips, col, stats_dict):
                  .groupby('ones')[col]
                  .agg(stats_dict)
                  .T
-                 .rename_axis({1.0: 'All trades'},
-                              axis='columns'))
+                 .rename(columns={1.0: 'All trades'}))
     stats_long_short = (round_trips
                         .groupby('long')[col]
                         .agg(stats_dict)
                         .T
-                        .rename_axis({False: 'Short trades',
-                                      True: 'Long trades'},
-                                     axis='columns'))
+                        .rename(columns={False: 'Short trades',
+                                         True: 'Long trades'}))
 
     return stats_all.join(stats_long_short)
 

pyfolio/tests/test_round_trips.py

@@ -39,7 +39,7 @@ class RoundTripTestCase(TestCase):
                          ],
                    columns=['amount', 'price', 'symbol'],
                    index=dates_intraday[[0, 2]])
-         .rename_axis('dt', axis='index')
+         .rename('dt', axis='index')
          ),
         (DataFrame(data=[[2, 10., 'A'],
                          [2, 20., 'A'],
@@ -53,7 +53,7 @@ class RoundTripTestCase(TestCase):
                          ],
                    columns=['amount', 'price', 'symbol'],
                    index=dates_intraday[[0, 4]])
-         .rename_axis('dt', axis='index')
+         .rename('dt', axis='index')
          ),
     ])
     def test_groupby_consecutive(self, transactions, expected):

pyfolio/utils.py

@@ -348,8 +348,7 @@ def estimate_intraday(returns, positions, transactions, EOD_hour=23):
         columns='symbol').replace(np.nan, 0)
 
     # Cumulate transaction amounts each day
-    txn_val['date'] = txn_val.index.date
-    txn_val = txn_val.groupby('date').cumsum()
+    txn_val = txn_val.groupby(txn_val.index.date).cumsum()
 
     # Calculate exposure, then take peak of exposure every day
     txn_val['exposure'] = txn_val.abs().sum(axis=1)