WIP docs update, critical bugfix for pandas upgrade, move to pytest, drop older deps, include example notebooks in docs

Author: timkpaine

.github/dependabot.yml

@@ -0,0 +1,6 @@
+version: 2
+updates:
+  - package-ecosystem: "github-actions"
+    directory: "/"
+    schedule:
+      interval: "weekly"

.github/workflows/build.yml

@@ -17,9 +17,8 @@ jobs:
 
     strategy:
       matrix:
-        python-version: [3.7, 3.9]
+        python-version: [3.9]
         os: [ubuntu-latest, macos-latest, windows-latest]
-        event-name: [push]
 
     steps:
     - uses: actions/checkout@v2
@@ -32,21 +31,19 @@ jobs:
 
     - name: Install dependencies
       run: |
-        python -m pip install -e .[dev]
+        make develop
         python -m pip install -U wheel twine setuptools
 
     - name: Lint
       run: |
-        python -m flake8 bt setup.py
+        make lint
 
     - name: Test
       run: |
-        python -m nose --with-coverage --cover-package bt
-      if: ${{ github.event_name == matrix.event-name }}
+        make test
 
     - name: Coverage
       uses: codecov/codecov-action@v2
-      if: ${{ github.event_name == matrix.event-name }}
 
     - name: Package and check
       run: |

.github/workflows/deploy.yml

@@ -24,16 +24,16 @@ jobs:
 
     - name: Install dependencies
       run: |
-        python -m pip install -e .[dev]
+        make develop
         python -m pip install -U wheel twine setuptools
 
     - name: Lint
       run: |
-        python -m flake8 bt setup.py
+        make lint
 
     - name: Test
       run: |
-        python -m nose --with-coverage --cover-package bt
+        make test
 
     - name: Package and check
       run: |

.gitignore

@@ -35,6 +35,7 @@ htmlcov/
 .cache
 nosetests.xml
 coverage.xml
+python_junit.xml
 
 # Translations
 *.mo
@@ -70,3 +71,5 @@ docs/source/.ipynb_checkpoints/
 # macOS
 .DS_Store
 
+# jupyter
+.ipynb_checkpoints

Makefile

@@ -2,17 +2,19 @@ TMPREPO=/tmp/docs/bt
 
 default: build_dev
 
-.PHONY: dist upload docs pages serve klink notebooks test lint fix
+.PHONY: dist upload docs pages serve klink notebooks test lint fix develop
+
+develop:
+	python -m pip install -e .[dev]
 
 test:
-	python -m nose --with-coverage --cover-package bt
+	python -m pytest -vvv tests --cov=bt --junitxml=python_junit.xml --cov-report=xml --cov-branch --cov-report term
 
 lint:
-	python -m flake8 bt setup.py
+	python -m flake8 bt setup.py docs/source/conf.py
 
 fix:
-	python -m black bt setup.py
-
+	python -m black bt setup.py docs/source/conf.py
 
 dist:
 	python setup.py sdist
@@ -25,7 +27,7 @@ docs:
 	$(MAKE) -C docs/ html
 
 pages: 
-	- rm -rf $(TMPREPO)
+	rm -rf $(TMPREPO)
 	git clone -b gh-pages [email protected]:pmorissette/bt.git $(TMPREPO)
 	rm -rf $(TMPREPO)/*
 	cp -r docs/build/html/* $(TMPREPO)
@@ -36,21 +38,21 @@ pages:
 
 serve:
 	cd docs/build/html; \
-	python -m SimpleHTTPServer 9087
+	python -m http.server 9087
 
 build_dev:
-	- python setup.py build_ext --inplace
+	python setup.py build_ext --inplace
 
 clean:
-	- rm -rf build
-	- rm -rf dist
-	- rm -rf bt.egg-info
-	- find . -name '*.so' -delete
-	- find . -name '*.c' -delete
+	rm -rf build
+	rm -rf dist
+	rm -rf bt.egg-info
+	find . -name '*.so' -delete
+	find . -name '*.c' -delete
 
 klink:
 	git subtree pull --prefix=docs/source/_themes/klink --squash klink master
 
 notebooks:
 	cd docs/source; \
-	ipython notebook --no-browser --ip=*
+	jupyter notebook --no-browser --ip=*

bt/algos.py

@@ -1798,6 +1798,7 @@ def __call__(self, target):
                 v = c.notional_value
             else:
                 v = c.value
+
             # if non-zero and non-null, we need to close it out
             if v != 0.0 and not np.isnan(v):
                 target.close(cname, update=False)

bt/backtest.py

@@ -148,7 +148,6 @@ def __init__(
         progress_bar=False,
         additional_data=None,
     ):
-
         if data.columns.duplicated().any():
             cols = data.columns[data.columns.duplicated().tolist()].tolist()
             raise Exception(

bt/core.py

@@ -11,6 +11,7 @@
 import pandas as pd
 from future.utils import iteritems
 
+
 PAR = 100.0
 TOL = 1e-16
 
@@ -590,7 +591,9 @@ def setup(self, universe, **kwargs):
             self._paper = paper
 
         # setup universe
-        funiverse = universe
+        # TODO: a copy is made here to avoid polluting the universes
+        # of substrategies. is this desired?
+        funiverse = universe.copy()
 
         if self._universe_tickers:
             # if we have universe_tickers defined, limit universe to
@@ -719,6 +722,7 @@ def update(self, date, data=None, inow=None):
                 # avoid useless update call
                 if c._issec and not c._needupdate:
                     continue
+
                 c.update(date, data, inow)
                 val += c.value
                 # Strategies always have positive notional value
@@ -1007,6 +1011,7 @@ def rebalance(self, weight, child, base=np.nan, update=True):
         # allocate to child
         # figure out weight delta
         c = self.children[child]
+
         if self.fixed_income:
             # In fixed income strategies, the provided "base" value can be used
             # to upscale/downscale the notional_value of the strategy, whereas

docs/source/Buy_and_hold.ipynb

@@ -0,0 +1 @@
+../../examples/buy_and_hold.ipynb