attempt to fix tests, tweak requirements

more adjustments

bump python versions

copypasta

restrict matplotlib version for ffn compat

use date_range for newer pandas compat

Author: timkpaine

.travis.yml

@@ -1,12 +1,14 @@
 language: python
 python:
   - "2.7"
-  - "3.4"
-  - "3.5"
   - "3.6"
+  - "3.7"
+  - "3.8"
+
 # command to install dependencies
 install:
-  - pip install -r requirements.txt
+  - pip install -e .[dev]
+
 # deploys to pypi
 deploy:
   provider: pypi
@@ -18,9 +20,11 @@ deploy:
     distributions: sdist
     repo: pmorissette/bt
     branch: master
+
 # command to run tests
 script:
   - nosetests --with-coverage --cover-package bt
+
 # command to run codecov coverage
 after_success:
   - codecov

bt/algos.py

@@ -1254,7 +1254,7 @@ def __call__(self, target):
             index=covar.columns
         )
 
-        vol = np.sqrt(np.matmul(weights.values.T,np.matmul(covar,weights.values))*self.annualization_factor)
+        vol = np.sqrt(np.matmul(weights.values.T,np.matmul(covar.values, weights.values))*self.annualization_factor)
 
         #vol is too high
         if vol > self.target_volatility:
@@ -1350,11 +1350,12 @@ def __call__(self, target):
             covar = returns.cov()
         else:
             raise NotImplementedError('covar_method not implemented')
-
-        PTE_vol = np.sqrt(np.matmul(weights.values.T, np.matmul(covar, weights.values)) * self.annualization_factor)
+        
+        PTE_vol = np.sqrt(np.matmul(weights.values.T, np.matmul(covar.values, weights.values)) * self.annualization_factor)
 
         if pd.isnull(PTE_vol):
             return False
+
         # vol is too high
         if PTE_vol > self.PTE_volatility_cap:
             return True

pyproject.toml

@@ -0,0 +1,3 @@
+[build-system]
+# Minimum requirements for the build system to execute.
+requires = ["setuptools", "wheel", "cython>0.25"]

requirements.txt

@@ -1,10 +1,7 @@
-cython
+cython>=0.25
 future
-numpy
-pandas
-matplotlib
-ffn
-pyprind
-ipython
-coverage
-codecov
+numpy>=1
+pandas>=0.19
+matplotlib>=2
+ffn>=0.3.4
+pyprind>=2.11

setup.py

@@ -41,9 +41,22 @@ def local_file(filename):
     keywords='python finance quant backtesting strategies',
     url='https://github.com/pmorissette/bt',
     install_requires=[
-        'ffn',
+        'ffn>=0.3.4',
         'pyprind>=2.10'
     ],
+    extras_require={
+        'dev': [
+            'codecov',
+            'coverage',
+            'cython>=0.25',
+            'future',
+            'numpy>=1',
+            'pandas>=0.19',
+            'matplotlib>=2,<3',
+            'ffn>=0.3.4',
+            'pyprind>=2.11',
+        ],
+    },
     packages=['bt'],
     long_description=local_file('README.rst').read(),
     classifiers=[
@@ -52,5 +65,5 @@ def local_file(filename):
         'Programming Language :: Python'
     ],
     ext_modules=ext_modules,
-    python_requires='>=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*'
+    python_requires='>=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*, !=3.4.*, !=3.5.*'
 )

tests/test_core.py

@@ -2085,7 +2085,7 @@ def test_securitybase_allocate():
 
 def test_securitybase_allocate_commisions():
 
-    date_span = pd.DatetimeIndex(start='10/1/2017', end='10/11/2017', freq='B')
+    date_span = pd.date_range(start='10/1/2017', end='10/11/2017', freq='B')
     numper = len(date_span.values)
     comms = 0.01