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Refactor roundtrip #293

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merged 13 commits into from
Apr 19, 2016
Merged

Refactor roundtrip #293

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0cc10b8
ENH Add new round-trip analysis that rests on portfolio reconstructio…
twiecki Feb 1, 2016
5e80356
ENH Change round-trip to be FIFO instead of LIFO.
twiecki Apr 18, 2016
9dc8768
WIP Add new test for groupby_consecutive. Fix old tests to work with …
twiecki Apr 18, 2016
3419af0
TST Add additional test for computing non-zero-crossing round-trip an…
twiecki Apr 18, 2016
c88fb72
STY PPE8 fixes.
twiecki Apr 18, 2016
23e4c4b
STY Use paranetheses for method chaining.
twiecki Apr 18, 2016
9ce08a0
STY Use APPROX_BDAYS_PER_MONTH instead of 21.
twiecki Apr 18, 2016
88daaf2
BUG Use BoD portfolio value to compute round-trip returns.
twiecki Apr 19, 2016
6dd4b43
STY Vectorize signed and abs price computations.
twiecki Apr 19, 2016
aa6c749
STY PEP8 fixes.
twiecki Apr 19, 2016
c89de37
BUG Do not multiply symbol returns twice by 100.
twiecki Apr 19, 2016
73d2cdc
DOC Update round-trip notebook.
twiecki Apr 19, 2016
cf5f7bd
DOC Update release notes.
twiecki Apr 19, 2016
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8 changes: 8 additions & 0 deletions WHATSNEW.md
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Expand Up @@ -2,6 +2,14 @@

These are new features and improvements of note in each release.

## v0.5.0 (upcoming)

### New features

* Refactored round-trip analysis to be more general and have better output. Now does full portfolio reconstruction to match trades [PR293](https://github.com/quantopian/pyfolio/pull/293). Thomas, Andrew

### Bug fixes

## v0.4.0 (Dec 10, 2015)

This is a major release from 0.3.1 that includes new features and quite a few bug fixes. We recommend that all users upgrade to this new version.
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