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Remove statsmodels, scikit-learn, and other dependencies; add gross leverage to performance stats summary #347

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merged 13 commits into from
Nov 5, 2016

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@gusgordon gusgordon commented Nov 4, 2016

Removing the statsmodels dependency was straightforward, as the calc_multifactor function was unused which was the only function that needed statsmodels. Removing scikit-learn required replacing the scale function we were dependent on with an equivalent, which is now located in utils.py. Remove jsonschema, funcsigs, mock, pyparsing, and python-dateutil dependencies, and remove an unnecessary line from travis.

Also add mean gross leverage in the performance stats summary as well as the bootstrapped version.

@gusgordon gusgordon changed the title Remove statsmodels and scikit-learn dependency Remove statsmodels, scikit-learn, and other dependencies Nov 4, 2016
@gusgordon gusgordon changed the title Remove statsmodels, scikit-learn, and other dependencies Remove statsmodels, scikit-learn, and other dependencies; add gross leverage to summary stats Nov 5, 2016
@gusgordon gusgordon changed the title Remove statsmodels, scikit-learn, and other dependencies; add gross leverage to summary stats Remove statsmodels, scikit-learn, and other dependencies; add gross leverage to performance stats summary Nov 5, 2016
@gusgordon gusgordon merged commit 1be90ed into master Nov 5, 2016
@gusgordon gusgordon deleted the friday-stuff branch November 5, 2016 01:59
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