added quarterly return aggregation, removed unused code.

Calvin DeBoer · twiecki · commit ad10570e5a85 · 2019-08-10T00:51:51.000+02:00
diff --git a/.travis.yml b/.travis.yml
@@ -30,7 +30,7 @@ before_install:
   - conda update -q conda
 
 install:
-  - conda create -n testenv --yes -c quantopian pip python=$TRAVIS_PYTHON_VERSION numpy=$NUMPY_VERSION pandas=$PANDAS_VERSION scipy=$SCIPY_VERSION libgfortran=$LIBGFORTRAN_VERSION
+  - conda create -n testenv --yes -c conda-forge pip python=$TRAVIS_PYTHON_VERSION numpy=$NUMPY_VERSION pandas=$PANDAS_VERSION scipy=$SCIPY_VERSION libgfortran=$LIBGFORTRAN_VERSION
   - source activate testenv
   - pip install -e .[dev]
 
diff --git a/empyrical/__init__.py b/empyrical/__init__.py
@@ -69,6 +69,7 @@
     DAILY,
     WEEKLY,
     MONTHLY,
+    QUARTERLY,
     YEARLY
 )
 
diff --git a/empyrical/periods.py b/empyrical/periods.py
@@ -3,15 +3,18 @@
 
 MONTHS_PER_YEAR = 12
 WEEKS_PER_YEAR = 52
+QTRS_PER_YEAR = 4
 
 DAILY = 'daily'
 WEEKLY = 'weekly'
 MONTHLY = 'monthly'
+QUARTERLY = 'quarterly'
 YEARLY = 'yearly'
 
 ANNUALIZATION_FACTORS = {
     DAILY: APPROX_BDAYS_PER_YEAR,
     WEEKLY: WEEKS_PER_YEAR,
     MONTHLY: MONTHS_PER_YEAR,
+    QUARTERLY: QTRS_PER_YEAR,
     YEARLY: 1
 }
diff --git a/empyrical/stats.py b/empyrical/stats.py
@@ -15,14 +15,15 @@
 
 from __future__ import division
 
+import math
 import pandas as pd
 import numpy as np
 from scipy import stats
 from six import iteritems
 
 from .utils import nanmean, nanstd, nanmin, up, down, roll, rolling_window
 from .periods import ANNUALIZATION_FACTORS, APPROX_BDAYS_PER_YEAR
-from .periods import DAILY, WEEKLY, MONTHLY, YEARLY
+from .periods import DAILY, WEEKLY, MONTHLY, QUARTERLY, YEARLY
 
 
 def _create_unary_vectorized_roll_function(function):
@@ -330,6 +331,8 @@ def cumulate_returns(x):
         grouping = [lambda x: x.year, lambda x: x.isocalendar()[1]]
     elif convert_to == MONTHLY:
         grouping = [lambda x: x.year, lambda x: x.month]
+    elif convert_to == QUARTERLY:
+        grouping = [lambda x: x.year, lambda x: int(math.ceil(x.month/3.))]
     elif convert_to == YEARLY:
         grouping = [lambda x: x.year]
     else:
diff --git a/empyrical/tests/test_stats.py b/empyrical/tests/test_stats.py
@@ -216,11 +216,15 @@ def test_cum_returns_final(self, returns, starting_value, expected):
                                               0.0]),
         (simple_benchmark, empyrical.MONTHLY, [0.01,
                                                0.03030099999999991]),
+        (simple_benchmark, empyrical.QUARTERLY, [0.04060401]),
         (simple_benchmark, empyrical.YEARLY, [0.040604010000000024]),
         (weekly_returns, empyrical.MONTHLY, [0.0, 0.087891200000000058,
                                              -0.04500459999999995]),
         (weekly_returns, empyrical.YEARLY, [0.038931091700480147]),
-        (monthly_returns, empyrical.YEARLY, [0.038931091700480147])
+        (monthly_returns, empyrical.YEARLY, [0.038931091700480147]),
+        (monthly_returns, empyrical.QUARTERLY, [0.11100000000000021,
+                                                0.008575999999999917,
+                                                -0.072819999999999996])
     ])
     def test_aggregate_returns(self, returns, convert_to, expected):
         returns = self.empyrical(pandas_only=True).aggregate_returns(
diff --git a/empyrical/utils.py b/empyrical/utils.py
@@ -25,7 +25,7 @@
 from pandas.tseries.offsets import BDay
 try:
     from pandas_datareader import data as web
-except ImportError as e:
+except ImportError:
     msg = ("Unable to import pandas_datareader. Suppressing import error and "
            "continuing. All data reading functionality will raise errors; but "
            "has been deprecated and will be removed in a later version.")

Original file line number	Diff line number	Diff line change
`@@ -69,6 +69,7 @@`
`69`	`69`	`DAILY,`
`70`	`70`	`WEEKLY,`
`71`	`71`	`MONTHLY,`
	`72`	`+ QUARTERLY,`
`72`	`73`	`YEARLY`
`73`	`74`	`)`
`74`	`75`