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Changelog

All notable changes to this project will be documented in this file.

The format is based on Keep a Changelog, and this project adheres to Semantic Versioning.

Unreleased

[0.5.0] - 2026-03-29

Added

  • drawdown_details, expected_return, rolling_greeks, and related stats (#583)
  • comp, compsum, ghpr stats (#582)
  • outliers, remove_outliers, outlier_win_ratio, outlier_loss_ratio stats
  • geometric_mean and risk stats (value-at-risk, conditional-VaR, etc.) (#581)
  • autocorrelation() and acf() in Stats (#544)
  • omega_ratio in Stats (#554)
  • Quantstats parity benchmarks (#579)

Fixed

  • GitHub org rename: updated all remaining tschm → jebel-quant references

Changed

  • Reports.metrics() decomposed into focused helper methods (#586)
  • CI workflows consolidated: rhiza_validate, rhiza_quality now cover security, semgrep, typecheck, pip-audit, deptry, pre-commit, and link-check in unified jobs
  • Copilot agent hooks and setup workflow removed (sync out #587)
  • demo_report.html and REPOSITORY_ANALYSIS.md removed from repository

[0.4.0] - 2026-03-26

Added

  • Portfolio.from_position() — fourth factory method for unit-position portfolios
  • 1/n equal-weight portfolio SVG charts from real AAPL/META data

Fixed

  • generate_svgs path scope and coverage badge URL
  • CostModel now raises ValueError when constructed with both cost fields non-zero

Changed

  • Figure 1 in companion paper: facades column reordered to .stats > .report > .plots

Removed

  • generate_svgs.py removed from repository
  • Autopilot CI workflow removed

0.3.4 - 2026-03-26

Added

  • Vol-normalisation cap and input validation in from_risk_position (#521)
  • Kaleido marker and dedicated CI job for static image export (#520)
  • Kaleido static image export tests (#504)
  • Per-subcategory 1–10 scores in analyser agent
  • MkDocs-based book pipeline replacing minibook (#502)
  • Companion paper and LaTeX CI workflow

Fixed

  • PortfolioLike protocol aligned with CostModel abstraction (#522)
  • API Reference TOC depth limited to 3 to reduce clutter
  • mkdocs.yml moved to repo root (#514, #526)
  • Workflow missing permissions (code scanning alert #1) (#503)

Performance

  • slots=True added to Portfolio and Data frozen dataclasses (#515)
  • trading_cost_impact vectorised — O(1) allocations for the full cost sweep (#516)

0.3.3 - 2026-03-24

Added

  • Data.from_prices classmethod (#499)

Fixed

  • mkdocs site_dir nested inside docs_dir

Changed

  • Tests reorganised to mirror src/jquantstats/ structure (#500)

0.3.2 - 2026-03-24

Added

  • Link-checking GitHub Actions workflow for README (#497)

Fixed

  • mike deploy failing due to mkdocs.yml not found at repo root

0.3.1 - 2026-03-24

Changed

  • README: absolute URLs for references, static Python version badge, removed stale badges
  • Dependency updates (python-dependencies group, 3 packages)

0.3.0 - 2026-03-24

Added

  • __repr__ with date range on Data and Portfolio (#489)
  • Versioned documentation with mike (#480)
  • macOS and Windows added to CI test matrix (#482)
  • Dashboard screenshot, quick-start output, and Marimo badge in README (#481)
  • PyPI classifiers and explicit __all__ (#491)

Changed

  • PortfolioData collapsed into Portfolio (#473)
  • Test coverage raised to 100%

0.2.0 - 2026-03-23

Added

  • Data.describe() method and tests
  • Data.from_returns classmethod; build_data retained as alias
  • DataLike protocol; upward Data imports removed from _stats mixins
  • NativeFrame type alias replacing Any for narwhals inputs
  • interrogate enforcing 100% docstring coverage
  • ROADMAP.md and CITATIONS.bib / Citing section in README
  • Narwhals support to accept pandas/polars/modin inputs in build_data
  • Data.truncate method with tests
  • Property-based tests with hypothesis; ZeroDivisionError in sortino fixed
  • conda-forge recipe and README installation docs
  • CHANGELOG.md, cliff.toml, and make changelog target
  • Release notes automated with git-cliff in release workflow
  • API contract test (test_api_contract.py) to guard public API surface
  • QuantStats migration guide (docs/migration.md)
  • docs/stability.md and updated mkdocs nav
  • GitHub Discussions templates; updated contributing guide
  • ISSUE_TEMPLATE config, PULL_REQUEST_TEMPLATE.md
  • Full API reference pages in mkdocs nav
  • py.typed marker; .stats, .plots, .report cached on Portfolio
  • ANN2 return-type annotation enforcement in ruff

Changed

  • Plots renamed to DataPlots for symmetry with PortfolioPlots (#462)
  • _stats*.py files grouped into _stats/ subpackage
  • _report.py and _portfolio_plots.py backward-compat shims removed
  • __init__.py exports reduced in _stats, _reports, _plots subpackages
  • Analytics subpackage flattened; notebooks updated for marimo 0.20.4
  • Mypy configuration removed from pyproject.toml

Fixed

  • README code examples corrected to pass make validate
  • book/ excluded from interrogate pre-commit hook

0.1.1 - 2026-03-23

Added

  • Core library — polars-native portfolio analytics with zero pandas runtime dependency.
  • Portfolio class — high-level entry point for price + position workflows; compiles NAV curves and exposes .stats, .plots, and .report attributes.
  • build_data function — lower-level entry point for working directly with return series and optional benchmarks.
  • Stats API — performance metrics including Sharpe ratio, Sortino ratio, Calmar ratio, volatility, CAGR, max drawdown, Value at Risk (VaR), Conditional VaR, win rate, and more.
  • Plots API — interactive Plotly visualisations: performance dashboard (snapshot), drawdown chart, return distribution, and monthly return heatmap.
  • Report API — Jinja2-powered HTML report generation combining metrics and charts.
  • Benchmark comparison — align portfolio returns against a benchmark series and compute relative metrics.
  • Risk-free rate support — adjustable daily risk-free rate parameter for excess-return calculations.
  • PEP 561 compliance — py.typed marker included for downstream type checker support.
  • GitHub Release Notes — .github/release.yml configured to categorise auto-generated release notes by label (breaking changes, features, bug fixes, documentation, maintenance).
  • Full CI/CD pipeline via Rhiza templates: tests with coverage, type checking, pre-commit hooks, dependency auditing, CodeQL and Semgrep security scanning, PyPI publishing, and documentation building.
  • Interactive notebooks — Marimo notebooks for exploratory analysis.
  • Documentation book — rendered documentation available at https://jebel-quant.github.io/jquantstats/book.