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rshefteltwiecki
rsheftel
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twiecki
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ReadTheDoc setup for auto-generation of documentation (#75)
* move the annualization factor multiplication to make it more obvious that the math is correct. * clarified the variable names in sortino and added a link to a pdf on the math * fixed flake8 error warnings on line length * one last attempt to fixed flake8 error warnings on line length * yet one more attempt to fixed flake8 error warnings so TravisCI will pass * Final fix for flake8 compliance so TravisCI passes * Files for documentation and cleanup of the docstrings in stats and utils. * Test with conf.py version to correct failing RTD build * Back to the correct version method * Try remove bottleneck * Update the pandas requirements * Use the standard napolean sphinx builder * Better method for excluding bottleneck in setup.py for RTD * Fix the Better method for excluding bottleneck in setup.py for RTD * Cleanup suggestions for initial docs * (1) remove un-needed .rst file (2) revert pandas requirement to 0.16.1
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‎docs/Makefile‎

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# Minimal makefile for Sphinx documentation
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#
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# You can set these variables from the command line.
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SPHINXOPTS =
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SPHINXBUILD = python -msphinx
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SPHINXPROJ = empyrical
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SOURCEDIR = .
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BUILDDIR = _build
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# Put it first so that "make" without argument is like "make help".
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help:
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@$(SPHINXBUILD) -M help "$(SOURCEDIR)" "$(BUILDDIR)" $(SPHINXOPTS) $(O)
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.PHONY: help Makefile
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# Catch-all target: route all unknown targets to Sphinx using the new
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# "make mode" option. $(O) is meant as a shortcut for $(SPHINXOPTS).
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%: Makefile
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@$(SPHINXBUILD) -M $@ "$(SOURCEDIR)" "$(BUILDDIR)" $(SPHINXOPTS) $(O)

‎docs/conf.py‎

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#!/usr/bin/env python3
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# -*- coding: utf-8 -*-
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#
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# empyrical documentation build configuration file, created by
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# sphinx-quickstart on Thu Jan 25 22:49:14 2018.
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#
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# This file is execfile()d with the current directory set to its
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# containing dir.
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#
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# Note that not all possible configuration values are present in this
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# autogenerated file.
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#
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# All configuration values have a default; values that are commented out
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# serve to show the default.
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# If extensions (or modules to document with autodoc) are in another directory,
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# add these directories to sys.path here. If the directory is relative to the
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# documentation root, use os.path.abspath to make it absolute, like shown here.
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#
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# import os
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# import sys
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# sys.path.insert(0, os.path.abspath('.'))
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import empyrical
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# -- General configuration ------------------------------------------------
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# If your documentation needs a minimal Sphinx version, state it here.
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#
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# needs_sphinx = '1.0'
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# Add any Sphinx extension module names here, as strings. They can be
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# extensions coming with Sphinx (named 'sphinx.ext.*') or your custom
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# ones.
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extensions = ['sphinx.ext.autodoc', 'sphinx.ext.githubpages',
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'sphinx.ext.napoleon']
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# Add any paths that contain templates here, relative to this directory.
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templates_path = ['_templates']
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# The suffix(es) of source filenames.
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# You can specify multiple suffix as a list of string:
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#
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# source_suffix = ['.rst', '.md']
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source_suffix = '.rst'
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# The master toctree document.
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master_doc = 'index'
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# General information about the project.
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project = 'empyrical'
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copyright = '2018, Quantopian'
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author = 'Quantopian'
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# The version info for the project you're documenting, acts as replacement for
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# |version| and |release|, also used in various other places throughout the
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# built documents.
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#
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# The short X.Y version.
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ver = empyrical.__version__
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version = ver[:ver.find('+')] # get only the main part of the version
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# The full version, including alpha/beta/rc tags.
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release = version
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# The language for content autogenerated by Sphinx. Refer to documentation
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# for a list of supported languages.
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#
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# This is also used if you do content translation via gettext catalogs.
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# Usually you set "language" from the command line for these cases.
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language = None
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# List of patterns, relative to source directory, that match files and
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# directories to ignore when looking for source files.
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# This patterns also effect to html_static_path and html_extra_path
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exclude_patterns = ['_build', 'Thumbs.db', '.DS_Store', '**tests**']
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# The name of the Pygments (syntax highlighting) style to use.
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pygments_style = 'sphinx'
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# If true, `todo` and `todoList` produce output, else they produce nothing.
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todo_include_todos = False
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# -- Options for HTML output ----------------------------------------------
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# The theme to use for HTML and HTML Help pages. See the documentation for
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# a list of builtin themes.
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#
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html_theme = 'default'
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# Theme options are theme-specific and customize the look and feel of a theme
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# further. For a list of options available for each theme, see the
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# documentation.
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#
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# html_theme_options = {}
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# Add any paths that contain custom static files (such as style sheets) here,
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# relative to this directory. They are copied after the builtin static files,
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# so a file named "default.css" will overwrite the builtin "default.css".
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html_static_path = ['_static']
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# -- Options for HTMLHelp output ------------------------------------------
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# Output file base name for HTML help builder.
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htmlhelp_basename = 'empyricaldoc'
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# -- Options for LaTeX output ---------------------------------------------
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latex_elements = {
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# The paper size ('letterpaper' or 'a4paper').
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#
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# 'papersize': 'letterpaper',
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# The font size ('10pt', '11pt' or '12pt').
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#
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# 'pointsize': '10pt',
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# Additional stuff for the LaTeX preamble.
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#
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# 'preamble': '',
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# Latex figure (float) alignment
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#
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# 'figure_align': 'htbp',
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}
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# Grouping the document tree into LaTeX files. List of tuples
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# (source start file, target name, title,
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# author, documentclass [howto, manual, or own class]).
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latex_documents = [
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(master_doc, 'empyrical.tex', 'empyrical Documentation',
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'Quontopian', 'manual'),
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]
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# -- Options for manual page output ---------------------------------------
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# One entry per manual page. List of tuples
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# (source start file, name, description, authors, manual section).
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man_pages = [
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(master_doc, 'empyrical', 'empyrical Documentation',
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[author], 1)
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]
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# -- Options for Texinfo output -------------------------------------------
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# Grouping the document tree into Texinfo files. List of tuples
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# (source start file, target name, title, author,
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# dir menu entry, description, category)
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texinfo_documents = [
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(master_doc, 'empyrical', 'empyrical Documentation',
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author, 'empyrical', 'One line description of project.',
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'Miscellaneous'),
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]

‎docs/empyrical.rst‎

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empyrical package
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=================
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Submodules
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----------
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empyrical\.stats module
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-----------------------
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.. automodule:: empyrical.stats
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:members:
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:undoc-members:
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:show-inheritance:
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empyrical\.utils module
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-----------------------
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.. automodule:: empyrical.utils
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:members:
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:undoc-members:
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:show-inheritance:
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Module contents
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---------------
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.. automodule:: empyrical
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:members:
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:undoc-members:
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:show-inheritance:

‎docs/index.rst‎

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empyrical
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=========
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Common financial risk metrics.
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Table of Contents
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-----------------
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- `Installation <#installation>`__
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- `Usage <#usage>`__
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- `API <#api>`__
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- `Support <#support>`__
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- `Contributing <#contributing>`__
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- `Testing <#testing>`__
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- `Documentation <#documentation>`__
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Source location
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---------------
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Hosted on GitHub: https://github.com/quantopian/empyrical
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Installation
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------------
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::
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pip install empyrical
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Usage
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-----
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Simple Statistics
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.. code:: python
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import numpy as np
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from empyrical import max_drawdown, alpha_beta
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returns = np.array([.01, .02, .03, -.4, -.06, -.02])
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benchmark_returns = np.array([.02, .02, .03, -.35, -.05, -.01])
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# calculate the max drawdown
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max_drawdown(returns)
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# calculate alpha and beta
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alpha, beta = alpha_beta(returns, benchmark_returns)
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Rolling Measures
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.. code:: python
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import numpy as np
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from empyrical import roll_max_drawdown
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returns = np.array([.01, .02, .03, -.4, -.06, -.02])
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# calculate the rolling max drawdown
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roll_max_drawdown(returns, window=3)
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Pandas Support
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.. code:: python
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import pandas as pd
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from empyrical import roll_up_capture, capture
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returns = pd.Series([.01, .02, .03, -.4, -.06, -.02])
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# calculate a capture ratio
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capture(returns)
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# calculate capture for up markets on a rolling 60 day basis
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roll_up_capture(returns, window=60)
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API
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---
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.. toctree::
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:maxdepth: 2
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modules.rst
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Support
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-------
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Please `open an
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issue <https://github.com/quantopian/empyrical/issues/new>`__ for
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support.
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Contributing
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------------
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Please contribute using `Github
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Flow <https://guides.github.com/introduction/flow/>`__. Create a branch,
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add commits, and `open a pull
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request <https://github.com/quantopian/empyrical/compare/>`__.
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Testing
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-------
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- install requirements
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- "nose>=1.3.7",
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- "parameterized>=0.6.1"
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::
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python -m unittest
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Documentation
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-------------
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To build this documentation requires `sphinx`
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::
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cd docs
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make_docs.bat
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.. toctree::
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:maxdepth: 2
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:caption: Contents:
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Indices and tables
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==================
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* :ref:`genindex`
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* :ref:`modindex`
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* :ref:`search`

‎docs/make.bat‎

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@ECHO OFF
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pushd %~dp0
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REM Command file for Sphinx documentation
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if "%SPHINXBUILD%" == "" (
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set SPHINXBUILD=python -msphinx
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)
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set SOURCEDIR=.
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set BUILDDIR=_build
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set SPHINXPROJ=empyrical
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if "%1" == "" goto help
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%SPHINXBUILD% >NUL 2>NUL
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if errorlevel 9009 (
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echo.
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echo.The Sphinx module was not found. Make sure you have Sphinx installed,
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echo.then set the SPHINXBUILD environment variable to point to the full
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echo.path of the 'sphinx-build' executable. Alternatively you may add the
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echo.Sphinx directory to PATH.
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echo.
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echo.If you don't have Sphinx installed, grab it from
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echo.http://sphinx-doc.org/
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exit /b 1
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)
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%SPHINXBUILD% -M %1 %SOURCEDIR% %BUILDDIR% %SPHINXOPTS%
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goto end
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:help
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%SPHINXBUILD% -M help %SOURCEDIR% %BUILDDIR% %SPHINXOPTS%
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:end
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popd

‎docs/make_docs.bat‎

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@ECHO OFF
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REM Makes the Sphinx documentation files
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FOR %%a IN (%~dp0\.) do set SOURCE=%%~dpa
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set OLD_PYTHONPATH=%PYTHONPATH%
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set PYTHONPATH=%PYTHONPATH%;%SOURCE%
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sphinx-apidoc -f -o . ../empyrical
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./make.bat html
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set PYTHONPATH=%OLD_PYTHONPATH%

‎docs/modules.rst‎

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empyrical
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=========
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.. toctree::
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:maxdepth: 4
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empyrical

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