Numpy 2.0 Compatibiilty (#36)

* gha update * fix input syntax * bump up dependencies * np.INF removed * update tests for numpy 2.0 * new tox setup * readme update
stefan-jansen · Sep 25, 2024 · 31173cf · 31173cf
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diff --git a/.github/workflows/build_wheels.yml b/.github/workflows/build_wheels.yml
@@ -3,11 +3,16 @@ name: PyPI
 on:
   workflow_dispatch:
     inputs:
-      publish_to_pypi:
-        description: 'Publish to PyPI?'
+      target:
+        type: choice
+        description: 'Package Index'
         required: true
-        type: boolean
-        default: 'false'
+        default: 'PYPI'
+        options: [ 'TESTPYPI', 'PYPI' ]
+      version:
+        description: 'Version to publish'
+        required: true
+        default: '0.5.11'
 
 jobs:
   dist:
@@ -16,11 +21,14 @@ jobs:
       fail-fast: false
       matrix:
         os: [ ubuntu-latest ]
-        python-version: [ 3.8 ]
+        python-version: [ "3.10" ]
 
     steps:
       - name: Checkout empyrical
         uses: actions/checkout@v4
+        with:
+          fetch-depth: 0
+          ref: ${{ inputs.version }}
 
       - name: Set up Python ${{ matrix.python-version }}
         uses: actions/setup-python@v5
@@ -41,24 +49,28 @@ jobs:
   upload_pypi:
     needs: [ dist ]
     runs-on: ubuntu-latest
-    if: startsWith(github.ref, 'refs/tags')
+    permissions:
+      contents: read
+      id-token: write
     steps:
       - uses: actions/download-artifact@v4
         with:
           name: artifact
           path: dist
 
-      - name: publish to testpypi
+      - name: Publish to PyPI
+        if: ${{ github.event.inputs.target  == 'PYPI' }}
         uses: pypa/gh-action-pypi-publish@release/v1
-        if: inputs.publish_to_pypi == 'false'
         with:
           user: __token__
-          password: ${{ secrets.TESTPYPI_TOKEN }}
-          repository_url: https://test.pypi.org/legacy/
+          password: ${{ secrets.PYPI_TOKEN }}
 
-      - name: publish to pypi
+      - name: Publish to PyPI - Test
+        if: ${{ github.event.inputs.target  == 'TESTPYPI' }}
         uses: pypa/gh-action-pypi-publish@release/v1
-        if: inputs.publish_to_pypi == 'true'
         with:
           user: __token__
-          password: ${{ secrets.PYPI_TOKEN }}
+          password: ${{ secrets.TESTPYPI_TOKEN }}
+          repository-url: https://test.pypi.org/legacy/
+          skip-existing: true
+          verbose: true
diff --git a/.github/workflows/ci_tests.yml b/.github/workflows/ci_tests.yml
@@ -2,7 +2,11 @@ name: CI Tests
 
 on:
   workflow_dispatch:
+  schedule:
+    - cron: "0 8 * * 6"
   push:
+    branches:
+      - main
   pull_request:
     branches:
       - main

diff --git a/.github/workflows/test_wheels.yml b/.github/workflows/test_wheels.yml
@@ -19,8 +19,21 @@ jobs:
       - name: Checkout empyrical
         uses: actions/checkout@v4
 
-      - name: Install wheel & run tests
-        run: |
-          pip install -U pip wheel tox-gh-actions
-          pip install -i https://test.pypi.org/simple/ --extra-index-url https://pypi.org/simple your-package empyrical-reloaded[test]
-          tox -p auto -q
+#      - name: Install wheel & run tests
+#        run: |
+#          pip install -U pip wheel tox-gh-actions
+#          pip install -i https://test.pypi.org/simple/ --extra-index-url https://pypi.org/simple empyrical-reloaded[test]
+#          tox -p auto -q
+
+      - name: Unittests with tox & pytest
+        uses: nick-fields/retry@v3
+        with:
+          timeout_minutes: 90
+          max_attempts: 3
+          retry_on: error
+          new_command_on_retry: |
+            python -m pip install -U pip wheel tox tox-gh-actions
+            python -m pip install -i https://test.pypi.org/simple/ --extra-index-url https://pypi.org/simple empyrical-reloaded[test]
+            tox -p auto -q
+
+          command: tox
diff --git a/README.md b/README.md
@@ -32,10 +32,13 @@ conda install empyrical-reloaded -c conda-forge
 
 empyrical requires and installs the following packages while executing the above commands:
 
-- numpy>=1.9.2
-- pandas>=1.0.0
+- numpy>=1.23.5
+- pandas>=1.3.0
 - scipy>=0.15.1
 
+> Note that Numpy>=2.0 requires pandas>=2.2.2. If you are using an older version of pandas, you may need to upgrade
+> accordingly, otherwise you may encounter compatibility issues.
+
 Optional dependencies include [yfinance](https://github.com/ranaroussi/yfinance) to download price data
 from [Yahoo! Finance](https://finance.yahoo.com/)
 and [pandas-datareader](https://pandas-datareader.readthedocs.io/en/latest/) to
@@ -129,18 +132,67 @@ risk_factors = emp.utils.get_fama_french()
 
 pd.concat([risk_factors.head(), risk_factors.tail()])
 
-                           Mkt-RF     SMB     HML       RF     Mom
+Mkt - RF
+SMB
+HML
+RF
+Mom
 Date
-1970-01-02 00:00:00+00:00  0.0118  0.0129  0.0101  0.00029 -0.0340
-1970-01-05 00:00:00+00:00  0.0059  0.0067  0.0072  0.00029 -0.0153
-1970-01-06 00:00:00+00:00 -0.0074  0.0010  0.0021  0.00029  0.0038
-1970-01-07 00:00:00+00:00 -0.0015  0.0040 -0.0033  0.00029  0.0011
-1970-01-08 00:00:00+00:00  0.0004  0.0018 -0.0017  0.00029  0.0033
-2024-03-22 00:00:00+00:00 -0.0023 -0.0087 -0.0053  0.00021  0.0043
-2024-03-25 00:00:00+00:00 -0.0026 -0.0024  0.0088  0.00021 -0.0034
-2024-03-26 00:00:00+00:00 -0.0026  0.0009 -0.0013  0.00021  0.0009
-2024-03-27 00:00:00+00:00  0.0088  0.0104  0.0091  0.00021 -0.0134
-2024-03-28 00:00:00+00:00  0.0010  0.0029  0.0048  0.00021 -0.0044
+1970 - 01 - 02
+00: 00:00 + 00: 00
+0.0118
+0.0129
+0.0101
+0.00029 - 0.0340
+1970 - 01 - 05
+00: 00:00 + 00: 00
+0.0059
+0.0067
+0.0072
+0.00029 - 0.0153
+1970 - 01 - 06
+00: 00:00 + 00: 00 - 0.0074
+0.0010
+0.0021
+0.00029
+0.0038
+1970 - 01 - 07
+00: 00:00 + 00: 00 - 0.0015
+0.0040 - 0.0033
+0.00029
+0.0011
+1970 - 01 - 0
+8
+00: 00:00 + 00: 00
+0.0004
+0.0018 - 0.0017
+0.00029
+0.0033
+2024 - 03 - 22
+00: 00:00 + 00: 00 - 0.0023 - 0.0087 - 0.0053
+0.00021
+0.0043
+2024 - 03 - 25
+00: 00:00 + 00: 00 - 0.0026 - 0.0024
+0.0088
+0.00021 - 0.0034
+2024 - 03 - 26
+00: 00:00 + 00: 00 - 0.0026
+0.0009 - 0.0013
+0.00021
+0.0009
+2024 - 03 - 27
+00: 00:00 + 00: 00
+0.0088
+0.0104
+0.0091
+0.00021 - 0.0134
+2024 - 03 - 28
+00: 00:00 + 00: 00
+0.0010
+0.0029
+0.0048
+0.00021 - 0.0044
 ```
 
 ### Asset Prices and Benchmark Returns

diff --git a/pyproject.toml b/pyproject.toml
@@ -15,27 +15,32 @@ maintainers = [
 classifiers = [
     "Development Status :: 4 - Beta",
     "Programming Language :: Python",
-    "Programming Language :: Python :: 3.8",
     "Programming Language :: Python :: 3.9",
     "Programming Language :: Python :: 3.10",
     "Programming Language :: Python :: 3.11",
+    "Programming Language :: Python :: 3.12",
     "License :: OSI Approved :: Apache Software License",
     "Intended Audience :: Science/Research",
     "Topic :: Scientific/Engineering",
     "Topic :: Scientific/Engineering :: Mathematics",
     "Operating System :: OS Independent"
 ]
 
-requires-python = ">=3.7"
+requires-python = ">=3.9"
 dynamic = ["version"]
 
 
 license = { file = "LICENSE" }
 
 dependencies = [
-    "numpy >=1.9.2",
+    # following pandas
+    "numpy>=1.23.5; python_version<'3.12'",
+    "numpy>=1.26.0; python_version>='3.12'",
+    #    "numpy>=2.0; python_version>='3.12'",
+    "pandas >=1.3.0; python_version<'3.12'",
+    "pandas>=2.2.2; python_version>='3.12'",
     "bottleneck >=1.3.0",
-    "pandas >=1.0.0",
+    "pandas >=1.3.0",
     "scipy >=0.15.1",
     "peewee<3.17.4" # awwaiting bugfix in latest version: https://github.com/coleifer/peewee/issues/2891
 ]
@@ -49,8 +54,9 @@ repository = 'https://github.com/stefan-jansen/empyrical-reloaded'
 requires = [
     "setuptools>=54.0.0",
     "setuptools_scm[toml]>=6.2",
-    "wheel>=0.31.0",
-    "oldest-supported-numpy; python_version>='3.7'"
+#    "wheel>=0.31.0",
+    #    "numpy>=2.0rc1; python_version>='3.9'",
+    #        "oldest-supported-numpy; python_version>='3.9'"
 ]
 build-backend = "setuptools.build_meta"
 
@@ -102,7 +108,8 @@ write_to = "src/empyrical/_version.py"
 version_scheme = 'guess-next-dev'
 local_scheme = 'dirty-tag'
 
-[tool.pytest]
+[tool.pytest.ini_options]
+pythonpath = 'src'
 testpaths = 'tests'
 addopts = '-v'
 
@@ -138,7 +145,17 @@ exclude = '''
 [tool.tox]
 legacy_tox_ini = """
 [tox]
-envlist = py39-pandas12, py{39,310}-pandas{13,14,15}, py311-pandas15, py312-pandas20
+
+envlist =
+    py39-pandas{13,14,15}-numpy1
+    py310-pandas{13,14,15,20,21,22}-numpy1
+    py311-pandas{13,14,15,20,21,22}-numpy1
+    py312-pandas{13,14,15,20,21,22}-numpy1
+    py39-pandas222-numpy2
+    py310-pandas222-numpy2
+    py311-pandas222-numpy2
+    py312-pandas222-numpy2
+
 isolated_build = True
 skip_missing_interpreters = True
 minversion = 3.23.0
@@ -158,11 +175,16 @@ setenv =
 changedir = tmp
 extras = test
 deps =
-    pandas12: pandas>=1.2.0,<1.3
     pandas13: pandas>=1.3.0,<1.4
     pandas14: pandas>=1.4.0,<1.5
     pandas15: pandas>=1.5.0,<1.6
-    pandas20: pandas>=2.0.0
+    pandas20: pandas>=2.0,<2.1
+    pandas21: pandas>=2.1,<2.2
+    pandas22: pandas>=2.2,<2.3
+    pandas222: pandas>=2.2.2,<2.3
+    numpy1: numpy>=1.23.5,<2.0
+    numpy2: numpy>=2.0,<2.1
+
 
 commands =
     pytest --cov={toxinidir}/src --cov-report term  --cov-report=xml --cov-report=html:htmlcov {toxinidir}/tests

diff --git a/src/empyrical/stats.py b/src/empyrical/stats.py
@@ -818,7 +818,7 @@ def downside_risk(
             np.asanyarray(returns),
             np.asanyarray(required_return),
         ),
-        np.NINF,
+        -np.inf,
         0,
     )
 

diff --git a/tests/conftest.py b/tests/conftest.py
@@ -1,6 +1,11 @@
 import pytest
 import pandas as pd
 import numpy as np
+from packaging.version import Version
+
+PANDAS22 = Version(pd.__version__) >= Version("2.2.0")
+monthly = "ME" if PANDAS22 else "M"
+annual = "YE" if PANDAS22 else "A"
 
 
 @pytest.fixture(scope="function")
@@ -11,12 +16,12 @@ def set_helpers(request):
 
     request.cls.returns = pd.Series(
         rand.randn(1, 120)[0] / 100.0,
-        index=pd.date_range("2000-1-30", periods=120, freq="M"),
+        index=pd.date_range("2000-1-30", periods=120, freq=monthly),
     )
 
     request.cls.factor_returns = pd.Series(
         rand.randn(1, 120)[0] / 100.0,
-        index=pd.date_range("2000-1-30", periods=120, freq="M"),
+        index=pd.date_range("2000-1-30", periods=120, freq=monthly),
     )
 
 
@@ -85,7 +90,7 @@ def input_data():
 
     df_index_simple = pd.date_range("2000-1-30", periods=8, freq="D")
     df_index_week = pd.date_range("2000-1-30", periods=8, freq="W")
-    df_index_month = pd.date_range("2000-1-30", periods=8, freq="M")
+    df_index_month = pd.date_range("2000-1-30", periods=8, freq=monthly)
 
     df_week = pd.DataFrame(
         {
@@ -176,7 +181,7 @@ def input_data():
         # Monthly returns
         "monthly_returns": pd.Series(
             np.array([0.0, 1.0, 10.0, -4.0, 2.0, 3.0, 2.0, 1.0, -10.0]) / 100,
-            index=pd.date_range("2000-1-30", periods=9, freq="M"),
+            index=pd.date_range("2000-1-30", periods=9, freq=monthly),
         ),
         # Series of length 1
         "one_return": pd.Series(
@@ -214,7 +219,7 @@ def input_data():
         ),
         "flat_line_yearly": pd.Series(
             np.array([3.0, 3.0, 3.0]) / 100,
-            index=pd.date_range("2000-1-30", periods=3, freq="A"),
+            index=pd.date_range("2000-1-30", periods=3, freq=annual),
         ),
         # Positive line
         "pos_line": pd.Series(
-Original file line number
+Diff line change
@@ Expand Up / @@ -818,7 +818,7 @@ def downside_risk( @@
                 np.asanyarray(returns),
                 np.asanyarray(required_return),
             ),
-            np.NINF,
+            -np.inf,
 ,
         )
@@ Expand Down @@