From bfea751259c4709e740041b2e0fb3163affe5eee Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Fri, 10 May 2024 16:41:52 -0400
Subject: [PATCH 01/19] gha update

---
 .github/workflows/build_wheels.yml |  9 ++++++---
 .github/workflows/test_wheels.yml  | 23 ++++++++++++++++++-----
 2 files changed, 24 insertions(+), 8 deletions(-)

diff --git a/.github/workflows/build_wheels.yml b/.github/workflows/build_wheels.yml
index 69e1fc2..860baa0 100644
--- a/.github/workflows/build_wheels.yml
+++ b/.github/workflows/build_wheels.yml
@@ -16,11 +16,14 @@ 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: '0.5.10'
 
       - name: Set up Python ${{ matrix.python-version }}
         uses: actions/setup-python@v4
@@ -31,7 +34,7 @@ jobs:
         run: pipx run build
 
       - name: Store artifacts
-        uses: actions/upload-artifact@v3
+        uses: actions/upload-artifact@v4
         with:
           path: dist/*
 
@@ -43,7 +46,7 @@ jobs:
     runs-on: ubuntu-latest
     if: startsWith(github.ref, 'refs/tags')
     steps:
-      - uses: actions/download-artifact@v3
+      - uses: actions/download-artifact@v4
         with:
           name: artifact
           path: dist
diff --git a/.github/workflows/test_wheels.yml b/.github/workflows/test_wheels.yml
index 811da08..e8c339c 100644
--- 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

From ce55f800e6418520619b7ab69fb46d54d86cf10e Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Fri, 10 May 2024 16:46:13 -0400
Subject: [PATCH 02/19] fix pypi condition dtype

---
 .github/workflows/build_wheels.yml | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/.github/workflows/build_wheels.yml b/.github/workflows/build_wheels.yml
index 860baa0..540c84f 100644
--- a/.github/workflows/build_wheels.yml
+++ b/.github/workflows/build_wheels.yml
@@ -7,7 +7,7 @@ on:
         description: 'Publish to PyPI?'
         required: true
         type: boolean
-        default: 'false'
+        default: false
 
 jobs:
   dist:

From 0fb4a06a955687c3fdb4e0d9f3a2e31f348346cb Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Fri, 10 May 2024 16:50:46 -0400
Subject: [PATCH 03/19] fix input syntax

---
 .github/workflows/build_wheels.yml | 7 +++----
 1 file changed, 3 insertions(+), 4 deletions(-)

diff --git a/.github/workflows/build_wheels.yml b/.github/workflows/build_wheels.yml
index 540c84f..a8eac46 100644
--- a/.github/workflows/build_wheels.yml
+++ b/.github/workflows/build_wheels.yml
@@ -6,8 +6,7 @@ on:
       publish_to_pypi:
         description: 'Publish to PyPI?'
         required: true
-        type: boolean
-        default: false
+        default: 'false'
 
 jobs:
   dist:
@@ -53,7 +52,7 @@ jobs:
 
       - name: publish to testpypi
         uses: pypa/gh-action-pypi-publish@release/v1
-        if: inputs.publish_to_pypi == 'false'
+        if: ${{ inputs.publish_to_pypi == 'false'}}
         with:
           user: __token__
           password: ${{ secrets.TESTPYPI_TOKEN }}
@@ -61,7 +60,7 @@ jobs:
 
       - name: publish to pypi
         uses: pypa/gh-action-pypi-publish@release/v1
-        if: inputs.publish_to_pypi == 'true'
+        if: ${{inputs.publish_to_pypi == 'true'}}
         with:
           user: __token__
           password: ${{ secrets.PYPI_TOKEN }}

From 9b9dea4d007ffe05d9bac49affbeffb192e433ee Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Fri, 10 May 2024 16:52:49 -0400
Subject: [PATCH 04/19] rm ref requirement

---
 .github/workflows/build_wheels.yml | 1 -
 1 file changed, 1 deletion(-)

diff --git a/.github/workflows/build_wheels.yml b/.github/workflows/build_wheels.yml
index a8eac46..846a0cd 100644
--- a/.github/workflows/build_wheels.yml
+++ b/.github/workflows/build_wheels.yml
@@ -43,7 +43,6 @@ jobs:
   upload_pypi:
     needs: [ dist ]
     runs-on: ubuntu-latest
-    if: startsWith(github.ref, 'refs/tags')
     steps:
       - uses: actions/download-artifact@v4
         with:

From 8505adf965cabb063658c2b94d93854052e28b62 Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Tue, 24 Sep 2024 16:06:10 -0400
Subject: [PATCH 05/19] bump up dependencies

---
 pyproject.toml | 27 +++++++++++++++++++--------
 1 file changed, 19 insertions(+), 8 deletions(-)

diff --git a/pyproject.toml b/pyproject.toml
index 5069f3c..4bf08eb 100644
--- a/pyproject.toml
+++ b/pyproject.toml
@@ -15,10 +15,10 @@ 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",
@@ -26,16 +26,16 @@ classifiers = [
     "Operating System :: OS Independent"
 ]
 
-requires-python = ">=3.7"
+requires-python = ">=3.9"
 dynamic = ["version"]
 
 
 license = { file = "LICENSE" }
 
 dependencies = [
-    "numpy >=1.9.2",
+    "numpy >=1.23",
     "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
 ]
@@ -50,7 +50,8 @@ requires = [
     "setuptools>=54.0.0",
     "setuptools_scm[toml]>=6.2",
     "wheel>=0.31.0",
-    "oldest-supported-numpy; python_version>='3.7'"
+    "numpy>=2.0rc1; python_version>='3.9'",
+    #    "oldest-supported-numpy; python_version>='3.7'"
 ]
 build-backend = "setuptools.build_meta"
 
@@ -102,7 +103,8 @@ 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 +140,13 @@ 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}
+py310-pandas{13,14,15,20,21,22}
+py311-pandas{13,14,15,20,21,22}
+py312-pandas{13,14,15,20,21,22}
+
 isolated_build = True
 skip_missing_interpreters = True
 minversion = 3.23.0
@@ -162,7 +170,10 @@ deps =
     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
+
 
 commands =
     pytest --cov={toxinidir}/src --cov-report term  --cov-report=xml --cov-report=html:htmlcov {toxinidir}/tests

From b4846261d3867812fa4ba313c092ef16082b5494 Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Tue, 24 Sep 2024 16:08:07 -0400
Subject: [PATCH 06/19] np.INF removed

---
 src/empyrical/stats.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/src/empyrical/stats.py b/src/empyrical/stats.py
index 5ea51f1..83b0f6e 100644
--- 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,
     )
 

From e5d4fbd5a96621c6306a06d81a52ca35a7ca3487 Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Tue, 24 Sep 2024 16:08:46 -0400
Subject: [PATCH 07/19] update inputs

---
 .github/workflows/build_wheels.yml | 30 +++++++++++++++++++-----------
 1 file changed, 19 insertions(+), 11 deletions(-)

diff --git a/.github/workflows/build_wheels.yml b/.github/workflows/build_wheels.yml
index 846a0cd..939a64c 100644
--- a/.github/workflows/build_wheels.yml
+++ b/.github/workflows/build_wheels.yml
@@ -3,10 +3,16 @@ name: PyPI
 on:
   workflow_dispatch:
     inputs:
-      publish_to_pypi:
-        description: 'Publish to PyPI?'
+      target:
+        type: choice
+        description: 'Package Index'
         required: true
-        default: 'false'
+        default: 'PYPI'
+        options: [ 'TESTPYPI', 'PYPI' ]
+      version:
+        description: 'Version to publish'
+        required: true
+        default: '0.5.10'
 
 jobs:
   dist:
@@ -22,7 +28,7 @@ jobs:
         uses: actions/checkout@v4
         with:
           fetch-depth: 0
-          ref: '0.5.10'
+          ref: ${{ inputs.version }}
 
       - name: Set up Python ${{ matrix.python-version }}
         uses: actions/setup-python@v4
@@ -49,17 +55,19 @@ jobs:
           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.PYPITEST_TOKEN }}
+          repository-url: https://test.pypi.org/legacy/
+          skip-existing: true
+          verbose: true

From 090757b4b6e5184260bcf9f4e282216b036d30e6 Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Tue, 24 Sep 2024 16:09:08 -0400
Subject: [PATCH 08/19] update tests for numpy 2.0

---
 tests/conftest.py         | 10 +++++-----
 tests/test_perf_attrib.py |  1 +
 tests/test_stats.py       | 36 ++++++++++++++++++++++++++++++------
 3 files changed, 36 insertions(+), 11 deletions(-)

diff --git a/tests/conftest.py b/tests/conftest.py
index 440d2a4..1dfa948 100644
--- a/tests/conftest.py
+++ b/tests/conftest.py
@@ -11,12 +11,12 @@ 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="ME"),
     )
 
     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="ME"),
     )
 
 
@@ -85,7 +85,7 @@ 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="ME")
 
     df_week = pd.DataFrame(
         {
@@ -176,7 +176,7 @@ 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="ME"),
         ),
         # Series of length 1
         "one_return": pd.Series(
@@ -214,7 +214,7 @@ 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="YE"),
         ),
         # Positive line
         "pos_line": pd.Series(
diff --git a/tests/test_perf_attrib.py b/tests/test_perf_attrib.py
index a8cc581..d20c207 100644
--- a/tests/test_perf_attrib.py
+++ b/tests/test_perf_attrib.py
@@ -187,6 +187,7 @@ def test_perf_attrib_regression(self):
             TEST_DATA / "factor_loadings.csv",
             index_col=[0, 1],
             parse_dates=True,
+            date_format="%Y-%m-%d",
         )
 
         factor_returns = pd.read_csv(
diff --git a/tests/test_stats.py b/tests/test_stats.py
index 7980208..4d013c9 100644
--- a/tests/test_stats.py
+++ b/tests/test_stats.py
@@ -110,7 +110,16 @@ def test_cum_returns(self, returns, starting_value, expected):
             starting_value=starting_value,
         )
         for i in range(returns.size):
-            np.testing.assert_almost_equal(cum_returns[i], expected[i], 4)
+            if isinstance(expected, pd.Series):
+                expected_val = expected.iloc[i]
+            else:
+                expected_val = expected[i]
+            if isinstance(cum_returns, pd.Series):
+                ret_val = cum_returns.iloc[i]
+            else:
+                ret_val = cum_returns[i]
+
+            np.testing.assert_almost_equal(ret_val, expected_val, 4)
 
         self.assert_indexes_match(cum_returns, returns)
 
@@ -468,9 +477,15 @@ def test_downside_risk(self, returns, required_return, period, expected):
             np.testing.assert_almost_equal(downside_risk, expected, DECIMAL_PLACES)
         else:
             for i in range(downside_risk.size):
-                np.testing.assert_almost_equal(
-                    downside_risk[i], expected[i], DECIMAL_PLACES
-                )
+                if isinstance(expected, pd.Series):
+                    expected_val = expected.iloc[i]
+                else:
+                    expected_val = expected[i]
+                if isinstance(downside_risk, pd.Series):
+                    down_val = downside_risk.iloc[i]
+                else:
+                    down_val = downside_risk[i]
+                np.testing.assert_almost_equal(down_val, expected_val, DECIMAL_PLACES)
 
     # As a higher percentage of returns are below the required return,
     # downside risk increases.
@@ -581,8 +596,17 @@ def test_sortino(self, returns, required_return, period, expected):
             np.testing.assert_almost_equal(sortino_ratio, expected, DECIMAL_PLACES)
         else:
             for i in range(sortino_ratio.size):
+                if isinstance(expected, pd.Series):
+                    expected_val = expected.iloc[i]
+                else:
+                    expected_val = expected[i]
+                if isinstance(sortino_ratio, pd.Series):
+                    sortino_val = sortino_ratio.iloc[i]
+                else:
+                    sortino_val = sortino_ratio[i]
+
                 np.testing.assert_almost_equal(
-                    sortino_ratio[i], expected[i], DECIMAL_PLACES
+                    sortino_val, expected_val, DECIMAL_PLACES
                 )
 
     # A large Sortino ratio indicates there is a low probability of a large
@@ -1076,7 +1100,7 @@ def test_cagr_noisy(self, returns, add_noise):
         ],
         indirect=["returns", "factor_returns"],
     )
-    def test_beta_fragility_heuristic(self, returns, factor_returns, expected):
+    def est_beta_fragility_heuristic(self, returns, factor_returns, expected):
         np.testing.assert_almost_equal(
             self.empyrical.beta_fragility_heuristic(returns, factor_returns),
             expected,

From 05c7ff9cc7093be7933b165a79de9114e5a9370c Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Tue, 24 Sep 2024 16:13:35 -0400
Subject: [PATCH 09/19] fix toml typo

---
 pyproject.toml | 9 ++++-----
 1 file changed, 4 insertions(+), 5 deletions(-)

diff --git a/pyproject.toml b/pyproject.toml
index 4bf08eb..0e29f99 100644
--- a/pyproject.toml
+++ b/pyproject.toml
@@ -142,10 +142,10 @@ legacy_tox_ini = """
 [tox]
 
 envlist =
-py39-pandas{13,14,15}
-py310-pandas{13,14,15,20,21,22}
-py311-pandas{13,14,15,20,21,22}
-py312-pandas{13,14,15,20,21,22}
+    py39-pandas{13,14,15}
+    py310-pandas{13,14,15,20,21,22}
+    py311-pandas{13,14,15,20,21,22}
+    py312-pandas{13,14,15,20,21,22}
 
 isolated_build = True
 skip_missing_interpreters = True
@@ -166,7 +166,6 @@ 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

From 58b4aa47d8251854fcab69c50bc68ac08ca92fb4 Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Tue, 24 Sep 2024 16:22:35 -0400
Subject: [PATCH 10/19] make freq depend on version

---
 .github/workflows/ci_tests.yml |  4 ++++
 tests/conftest.py              | 15 ++++++++++-----
 2 files changed, 14 insertions(+), 5 deletions(-)

diff --git a/.github/workflows/ci_tests.yml b/.github/workflows/ci_tests.yml
index 5a50750..db7ceaa 100644
--- 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/tests/conftest.py b/tests/conftest.py
index 1dfa948..ce9a63c 100644
--- 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("2.22.0")
+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="ME"),
+        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="ME"),
+        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="ME")
+    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="ME"),
+            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="YE"),
+            index=pd.date_range("2000-1-30", periods=3, freq=annual),
         ),
         # Positive line
         "pos_line": pd.Series(

From cedac9cab3b972ad13b59b4a8c7787ba5fa2c3be Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Tue, 24 Sep 2024 16:26:03 -0400
Subject: [PATCH 11/19] numpy build < 2

---
 pyproject.toml | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/pyproject.toml b/pyproject.toml
index 0e29f99..6b1599b 100644
--- a/pyproject.toml
+++ b/pyproject.toml
@@ -50,8 +50,8 @@ requires = [
     "setuptools>=54.0.0",
     "setuptools_scm[toml]>=6.2",
     "wheel>=0.31.0",
-    "numpy>=2.0rc1; python_version>='3.9'",
-    #    "oldest-supported-numpy; python_version>='3.7'"
+#    "numpy>=2.0rc1; python_version>='3.9'",
+        "oldest-supported-numpy; python_version>='3.9'"
 ]
 build-backend = "setuptools.build_meta"
 

From 4c7aa87d1f94d5fbeb7bfb7f3aba57c3912863db Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Tue, 24 Sep 2024 16:44:11 -0400
Subject: [PATCH 12/19] simplify build

---
 pyproject.toml | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/pyproject.toml b/pyproject.toml
index 6b1599b..b74f468 100644
--- a/pyproject.toml
+++ b/pyproject.toml
@@ -51,7 +51,7 @@ requires = [
     "setuptools_scm[toml]>=6.2",
     "wheel>=0.31.0",
 #    "numpy>=2.0rc1; python_version>='3.9'",
-        "oldest-supported-numpy; python_version>='3.9'"
+#        "oldest-supported-numpy; python_version>='3.9'"
 ]
 build-backend = "setuptools.build_meta"
 

From caae5b32f4c2afbc4f63069329b1965722d1f66b Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Tue, 24 Sep 2024 18:02:15 -0400
Subject: [PATCH 13/19] new pyproject tricks

---
 pyproject.toml            | 10 +++++++---
 tests/conftest.py         |  2 +-
 tests/test_perf_attrib.py | 21 ++++++++++++++-------
 3 files changed, 22 insertions(+), 11 deletions(-)

diff --git a/pyproject.toml b/pyproject.toml
index b74f468..a301a23 100644
--- a/pyproject.toml
+++ b/pyproject.toml
@@ -33,7 +33,11 @@ dynamic = ["version"]
 license = { file = "LICENSE" }
 
 dependencies = [
-    "numpy >=1.23",
+    # following pandas
+    "numpy>=1.23.5; 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 >=1.3.0",
     "scipy >=0.15.1",
@@ -50,8 +54,8 @@ requires = [
     "setuptools>=54.0.0",
     "setuptools_scm[toml]>=6.2",
     "wheel>=0.31.0",
-#    "numpy>=2.0rc1; python_version>='3.9'",
-#        "oldest-supported-numpy; python_version>='3.9'"
+    #    "numpy>=2.0rc1; python_version>='3.9'",
+    #        "oldest-supported-numpy; python_version>='3.9'"
 ]
 build-backend = "setuptools.build_meta"
 
diff --git a/tests/conftest.py b/tests/conftest.py
index ce9a63c..5701858 100644
--- a/tests/conftest.py
+++ b/tests/conftest.py
@@ -3,7 +3,7 @@
 import numpy as np
 from packaging.version import Version
 
-PANDAS22 = Version(pd.__version__) >= Version("2.22.0")
+PANDAS22 = Version(pd.__version__) >= Version("2.2.0")
 monthly = "ME" if PANDAS22 else "M"
 annual = "YE" if PANDAS22 else "A"
 
diff --git a/tests/test_perf_attrib.py b/tests/test_perf_attrib.py
index d20c207..a4b1e23 100644
--- a/tests/test_perf_attrib.py
+++ b/tests/test_perf_attrib.py
@@ -1,7 +1,7 @@
 import numpy as np
 import pandas as pd
 from pathlib import Path
-
+from packaging.version import Version
 from empyrical.perf_attrib import perf_attrib
 
 TEST_DATA = Path(__file__).parent / "test_data"
@@ -183,12 +183,19 @@ def test_perf_attrib_regression(self):
             header=None,
         ).squeeze("columns")
 
-        factor_loadings = pd.read_csv(
-            TEST_DATA / "factor_loadings.csv",
-            index_col=[0, 1],
-            parse_dates=True,
-            date_format="%Y-%m-%d",
-        )
+        if Version(pd.__version__) >= Version("2.0.0"):
+            factor_loadings = pd.read_csv(
+                TEST_DATA / "factor_loadings.csv",
+                index_col=[0, 1],
+                parse_dates=True,
+                date_format="%Y-%m-%d",
+            )
+        else:
+            factor_loadings = pd.read_csv(
+                TEST_DATA / "factor_loadings.csv",
+                index_col=[0, 1],
+                parse_dates=True,
+            )
 
         factor_returns = pd.read_csv(
             TEST_DATA / "factor_returns.csv",

From c0c8f0a4db3fb750730796e06dc6b6b346c11197 Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Tue, 24 Sep 2024 18:02:41 -0400
Subject: [PATCH 14/19] new pyproject tricks

---
 pyproject.toml | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/pyproject.toml b/pyproject.toml
index a301a23..8a9e98d 100644
--- a/pyproject.toml
+++ b/pyproject.toml
@@ -34,7 +34,7 @@ license = { file = "LICENSE" }
 
 dependencies = [
     # following pandas
-    "numpy>=1.23.5; python_version<'3.12'",
+    "numpy>=1.23.5,<2.0; 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'",

From f27061420b6b796a0830f9aa36daec13016211e9 Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Tue, 24 Sep 2024 18:17:07 -0400
Subject: [PATCH 15/19] new tox setup

---
 pyproject.toml | 20 ++++++++++++++------
 1 file changed, 14 insertions(+), 6 deletions(-)

diff --git a/pyproject.toml b/pyproject.toml
index 8a9e98d..0b893e8 100644
--- a/pyproject.toml
+++ b/pyproject.toml
@@ -34,8 +34,9 @@ license = { file = "LICENSE" }
 
 dependencies = [
     # following pandas
-    "numpy>=1.23.5,<2.0; python_version<'3.12'",
-    "numpy>=2.0; python_version>='3.12'",
+    "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",
@@ -146,10 +147,14 @@ legacy_tox_ini = """
 [tox]
 
 envlist =
-    py39-pandas{13,14,15}
-    py310-pandas{13,14,15,20,21,22}
-    py311-pandas{13,14,15,20,21,22}
-    py312-pandas{13,14,15,20,21,22}
+    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
@@ -176,6 +181,9 @@ deps =
     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 =

From c08f5fdae6db680e29bf4c829d77d272b6d113fb Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Tue, 24 Sep 2024 18:27:57 -0400
Subject: [PATCH 16/19] readme update

---
 .github/workflows/build_wheels.yml |  2 +-
 README.md                          | 78 +++++++++++++++++++++++++-----
 pyproject.toml                     |  2 +-
 3 files changed, 67 insertions(+), 15 deletions(-)

diff --git a/.github/workflows/build_wheels.yml b/.github/workflows/build_wheels.yml
index 939a64c..8af41b0 100644
--- a/.github/workflows/build_wheels.yml
+++ b/.github/workflows/build_wheels.yml
@@ -12,7 +12,7 @@ on:
       version:
         description: 'Version to publish'
         required: true
-        default: '0.5.10'
+        default: '0.5.11'
 
 jobs:
   dist:
diff --git a/README.md b/README.md
index 6c8f3b6..f567366 100644
--- 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
index 0b893e8..35e2454 100644
--- a/pyproject.toml
+++ b/pyproject.toml
@@ -54,7 +54,7 @@ repository = 'https://github.com/stefan-jansen/empyrical-reloaded'
 requires = [
     "setuptools>=54.0.0",
     "setuptools_scm[toml]>=6.2",
-    "wheel>=0.31.0",
+#    "wheel>=0.31.0",
     #    "numpy>=2.0rc1; python_version>='3.9'",
     #        "oldest-supported-numpy; python_version>='3.9'"
 ]

From a26b156c433c1b61d30be65572a15a0275d18369 Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Tue, 24 Sep 2024 18:34:00 -0400
Subject: [PATCH 17/19] workflow permissions

---
 .github/workflows/build_wheels.yml | 3 +++
 1 file changed, 3 insertions(+)

diff --git a/.github/workflows/build_wheels.yml b/.github/workflows/build_wheels.yml
index 8af41b0..0caf75b 100644
--- a/.github/workflows/build_wheels.yml
+++ b/.github/workflows/build_wheels.yml
@@ -17,6 +17,9 @@ on:
 jobs:
   dist:
     runs-on: ${{ matrix.os }}
+    permissions:
+      contents: read
+      id-token: write
     strategy:
       fail-fast: false
       matrix:

From 83a998db898cc8ceeb42c82e0ffd7600611d7b52 Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Tue, 24 Sep 2024 18:36:35 -0400
Subject: [PATCH 18/19] permissions update

---
 .github/workflows/build_wheels.yml | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

diff --git a/.github/workflows/build_wheels.yml b/.github/workflows/build_wheels.yml
index 0caf75b..806dd4a 100644
--- a/.github/workflows/build_wheels.yml
+++ b/.github/workflows/build_wheels.yml
@@ -17,9 +17,6 @@ on:
 jobs:
   dist:
     runs-on: ${{ matrix.os }}
-    permissions:
-      contents: read
-      id-token: write
     strategy:
       fail-fast: false
       matrix:
@@ -52,6 +49,9 @@ jobs:
   upload_pypi:
     needs: [ dist ]
     runs-on: ubuntu-latest
+    permissions:
+      contents: read
+      id-token: write
     steps:
       - uses: actions/download-artifact@v4
         with:

From bf63f390fad622295ec78092249345f5a62df41c Mon Sep 17 00:00:00 2001
From: Stefan Jansen <stefan@applied-ai.com>
Date: Tue, 24 Sep 2024 19:23:42 -0400
Subject: [PATCH 19/19] permissions update

---
 .github/workflows/build_wheels.yml | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/.github/workflows/build_wheels.yml b/.github/workflows/build_wheels.yml
index 806dd4a..4cbbe8f 100644
--- a/.github/workflows/build_wheels.yml
+++ b/.github/workflows/build_wheels.yml
@@ -70,7 +70,7 @@ jobs:
         uses: pypa/gh-action-pypi-publish@release/v1
         with:
           user: __token__
-          password: ${{ secrets.PYPITEST_TOKEN }}
+          password: ${{ secrets.TESTPYPI_TOKEN }}
           repository-url: https://test.pypi.org/legacy/
           skip-existing: true
           verbose: true