1.0.0

What's Changed

• Adding GitHub actions workflow for python testing by @ben9809 in #101
• Fix data importer by @ben9809 in #103
• Poetry Setup for Enhanced Compatibility Across Python 3.8, 3.9, 3.10, 3.11, 3.12 by @ben9809 in #107
• Setup Poetry and Bumpversion by @ben9809 in #110
• code style optimization and upgrade action setups by @ben9809 in #111
• Workflow upgrade to relese a new package version by @ben9809 in #113
• Release 1.0.0 by @ben9809 in #114
• fix workflow execution by @ben9809 in #115
• Release 1.0.0 by @ben9809 in #117

New Contributors

• @ben9809 made their first contribution in #101

Full Changelog: 0.9.1...1.0.0

0.9.1

I just updated the readme of 0.9.0 so that the Pypi Readme file will update.

v0.9.0

Minor version bump

V0.8.1

What's Changed

• Set-up doctests on CircleCI. by @mnicstruwig in #83
• Feature/mac interface by @mnicstruwig in #91

Full Changelog: 0.8.0...0.8.1

V0.8.0

What's Changed

• Make distance approach work with pandas 2.0 by @mnicstruwig in #75
• Fix/auto arima by @mnicstruwig in #77
• Fix copula tests by @mnicstruwig in #79
• Make hedge ratios work with pandas 2.0 by @mnicstruwig in #76
• Fix/data importer by @mnicstruwig in #80
• Bump dependencies + Python 3.8 support by @mnicstruwig in #78
• Release/0.8.0 by @mnicstruwig in #81
• Do Release for 0.8.0 by @mnicstruwig in #82

New Contributors

• @mnicstruwig made their first contribution in #75

Full Changelog: 0.7.0...0.8.0

v0.7.0

New features in ArbitrageLab version 0.7.0:

Spread Selection Module:

• Updated Cointegration Pairs Selection Module to work with any type of spread (3-leg, N-leg spread).
• Added Spread Selection Module to the documentation.

Hedge Ratios Module:

• Added Johansen Eigenvector, Box-Tiao Canonical Decomposition, Minimum ADF Test T-statistic methods to Hedge Ratios Module.
• Updated Hedge Ratios Module to work with any type of spread (3-leg, N-leg spread).
• Reflected changes to Hedge Ratios Module in the documentation.

Copula Approach Module:

• Refactored all Copulas to allow independent use and fitting in the Copula Approach Module.
• Adjusted Copula Approach Module documentation.

Trading Module:

• Added Bollinger Band Strategy to the Trading Strategies Module.
• Created a separate Minimum Profit Trading Strategy in the Trading Strategies Module.
• Created a separate Multivariate Cointegration Trading Strategy in the Trading Strategies Module.
• Created a separate Basic Copula Trading Strategy in the Trading Strategies Module.
• Created a separate Mispricing Index Copula Trading Strategy in the Trading Strategies Module.
• Added Trading Module documentation.

General:

• Updated requirements versions to the newest stable numpy, pandas etc.
• Moved research notebooks to .zip format for distribution.
• Added Raw Docs for debugging to documentation.
• Added UML Diagram for debugging to documentation.
• Added blog post links to documentation.
• Added presentation slides and videos to documentation.

Bug Fixes:

• Fixed package breaking due to faulty werkzeug version.
• Fixed SCS package version breaking Sparse MR Module.

Notebooks:

• Added Hedge Ratios Module Notebook
• Updated Cointegration Module Notebooks
• Updated Copula Approach Module Notebooks
• Updated Spread Selection Notebook

v0.6.0

New features in ArbitrageLab version 0.6.0:

Time Series Approach Module:

• OU Optimal Threshold Model Bertram
• OU Optimal Threshold Model Zeng
• Markov Regime-Switching Model
• H-Strategy (Renko and Kagi) Model

Cointegration Approach Module:

• Scaling function for cointegration vectors

General:

• Changed the analytics we track to: MAC Address, Public IP, API_KEY, and Function Calls + time stamps

Bug Fixes:

• Fixed the API key validation and build server authentication
• Fixed maxed connections a day by pointing the get public IP server to AWS
• Fix unit tests not passing due to cvxpy bad installs

Notebooks:

• OU Optimal Threshold Model Bertram
• OU Optimal Threshold Model Zeng
• Markov Regime-Switching Model
• H-Strategy (Renko and Kagi) Model

v0.5.0

New features in ArbitrageLab version 0.5.0:

Visualization Module:

• Cointegration Tear Sheet
• OU Model Tear Sheet

Distance Approach Module:

• Pearson Distance Approach

Stochastic Control Approach Module:

• Optimal Convergence Model

Machine Learning Module:

• ML Approach Pairs Selection Module made more flexible - clustering and selection steps are now separate

Hedge Ratio Estimation Module:

• OLS, TLS, and Minimum HL Methods

Bug Fixes:

• Fixed bug in ML Approach Pairs Selector hedge ratio calculation (previously had included intercept)
• Fixed issue with too many function calls in web analytics

Notebooks:

• Pearson Distance Approach

v0.4.0

New features in ArbitrageLab version 0.4.0:

General:

• pyvinecopulib package added to dependencies

Copula Approach Module:

• Vine Copula Generation
• Vine Copula Trading Strategy
• Vine Copula Partner Selection

Distance Approach Module:

• Basic Distance Approach new pair selection methods (Variance, Industry, and Zero Crossing)

Stochastic Control Approach Module:

• OU Model Strategy by Jurek et al.
• OU Model Strategy by Mudchanatongsuk et al.

Notebooks:

• Vine Copula Strategy
• Vine Copula Partner Selection
• Updated Basic Distance Approach
• Basic Distance Pair Selection Comparison
• OU Model Strategy by Jurek et al.
• OU Model Strategy by Mudchanatongsuk et al.

v0.3.1

Minor patch for ArbitrageLab:

• Removed TensorFlow from requirements.