Merge pull request #628 from quantopian/empyrical-backwards-compat

Empyrical backwards compat

Author: richafrank

pyfolio/pos.py

@@ -24,7 +24,7 @@
 except ImportError:
     ZIPLINE = False
     warnings.warn(
-        'Module "zipline.assets" not found; mutltipliers will not be applied' +
+        'Module "zipline.assets" not found; multipliers will not be applied'
         ' to position notionals.'
     )
 

pyfolio/tests/test_perf_attrib.py

@@ -11,6 +11,17 @@
 )
 
 
+def _empyrical_compat_perf_attrib_result(index, columns, data):
+    if ep.__version__ < '0.5.2':
+        # Newer columns were added in empyrical v0.5.2. These exist in older
+        # and newer empyrical:
+        columns = ['risk_factor1', 'risk_factor2', 'common_returns',
+                   'specific_returns', 'total_returns']
+        data = {k: v for k, v in data.items() if k in columns}
+
+    return pd.DataFrame(index=index, columns=columns, data=data)
+
+
 def generate_toy_risk_model_output(start_date='2017-01-01', periods=10,
                                    num_styles=2):
     """
@@ -115,7 +126,7 @@ def test_perf_attrib_simple(self):
                   'risk_factor2': [0.25, 0.25, 0.25, 0.25]}
         )
 
-        expected_perf_attrib_output = pd.DataFrame(
+        expected_perf_attrib_output = _empyrical_compat_perf_attrib_result(
             index=dts,
             columns=['risk_factor1', 'risk_factor2', 'total_returns',
                      'common_returns', 'specific_returns',
@@ -158,7 +169,7 @@ def test_perf_attrib_simple(self):
                                                               factor_returns,
                                                               factor_loadings)
 
-        expected_perf_attrib_output = pd.DataFrame(
+        expected_perf_attrib_output = _empyrical_compat_perf_attrib_result(
             index=dts,
             columns=['risk_factor1', 'risk_factor2', 'total_returns',
                      'common_returns', 'specific_returns',

setup.py

@@ -39,10 +39,7 @@
                'Topic :: Scientific/Engineering :: Mathematics',
                'Operating System :: OS Independent']
 
-if (sys.version_info.major, sys.version_info.minor) >= (3, 3):
-    support_ipython_6 = True
-else:
-    support_ipython_6 = False
+support_ipython_6 = (sys.version_info >= (3, 3))
 
 install_reqs = [
     'ipython>=3.2.3' if support_ipython_6 else 'ipython>=3.2.3, <6',
@@ -53,7 +50,7 @@
     'scipy>=0.14.0',
     'scikit-learn>=0.16.1',
     'seaborn>=0.7.1',
-    'empyrical>=0.5.2'
+    'empyrical>=0.5.0',
 ]
 
 test_reqs = ['nose>=1.3.7', 'nose-parameterized>=0.5.0', 'runipy>=0.1.3']