Fix for pandas 1.0 (#124)

* as_matrix was depricated then removed. to_numpy() works in this situation * updated travis to include pandas 1.0.x, python 3.7 numpy 1.18 and scipy 1.4.x - kept a python 2.7 with the last supported versions of pydata. * versions compatible with conda for travis * old scipy and numpy * old scipy and numpy * old scipy and numpy * old scipy and numpy * old scipy and numpy * old scipy and numpy * who uses 3.5 anyway * Fix for pandas 1.0 * as_matrix was deprecated then removed. to_numpy() works in this situation * updated travis to include pandas 1.0.x, python 3.7 numpy 1.18 and scipy 1.4.x * kept a python 2.7 build with the last supported versions of pydata. * versions compatible with conda for travis * try except branch to support old pandas as required by zipline * as_matrix() not to_matrix() - thanks again Travis. Co-authored-by: Rich Atkinson <[email protected]>
quantopian · Jun 9, 2020 · b026b4e · b026b4e
1 parent b561c5f
commit b026b4e
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Showing 2 changed files with 14 additions and 8 deletions.
diff --git a/.travis.yml b/.travis.yml
@@ -4,17 +4,17 @@ sudo: false
 matrix:
   include:
     - python: 2.7
-      env: PANDAS_VERSION=0.18.1 NUMPY_VERSION=1.11.1 SCIPY_VERSION=0.17.1 LIBGFORTRAN_VERSION=3.0
-    - python: 2.7
-      env: PANDAS_VERSION=0.19.2 NUMPY_VERSION=1.12.1 SCIPY_VERSION=0.19.0 LIBGFORTRAN_VERSION=3.0
+      env: PANDAS_VERSION=0.24.2 NUMPY_VERSION=1.12.1 SCIPY_VERSION=1.2.1 LIBGFORTRAN_VERSION=3.0
     - python: 2.7
       env: PANDAS_VERSION=0.20.1 NUMPY_VERSION=1.12.1 SCIPY_VERSION=0.19.0 LIBGFORTRAN_VERSION=3.0
-    - python: 3.5
-      env: PANDAS_VERSION=0.18.1 NUMPY_VERSION=1.11.1 SCIPY_VERSION=0.17.1 LIBGFORTRAN_VERSION=3.0
-    - python: 3.5
-      env: PANDAS_VERSION=0.19.2 NUMPY_VERSION=1.12.1 SCIPY_VERSION=0.19.0 LIBGFORTRAN_VERSION=3.0
+    - python: 3.6
+      env: PANDAS_VERSION=1.0.4 NUMPY_VERSION=1.18.4 SCIPY_VERSION=1.4.1 LIBGFORTRAN_VERSION=3.0
     - python: 3.6
       env: PANDAS_VERSION=0.20.1 NUMPY_VERSION=1.12.1 SCIPY_VERSION=0.19.0 LIBGFORTRAN_VERSION=3.0
+    - python: 3.6
+      env: PANDAS_VERSION=1.0.4 NUMPY_VERSION=1.18.4 SCIPY_VERSION=1.4.1 LIBGFORTRAN_VERSION=3.0
+    - python: 3.7
+      env: PANDAS_VERSION=1.0.4  NUMPY_VERSION=1.18.4 SCIPY_VERSION=1.4.1 LIBGFORTRAN_VERSION=3.0
 
 before_install:
   # We do this conditionally because it saves us some downloading if the

diff --git a/empyrical/stats.py b/empyrical/stats.py
@@ -1747,7 +1747,13 @@ def gpd_risk_estimates_aligned(returns, var_p=0.01):
 
         DEFAULT_THRESHOLD = 0.2
         MINIMUM_THRESHOLD = 0.000000001
-        returns_array = pd.Series(returns).as_matrix()
+
+        try:
+            returns_array = pd.Series(returns).to_numpy()
+        except AttributeError:
+            # while zipline requires support for pandas < 0.25
+            returns_array = pd.Series(returns).as_matrix()
+
         flipped_returns = -1 * returns_array
         losses = flipped_returns[flipped_returns > 0]
         threshold = DEFAULT_THRESHOLD