Merge pull request #229 from pmorissette/tkp/np2

WIP numpy 2 support

.github/workflows/regression.yml

@@ -20,9 +20,15 @@ jobs:
       matrix:
         python-version: [3.9]
         os: [ubuntu-latest]
-        dependency:
-          - 'pandas>=2.2'
-          - 'pandas<2'
+        pandas_version:
+          - '>=2.2'
+          - '<2'
+        numpy_version:
+          - '<2'
+          - '>=2'
+        exclude:
+          - numpy_version: '>=2'
+            pandas_version: '<2'
 
     steps:
     - uses: actions/checkout@v4
@@ -36,7 +42,7 @@ jobs:
     - name: Install dependencies
       run: |
         make develop
-        python -m pip install -U wheel twine setuptools "${{ matrix.dependency }}"
+        python -m pip install -U wheel twine setuptools "numpy${{ matrix.numpy_version }}" "pandas${{ matrix.pandas_version}}"
 
     - name: Test
       run: make test

ffn/core.py

@@ -1241,7 +1241,7 @@ def to_drawdown_series(prices):
     drawdown = drawdown.ffill()
 
     # Ignore problems with NaN's in the beginning
-    drawdown[np.isnan(drawdown)] = -np.Inf
+    drawdown[np.isnan(drawdown)] = -np.inf
 
     # Rolling maximum
     if isinstance(drawdown, pd.DataFrame):
@@ -1547,7 +1547,7 @@ def calc_inv_vol_weights(returns):
     """
     # calc vols
     vol = np.divide(1.0, np.std(returns, ddof=1)).astype(float)
-    vol[np.isinf(vol)] = np.NaN
+    vol[np.isinf(vol)] = np.nan
     volsum = vol.sum()
     return np.divide(vol, volsum)
 

pyproject.toml

@@ -1,6 +1,9 @@
 [build-system]
-# Minimum requirements for the build system to execute.
-requires = ["setuptools", "wheel"]
+requires = [
+    "oldest-supported-numpy",
+    "setuptools",
+    "wheel",
+]
 build-backend = "setuptools.build_meta"
 
 [project]
@@ -36,7 +39,7 @@ classifiers = [
 dependencies = [
     "decorator>=5.0.7",
     "matplotlib>=1",
-    "numpy>=1.5",
+    "numpy",
     "pandas>=0.19",
     "pandas-datareader>=0.2",
     "scikit-learn>=0.15",