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README.md: - Added PyPI version badge and CI status badge - Complete operator table: added all missing operators across all categories (was missing ~20 operators including ts_regression, trade_when, winsorize, truncate, group_mean, group_median, group_backfill, all base ops) - Removed non-existent 'ln' from math operators - Added interval parameter example in Quick Start CLAUDE.md: - Section 7: updated code review rules to reflect single-developer mode - Section 9: replaced hardcoded v0.2.0 with generic vX.Y.Z placeholders - Section 10: marked infrastructure setup as already configured Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
- Replaced marketing language with factual technical statements - Added Numerical Conventions table documenting all design decisions: rank range, ddof conventions, rolling warmup, zero-guard threshold, negative product handling, null/NaN/Inf unification - Usage example now shows realistic alpha pipeline (momentum, vol-adjustment, regression residual, sector neutralization) - Operator descriptions include statistical conventions inline Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Document the dual-mode null handling in arithmetic operators: default propagates null (5.0 + null = null), filter=True treats null as identity element (0 for add/subtract, 1 for multiply). Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
- Merged three overlapping null-handling entries into two - Removed implementation details from ts_product convention - Fixed "compile to" -> "execute as" (more precise) - Removed redundant code comments and output block from Usage - Operators listed with space-separated formatting for readability Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Complete reference for all 79 operators including: - Global numerical conventions (null semantics, zero guards, ddof, rank range) - Per-operator documentation (signature, math, null behavior, warmup) - Explicit comparison notes vs WorldQuant where elvers diverges (rank range (0,1] vs [0,1], ts_product negative handling, null vs NaN) Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
- README.md: condense Numerical Conventions table, link to OPERATORS.md - CLAUDE.md: add OPERATORS.md reference in Section 4.1, deduplicate commands reference (Section 11), add OPERATORS.md to architecture tree Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Replace all third-party comparison notes with elvers' own design rationale. Rank convention now includes concrete example output for 5 instruments. ts_product documents why sign-magnitude is necessary without referencing other implementations. Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
ts_covariance changed from ddof=1 (sample) to ddof=0 (population) to match the library-wide convention. This fixes the broken identity: ts_covariance(x,y,w) / (ts_std_dev(x,w) * ts_std_dev(y,w)) == ts_corr(x,y,w) Previously the mixed ddof (cov=1, std=0) caused the left side to exceed the true correlation by a factor of n/(n-1). ts_corr and ts_autocorr retain ddof=1 in Polars rolling_corr because Polars applies ddof only to the numerator (cov), producing incorrect results with ddof=0. Correlation output is ddof-invariant so the values are unaffected. Cross-validated against numpy to machine precision (diff < 1e-15). [NUMERICAL] ts_covariance output changes: values are now multiplied by (n-1)/n relative to previous output. For window=20, this is a 5% reduction. ts_corr and ts_autocorr output is unchanged.
fix(ops): unify ddof=0 for ts_covariance, fix corr identity
OPERATORS.md rewritten as pure operator reference manual for QR/users: concise signatures, behavior, parameters, edge cases. No design rationale. Design decisions (ddof choice, rank range, NaN unification, zero guard threshold, Polars workarounds) moved to CLAUDE.md Section 4.1 for developers/LLMs. README.md: fix outdated ddof description after ts_covariance change. Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
[NUMERICAL] ts_covariance unified to ddof=0, fixing cov/(std*std)==corr identity. Documentation restructured: OPERATORS.md as reference, rationale in CLAUDE.md. Fixed incorrect signatures (trade_when, scale, bucket) and README example. Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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Summary
v0.3.0 release. Unifies ddof=0 for ts_covariance (numerical change),
restructures documentation, fixes incorrect operator signatures in docs.
Change Type
Numerical Impact
ts_covariance: ddof=1 -> ddof=0. Values change by factor (n-1)/n.
ts_corr, ts_autocorr: unchanged.
Identity cov/(std_x*std_y)==corr now holds (verified against numpy, diff < 1e-15).
Testing
pytest tests/ -v)ruff check elvers/)