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feat: remove _ewm_corr.py and migrate all consumers to cvx.linalg.ewm_covariance #533

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feat: remove _ewm_corr.py and migrate all consumers to cvx.linalg.ewm_covariance #533

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45c577d
feat: migrate linalg to cvx-linalg dependency
tschm May 18, 2026
ac3a9d3
test: verify ewm_covariance against pandas and ewm_corr
tschm May 18, 2026
5d5b459
docs: add missing docstrings to _cov_to_corr in _stream and optimizer
tschm May 20, 2026
5185414
feat: remove _ewm_corr.py and migrate all consumers to cvx.linalg.ewm…
tschm May 20, 2026
4fd93d6
refactor: replace local _cov_to_corr with cvx.linalg.cov_to_corr
tschm May 20, 2026
77a8d61
fix: type errors, format, and README notebook table cleanup
tschm May 23, 2026
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3 changes: 1 addition & 2 deletions README.md
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Original file line number Diff line number Diff line change
Expand Up @@ -320,7 +320,7 @@ installs everything automatically.
|---|---|---|
| **[`end_to_end.py`](book/marimo/notebooks/end_to_end.py)** | **Complete worked example from raw prices to HTML report using realistic synthetic equity data** | Data preparation, config selection with shrinkage guidance, engine instantiation, HTML report generation, trading cost analysis |
| [`demo.py`](book/marimo/notebooks/demo.py) | End-to-end interactive demo of the Basanos optimizer | Signal generation, correlation-aware position sizing, portfolio analytics, reactive UI |
| [`ewm_benchmark.py`](book/marimo/notebooks/ewm_benchmark.py) | Validates and benchmarks the NumPy/SciPy EWM correlation implementation against the legacy pandas version | EWM, `scipy.signal.lfilter`, NaN handling, performance comparison |
| `ewm_benchmark.py` | Notebook removed; benchmark content no longer shipped in this repo | EWM, benchmarking |
| [`shrinkage_guide.py`](book/marimo/notebooks/shrinkage_guide.py) | Theoretical and empirical guide to tuning the shrinkage parameter λ | Marchenko-Pastur law, linear shrinkage `C(λ) = λ·C_EWMA + (1−λ)·I`, Sharpe vs. λ sweep, turnover analysis |
| [`diagnostics.py`](book/marimo/notebooks/diagnostics.py) | Guided tour of all five engine diagnostic properties on a dataset with engineered edge cases | `position_status`, `condition_number`, `effective_rank`, `solver_residual`, `signal_utilisation` |

Expand All @@ -339,7 +339,6 @@ marimo run book/marimo/notebooks/end_to_end.py
# Self-contained via uv — no prior install needed
uv run book/marimo/notebooks/end_to_end.py
uv run book/marimo/notebooks/demo.py
uv run book/marimo/notebooks/ewm_benchmark.py
uv run book/marimo/notebooks/shrinkage_guide.py
uv run book/marimo/notebooks/diagnostics.py
```
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