Migrate data loaders and related functions from pyfolio

[jameschristopher]

See this comment quantopian/alphalens#183 (comment) and PR for context on this PR. Also this empyrical issue #55

[twiecki]

@jameschristopher Thanks! Can you add the symbol (SPY) loaders too?

[jameschristopher]

This should also allow pandas_datareader to be removed from the explicit pyfolio install reqs.

[twiecki]

Looks great, thanks @jameschristopher! Want to do the PR to remove them from pyfolio?

[jameschristopher]

already working on it :)

[eigenfoo]

@twiecki @jameschristopher it may be better to simply deprecate the data loaders from pyfolio, instead of removing them entirely, and without warning. Easier for our open source users to pick up.

[jameschristopher]

Removal will only affect new installations or updates, and as long as we bump the empyrical version in the requirements this shouldn't introduce any breaking changes

[twiecki]

I agree that it's a concern, however, we can just from empyrical import ... for the functions we moved and change the requirements.

[jameschristopher]

Can we release a new version of empyrical so I can add that to the pyfolio requirements?

[eigenfoo]

I'll also need a new version of empyrical for my alphalens PR @richafrank