Hi,
The package we use in the research env is different from what available on github.
for example:
https://github.com/quantopian/alphalens/blob/master/alphalens/utils.py
versus
Signature: alphalens.utils.compute_forward_returns(prices, periods=(1, 5, 10), filter_zscore=None)
Docstring:
Finds the N period forward returns (as percent change) for each asset provided.
Parameters
----------
prices : pd.DataFrame
Pricing data to use in forward price calculation.
Assets as columns, dates as index. Pricing data must
span the factor analysis time period plus an additional buffer window
that is greater than the maximum number of expected periods
in the forward returns calculations.
periods : sequence[int]
periods to compute forward returns on.
filter_zscore : int or float
Sets forward returns greater than X standard deviations
from the the mean to nan.
Caution: this outlier filtering incorporates lookahead bias.
Returns
-------
forward_returns : pd.DataFrame - MultiIndex
Forward returns in indexed by date and asset.
Separate column for each forward return window.
File: /usr/local/lib/python2.7/dist-packages/alphalens/utils.py
Type: function Can we make this in sync, so I know what I am actually using?
Thanks.
