Error using get_clean_factor_and_forward_returns

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Error using get_clean_factor_and_forward_returns

Mathieu Quilliec

posted Mar 16, 2019

Seeking Help Research Lectures Alphalens

Hi,

I'm trying to use the get_clean_factor_and_forward_returns function but have an error that I can't fix. I tried to look up the doc but was unsuccessful in finding the answer.

Thanks in advance.

Here is the error:

AttributeErrorTraceback (most recent call last)
in ()
7 prices=asset_prices,
8 quantiles=2,
----> 9 periods=(1,5,10),
10
11 )

/usr/local/lib/python2.7/dist-packages/alphalens/utils.pyc in get_clean_factor_and_forward_returns(factor, prices, groupby, binning_by_group, quantiles, bins, periods, filter_zscore, groupby_labels, max_loss, zero_aware, cumulative_returns) 791 forward_returns = compute_forward_returns(factor, prices, periods,
792 filter_zscore,
--> 793 cumulative_returns)
794
795 factor_data = get_clean_factor(factor, forward_returns, groupby=groupby,

/usr/local/lib/python2.7/dist-packages/alphalens/utils.pyc in compute_forward_returns(factor, prices, periods, filter_zscore, cumulative_returns) 318 days_diffs.append(period_len.components.days)
319
--> 320 delta_days = period_len.components.days - mode(days_diffs).mode[0]
321 period_len -= pd.Timedelta(days=delta_days)
322 label = timedelta_to_string(period_len)

AttributeError: 'tuple' object has no attribute 'mode'

1 response

You have specified periods of 1,3,10 but do not have enough data for the function to look that many days in the future.
You need to ensure the data in 'assets_prices' include enough future dates for the prediction to work.

Try changing the start and end dates to a date in the past, then in Asset prices, use an end date at least 10 days after your end date.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.