BUG: get_clean_factor crashes with malformed 'groupby' data

quantopian / alphalens

Performance analysis of predictive (alpha) stock factors

http://quantopian.github.io/alphalens

Apache License 2.0

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BUG: get_clean_factor crashes with malformed 'groupby' data #287

Closed luca-s closed 6 years ago

luca-s commented 6 years ago

If 'groupby' data contains too many or missing values (grouby index is not the same as the factor index) then 'utils.get_clean_factor' and 'utils.get_clean_factor_and_forward_return' crash with meaningless error messages.

improved docstring for 'price' argument

luca-s commented 6 years ago

By the way, the bug was found in here https://www.quantopian.com/posts/alphalens-error