BUG: compute_forward_returns fails detecting the correct period length

quantopian / alphalens

Performance analysis of predictive (alpha) stock factors

http://quantopian.github.io/alphalens

Apache License 2.0

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Closed luca-s closed 6 years ago

luca-s commented 6 years ago

Since Alphalens is not aware of the public holidays the computation of the periods goes wrong in certain scenarios. See issue #292