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quantopian / alphalens

Performance analysis of predictive (alpha) stock factors
http://quantopian.github.io/alphalens
Apache License 2.0
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ValueError #311

Closed fzhcary closed 5 years ago

fzhcary commented 5 years ago

ValueErrorTraceback (most recent call last)

in () ----> 1 alphalens.tears.create_summary_tear_sheet(factor_data) /home/frank/Envs/alphalens/local/lib/python2.7/site-packages/alphalens/plotting.pyc in call_w_context(*args, **kwargs) 43 with plotting_context(), axes_style(), color_palette: 44 sns.despine(left=True) ---> 45 return func(*args, **kwargs) 46 else: 47 return func(*args, **kwargs) /home/frank/Envs/alphalens/local/lib/python2.7/site-packages/alphalens/tears.pyc in create_summary_tear_sheet(factor_data, long_short, group_neutral) 209 by_group=False, 210 demeaned=long_short, --> 211 group_adjust=group_neutral) 212 213 mean_quant_rateret = \ /home/frank/Envs/alphalens/local/lib/python2.7/site-packages/alphalens/performance.pyc in mean_return_by_quantile(factor_data, by_date, by_group, demeaned, group_adjust) 648 group_stats = factor_data.groupby(grouper)[ 649 utils.get_forward_returns_columns(factor_data.columns)] \ --> 650 .agg(['mean', 'std', 'count']) 651 652 mean_ret = group_stats.T.xs('mean', level=1).T /home/frank/Envs/alphalens/local/lib/python2.7/site-packages/pandas/core/groupby.pyc in aggregate(self, arg, *args, **kwargs) 4289 versionadded='')) 4290 def aggregate(self, arg, *args, **kwargs): -> 4291 return super(DataFrameGroupBy, self).aggregate(arg, *args, **kwargs) 4292 4293 agg = aggregate /home/frank/Envs/alphalens/local/lib/python2.7/site-packages/pandas/core/groupby.pyc in aggregate(self, arg, *args, **kwargs) 3722 3723 _level = kwargs.pop('_level', None) -> 3724 result, how = self._aggregate(arg, _level=_level, *args, **kwargs) 3725 if how is None: 3726 return result /home/frank/Envs/alphalens/local/lib/python2.7/site-packages/pandas/core/base.pyc in _aggregate(self, arg, *args, **kwargs) 537 return self._aggregate_multiple_funcs(arg, 538 _level=_level, --> 539 _axis=_axis), None 540 else: 541 result = None /home/frank/Envs/alphalens/local/lib/python2.7/site-packages/pandas/core/base.pyc in _aggregate_multiple_funcs(self, arg, _level, _axis) 594 # if we are empty 595 if not len(results): --> 596 raise ValueError("no results") 597 598 try: ValueError: no results
factor_data.head() -1D -5D -10D factor factor_quantile date asset 2015-05-21 00:00:00+00:00 AAPL -0.010123 -0.018571 -0.046655 1.028533 4 C 0.000912 -0.004376 -0.027899 0.970992 1 INTC -0.005365 -0.017288 -0.038897 1.080880 5 JPM -0.002551 -0.009002 -0.032258 0.976010 2 2015-05-20 00:00:00+00:00 AAPL 0.000077 -0.031139 -0.038828 1.027667 4 alphalens version: 0.3.2
luca-s commented 5 years ago

answered in #310