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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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problem with tears.create_turnover_tear_sheet #341

Open kukuwa opened 5 years ago

kukuwa commented 5 years ago

In use tears to analysis create_returns_tear_sheet and create_information_tear_sheet worked ok,but when I use create_turnover_tear_sheet I got TypeError: 'NoneType' object is not callable. The code was break in performance.py's function of factor_rank_autocorrelation in line ranks = factor_data.groupby(grouper)['factor'].rank().

    grouper = [factor_data.index.get_level_values('date')]

    ranks = factor_data.groupby(grouper)['factor'].rank()

    asset_factor_rank = ranks.reset_index().pivot(index='date',
                                                  columns='asset',
                                                  values='factor')

The Error is:

Traceback (most recent call last): File "C:\ProgramData\Anaconda2\envs\py_36\lib\site-packages\IPython\core\interactiveshell.py", line 3296, in run_code exec(code_obj, self.user_global_ns, self.user_ns) File "", line 1, in factor_data.groupby(grouper)['factor'].rank() File "C:\ProgramData\Anaconda2\envs\py_36\lib\site-packages\pandas\core\groupby\groupby.py", line 1846, in rank na_option=na_option, pct=pct, axis=axis) File "C:\ProgramData\Anaconda2\envs\py_36\lib\site-packages\pandas\core\groupby\groupby.py", line 807, in _cython_transform kwargs) File "C:\ProgramData\Anaconda2\envs\py_36\lib\site-packages\pandas\core\groupby\ops.py", line 551, in transform return self._cython_operation('transform', values, how, axis, kwargs) File "C:\ProgramData\Anaconda2\envs\py_36\lib\site-packages\pandas\core\groupby\ops.py", line 511, in _cython_operation kwargs) File "C:\ProgramData\Anaconda2\envs\py_36\lib\site-packages\pandas\core\groupby\ops.py", line 584, in _transform transform_func(result, values, comp_ids, is_datetimelike, kwargs) File "C:\ProgramData\Anaconda2\envs\py_36\lib\site-packages\pandas\core\groupby\ops.py", line 397, in wrapper return f(afunc, *args, **kwargs) File "C:\ProgramData\Anaconda2\envs\py_36\lib\site-packages\pandas\core\groupby\ops.py", line 348, in kwargs.get('na_option', 'keep') TypeError: 'NoneType' object is not callable