RuntimeError: Cannot set name on a level of a MultiIndex. . Use 'MultiIndex.set_names' instead.

[lumiereUmbra]

Describe the bug I am getting the above runtime error while executing alphalens_signals_quality.ipynb in line from Alphalens library function factor_data = get_clean_factor_and_forward_returns(factor=factor, prices=trade_prices,quantiles=5, periods=(1, 5, 10, 21)) . Appears to be a compatibility issue with pandas library .

To Reproduce

• In case you are not running the current version of the notebook/script as found on GitHub.

Steps to reproduce the behavior:

1. Go to ' https://github.com/PacktPublishing/Machine-Learning-for-Algorithmic-Trading-Second-Edition/blob/master/11_decision_trees_random_forests/06_alphalens_signals_quality.ipynb'
2. Execute the above file
3. Scroll down to statement -
   factor_data = get_clean_factor_and_forward_returns(factor=factor, prices=trade_prices,quantiles=5, periods=(1, 5, 10, 21)) .
4. See error [ attached screenshot ]

Expected behavior A clear and concise description of what you expected to happen.

Screenshots If applicable, add screenshots to help explain your problem.

Environment

I am using - OS: Windows 10 alphalens-0.3.6 pandas 1.3.5 python 3.7

Additional context Add any other context about the problem here.

[stefan-jansen]

Due to incompatiblitly with more recent pandas version; either downgrade or modify the library accordingly.