Eating-Sulfur
commented
11 months ago Why do I get these mails and where can I disable them?
On Sat, 26 Aug 2023, 00:06 lyubomir-vasilev, @.***> wrote:
When using the get_clean_factor_and_forward_returns command, I get the following error: ValueError Traceback (most recent call last) File c:\ProgramData\anaconda3\envs\py38class\lib\site-packages\pandas\core\frame.py:11610, in _reindex_for_setitem(value, index) 11609 try:
11610 reindexed_value = value.reindex(index)._values 11611 except ValueError as err: 11612 # raised in MultiIndex.from_tuples, see test_insert_error_msmgs
File c:\ProgramData\anaconda3\envs\py38class\lib\site-packages\pandas\core\series.py:4923, in Series.reindex(self, index, axis, method, copy, level, fill_value, limit, tolerance) 4903 @doc https://github.com/doc( 4904 NDFrame.reindex, # type: ignore[has-type] 4905 klass=_shared_doc_kwargs["klass"], (...) 4921 tolerance=None, 4922 ) -> Series: -> 4923 return super().reindex( 4924 index=index, 4925 method=method, 4926 copy=copy, 4927 level=level, 4928 fill_value=fill_value, 4929 limit=limit, 4930 tolerance=tolerance, 4931 ) ... 11618 "incompatible index of inserted column with frame index" 11619 ) from err 11620 return reindexed_value
TypeError: incompatible index of inserted column with frame index
I am just running the code in the notebook but it didn't work. I checked all the symbols and dates in the lr_factor and trade_prices and I made sure the indexes were compatible, i.e. I filtered the start date of trade_prices such that it matches with the one of lr_factor. Additionally, i checked that all of the assets in the trade_prices columns are present in the lr_factor's index. However, I kept getting this error.
I decided to proceed in a different way and use the compute_forward_returns function, then to use get_clean_factor. Unfortunately, I got the same error as when using the get_clean_factor_and_forward_returns. The forward returns were computed perfectly, the indexes are the same as the index of lr_factor, but I again get the same error. Below is the code where I tried to split the tasks in two: trade_prices_data = compute_forward_returns(factor= lr_factor, prices= trade_prices, periods = (1, 5, 10, 21) ) [image: image] https://user-images.githubusercontent.com/130079626/263399668-02b743e6-3a49-4456-8237-69f6fc298099.png
I wasn't very sure exactly what to select for most of the parametres, but below is the code I used. lr_factor_data = get_clean_factor(factor= lr_factor, forward_returns=trade_prices_data, groupby= None, binning_by_group=False, quantiles=5, bins=None, groupby_labels=None, max_loss=0.35, zero_aware=False ) Environment: Windows C:\ProgramData\anaconda3\envs\py38class
These are all of the packages I have installed: absl-py @ file:///opt/conda/conda-bld/absl-py_1639803114343/work aiohttp @ file:///C:/ci/aiohttp_1646806545879/work aiosignal @ file:///tmp/build/80754af9/aiosignal_1637843061372/work alabaster==0.7.12 alembic==1.11.2 alpha-vantage==2.3.1 alphalens==0.4.0 amqp @ file:///home/conda/feedstock_root/build_artifacts/amqp_1646564891451/work anaconda-client @ file:///C:/ci/anaconda-client_1635342752200/work anaconda-project @ file:///tmp/build/80754af9/anaconda-project_1637161053845/work ansi2html==1.7.0 anyio @ file:///C:/ci/anyio_1644463701441/work/dist aplus==0.11.0 appdirs==1.4.4 arctic==1.79.4 argh==0.26.2 argon2-cffi @ file:///opt/conda/conda-bld/argon2-cffi_1645000214183/work argon2-cffi-bindings @ file:///C:/ci/argon2-cffi-bindings_1644569878360/work arviz @ file:///home/conda/feedstock_root/build_artifacts/arviz_1633274821480/work asn1crypto @ file:///tmp/build/80754af9/asn1crypto_1596577642040/work astor==0.8.1 astroid @ file:///C:/ci/astroid_1639044403229/work astropy==4.0.2 asttokens @ file:///opt/conda/conda-bld/asttokens_1646925590279/work astunparse==1.6.3 async-timeout @ file:///tmp/build/80754af9/async-timeout_1637851218186/work atomicwrites==1.4.0 attrs @ file:///opt/conda/conda-bld/attrs_1642510447205/work Automat==22.10.0 autopep8 @ file:///tmp/build/80754af9/autopep8_1615918855173/work Babel @ file:///tmp/build/80754af9/babel_1620871417480/work backcall==0.2.0 backports.shutil-get-terminal-size==1.0.0 backports.zoneinfo==0.2.1 bcolz-zipline==1.2.6 bcrypt @ file:///C:/ci/bcrypt_1597936263757/work beautifulsoup4==4.12.2 billiard @ file:///D:/bld/billiard_1636131411089/work bitarray @ file:///C:/ci/bitarray_1641799256136/work bkcharts==0.2 black==19.10b0 blake3 @ file:///D:/bld/blake3_1636283080831/work bleach @ file:///opt/conda/conda-bld/bleach_1641577558959/work blinker==1.4 blis @ file:///D:/bld/cython-blis_1645002897137/work blosc @ file:///C:/ci/python-blosc_1638539958099/work blosc2==2.0.0 blpapi==3.17.1 bokeh @ file:///C:/ci/bokeh_1638362940011/work boto==2.49.0 boto3 @ file:///home/conda/feedstock_root/build_artifacts/boto3_1647500875427/work botocore @ file:///home/conda/feedstock_root/build_artifacts/botocore_1647478405006/work Bottleneck==1.3.2 bqplot @ file:///home/conda/feedstock_root/build_artifacts/bqplot_1644594233772/work branca @ file:///home/conda/feedstock_root/build_artifacts/branca_1609346930842/work Brotli @ file:///D:/bld/brotli-split_1635846030050/work brotlipy==0.7.0 bs4==0.0.1 cachetools==4.2.4 catalogue @ file:///D:/bld/catalogue_1638867510751/work celery @ file:///home/conda/feedstock_root/build_artifacts/celery_1644262149668/work certifi==2023.7.22 cffi @ file:///C:/ci_310/cffi_1642682485096/work cftime @ file:///D:/bld/cftime_1646333174733/work chardet @ file:///D:/bld/chardet_1602255508636/work charset-normalizer==3.2.0 chart-studio==1.1.0 chartpy==0.1.11 click @ file:///C:/ci/click_1646056799533/work click-didyoumean @ file:///home/conda/feedstock_root/build_artifacts/click-didyoumean_1642673782881/work click-plugins==1.1.1 click-repl @ file:///home/conda/feedstock_root/build_artifacts/click-repl_1623347986327/work cloudpickle==1.3.0 clyent==1.2.2 colorama @ file:///tmp/build/80754af9/colorama_1603211150991/work colorcet @ file:///home/conda/feedstock_root/build_artifacts/colorcet_1638280441091/work colorlover==0.3.0 commonmark==0.9.1 comtypes==1.1.10 conda-pack @ file:///tmp/build/80754af9/conda-pack_1611163042455/work configparser==5.2.0 constantly==15.1.0 contextlib2==0.6.0.post1 contourpy==1.1.0 convertdate @ file:///home/conda/feedstock_root/build_artifacts/convertdate_1642883757836/work cramjam @ file:///D:/bld/cramjam_1639035096642/work cryptography @ file:///C:/ci/cryptography_1639472366776/work cssselect==1.1.0 cufflinks==0.17.3 cvlib==0.2.6 cvxpy==1.3.2 cycler @ file:///tmp/build/80754af9/cycler_1637851556182/work cymem @ file:///D:/bld/cymem_1636053422146/work Cython @ file:///C:/ci/cython_1639474807736/work cytoolz==0.11.0 dash @ file:///home/conda/feedstock_root/build_artifacts/dash_1647257147344/work dash-bootstrap-components @ file:///home/conda/feedstock_root/build_artifacts/dash-bootstrap-components_1644118775506/work dash-colorscales @ file:///home/conda/feedstock_root/build_artifacts/dash_colorscales_1593443621680/work dash-core-components @ file:///home/conda/feedstock_root/build_artifacts/dash-core-components_1645162191927/work dash-daq @ file:///home/conda/feedstock_root/build_artifacts/dash-daq_1596869611219/work dash-html-components @ file:///home/conda/feedstock_root/build_artifacts/dash-html-components_1645162180756/work dash-table==5.0.0 dask @ file:///tmp/build/80754af9/dask-core_1617390489108/work datashader @ file:///home/conda/feedstock_root/build_artifacts/datashader_1623315462041/work datashape==0.5.4 DateTime==5.2 debugpy @ file:///C:/ci/debugpy_1637073815078/work decorator @ file:///opt/conda/conda-bld/decorator_1643638310831/work defusedxml @ file:///tmp/build/80754af9/defusedxml_1615228127516/work Deprecated @ file:///home/conda/feedstock_root/build_artifacts/deprecated_1632758190537/work deprecation @ file:///home/conda/feedstock_root/build_artifacts/deprecation_1589881437857/work diff-match-patch @ file:///tmp/build/80754af9/diff-match-patch_1594828741838/work dill @ file:///home/conda/feedstock_root/build_artifacts/dill_1623610058511/work distributed @ file:///C:/ci/distributed_1620907381536/work distro @ file:///home/conda/feedstock_root/build_artifacts/distro_1636872986284/work dm-tree==0.1.8 docutils @ file:///C:/ci/docutils_1638528665024/work docx==0.2.4 dtale @ file:///home/conda/feedstock_root/build_artifacts/dtale_1647357168981/work ecos==2.0.12 eikon @ file:///home/conda/feedstock_root/build_artifacts/eikon_1597983976546/work empyrical==0.5.5 empyrical-reloaded==0.5.9 en-core-web-md @ https://github.com/explosion/spacy-models/releases/download/en_core_web_md-3.2.0/en_core_web_md-3.2.0-py3-none-any.whl en-core-web-sm @ https://github.com/explosion/spacy-models/releases/download/en_core_web_sm-3.2.0/en_core_web_sm-3.2.0-py3-none-any.whl entrypoints==0.3 enum-compat==0.0.3 ephem @ file:///D:/bld/ephem_1645531741779/work et-xmlfile==1.1.0 exceptiongroup==1.1.2 exchange-calendars==4.2.8 executing @ file:///opt/conda/conda-bld/executing_1646925071911/work fake-useragent==0.1.11 fastapi @ file:///home/conda/feedstock_root/build_artifacts/fastapi_1646447241602/work fastcache==1.1.0 fastparquet @ file:///D:/bld/fastparquet_1643251108536/work fbprophet @ file:///D:/bld/fbprophet_1599365958928/work feedfinder2==0.0.4 feedparser @ file:///home/conda/feedstock_root/build_artifacts/feedparser_1624371037925/work filelock @ file:///opt/conda/conda-bld/filelock_1647002191454/work financepy==0.193 findatapy==0.1.26 findspark @ file:///home/conda/feedstock_root/build_artifacts/findspark_1644599740637/work finmarketpy==0.11.11 flake8 @ file:///tmp/build/80754af9/flake8_1615834841867/work Flask @ file:///tmp/build/80754af9/flask_1634118196080/work Flask-Compress @ file:///home/conda/feedstock_root/build_artifacts/flask-compress_1646141388556/work fonttools==4.25.0 formulaic==0.6.4 freetype-py @ file:///home/conda/feedstock_root/build_artifacts/freetype-py_1594318845769/work frozendict==2.3.8 frozenlist @ file:///C:/ci/frozenlist_1637767289747/work fsspec @ file:///opt/conda/conda-bld/fsspec_1647268051896/work funcy @ file:///home/conda/feedstock_root/build_artifacts/funcy_1640095670534/work future==0.18.2 fxcmpy==1.2.10 gast==0.3.3 gensim @ file:///D:/bld/gensim_1589441310359/work gevent @ file:///C:/ci/gevent_1628273793586/work glob2==0.7 gmpy2 @ file:///C:/ci/gmpy2_1645456279018/work google-auth @ file:///opt/conda/conda-bld/google-auth_1646735974934/work google-auth-oauthlib==0.4.1 google-pasta==0.2.0 graphlib-backport==1.0.3 graphviz @ file:///tmp/build/80754af9/python-graphviz_1612303637553/work greenlet @ file:///C:/ci/greenlet_1628888262822/work grpcio @ file:///C:/ci/grpcio_1637590968244/work h11==0.14.0 h2==3.2.0 h5py==2.10.0 HeapDict==1.0.1 hijri-converter @ file:///home/conda/feedstock_root/build_artifacts/hijri-converter_1644680066407/work holidays @ file:///home/conda/feedstock_root/build_artifacts/holidays_1644933126202/work holoviews @ file:///home/conda/feedstock_root/build_artifacts/holoviews_1645018991041/work hpack==3.0.0 hsluv @ file:///home/conda/feedstock_root/build_artifacts/hsluv_1614057510686/work html5lib==1.1 http3==0.6.7 huggingface-hub @ file:///home/conda/feedstock_root/build_artifacts/huggingface_hub_1641988520462/work hyperframe==5.2.0 hyperlink==21.0.0 idna==3.4 imageio @ file:///home/conda/feedstock_root/build_artifacts/imageio_1594044661732/work imagesize @ file:///tmp/build/80754af9/imagesize_1637939814114/work importlib-metadata @ file:///C:/ci/importlib-metadata_1638543108096/work importlib-resources==6.0.1 imutils==0.5.4 incremental==22.10.0 inflection @ file:///home/conda/feedstock_root/build_artifacts/inflection_1598089801258/work iniconfig @ file:///tmp/build/80754af9/iniconfig_1602780191262/work interface-meta==1.3.0 intervaltree @ file:///tmp/build/80754af9/intervaltree_1598376443606/work ipydatawidgets @ file:///home/conda/feedstock_root/build_artifacts/ipydatawidgets_1609929402090/work ipykernel @ file:///C:/ci/ipykernel_1647000978151/work/dist/ipykernel-6.9.1-py3-none-any.whl ipyleaflet @ file:///home/conda/feedstock_root/build_artifacts/ipyleaflet_1639075278024/work ipympl @ file:///home/conda/feedstock_root/build_artifacts/ipympl_1645174282670/work ipython @ file:///C:/ci/ipython_1646948643510/work ipython_genutils==0.2.0 ipyvolume @ file:///home/conda/feedstock_root/build_artifacts/ipyvolume_1618924410810/work ipyvue @ file:///home/conda/feedstock_root/build_artifacts/ipyvue_1635425457130/work ipyvuetify @ file:///home/conda/feedstock_root/build_artifacts/ipyvuetify_1644248876173/work ipywebrtc @ file:///home/conda/feedstock_root/build_artifacts/ipywebrtc_1617018267587/work ipywidgets @ file:///tmp/build/80754af9/ipywidgets_1634143127070/work iso3166==2.1.1 iso4217==1.11.20220401 isort @ file:///tmp/build/80754af9/isort_1628603791788/work itemadapter==0.8.0 itemloaders==1.1.0 itsdangerous @ file:///tmp/build/80754af9/itsdangerous_1621432558163/work jdcal==1.4.1 jedi @ file:///C:/ci/jedi_1598353661586/work jellyfish @ file:///D:/bld/jellyfish_1641751695265/work jieba3k @ file:///D:/bld/jieba3k_1636293213748/work Jinja2 @ file:///opt/conda/conda-bld/jinja2_1647436528585/work jmespath @ file:///home/conda/feedstock_root/build_artifacts/jmespath_1647416812516/work joblib==1.3.1 json5 @ file:///tmp/build/80754af9/json5_1624432770122/work jsonschema @ file:///C:/ci/jsonschema_1601490672432/work jupyter==1.0.0 jupyter-client @ file:///opt/conda/conda-bld/jupyter_client_1643638337975/work jupyter-console @ file:///opt/conda/conda-bld/jupyter_console_1647002188872/work jupyter-contrib-core==0.3.3 jupyter-contrib-nbextensions @ file:///D:/bld/jupyter_contrib_nbextensions_1602805696229/work jupyter-core @ file:///C:/ci/jupyter_core_1646976462809/work jupyter-dash==0.4.1 jupyter-highlight-selected-word @ file:///D:/bld/jupyter_highlight_selected_word_1638383158909/work jupyter-latex-envs @ file:///D:/bld/jupyter_latex_envs_1614809104175/work jupyter-nbextensions-configurator @ file:///D:/bld/jupyter_nbextensions_configurator_1611341297787/work jupyter-server @ file:///opt/conda/conda-bld/jupyter_server_1644494914632/work jupyterlab @ file:///opt/conda/conda-bld/jupyterlab_1647445413472/work jupyterlab-pygments @ file:///tmp/build/80754af9/jupyterlab_pygments_1601490720602/work jupyterlab-server @ file:///opt/conda/conda-bld/jupyterlab_server_1644500396812/work jupyterlab-widgets @ file:///tmp/build/80754af9/jupyterlab_widgets_1609884341231/work kaleido==0.2.1 Keras-Applications==1.0.8 Keras-Preprocessing==1.1.2 keyring @ file:///C:/ci/keyring_1638531661481/work kiwisolver @ file:///C:/ci/kiwisolver_1644962567532/work koalas @ file:///home/conda/feedstock_root/build_artifacts/koalas_1634690075417/work kombu @ file:///D:/bld/kombu_1646562331815/work korean-lunar-calendar @ file:///home/conda/feedstock_root/build_artifacts/korean_lunar_calendar_1589354365811/work langcodes @ file:///home/conda/feedstock_root/build_artifacts/langcodes_1636741340529/work lazy-object-proxy @ file:///C:/ci/lazy-object-proxy_1616529307648/work libarchive-c==2.9 linearmodels==4.31 llvmlite==0.37.0 locket @ file:///C:/ci/locket_1647006279754/work Logbook==1.6.0 lru-dict==1.2.0 LunarCalendar==0.0.9 lxml==4.9.3 lz4 @ file:///C:/ci/lz4_1619516660854/work Mako==1.2.4 Markdown==3.4.4 MarkupSafe==2.1.3 matplotlib==3.7.2 matplotlib-inline @ file:///tmp/build/80754af9/matplotlib-inline_1628242447089/work mccabe==0.6.1 menuinst @ file:///C:/ci/menuinst_1631733428175/work MetaTrader5==5.0.45 missingno==0.4.2 mistune==0.8.4 mkl-fft==1.3.0 mkl-random==1.1.0 mkl-service==2.3.0 mock @ file:///tmp/build/80754af9/mock_1607622725907/work mockextras==1.0.2 modin @ file:///D:/bld/modin_1615928016565/work more-itertools @ file:///tmp/build/80754af9/more-itertools_1637733554872/work mpmath==1.2.1 msgpack @ file:///C:/ci/msgpack-python_1612287368835/work multidict @ file:///C:/ci/multidict_1607362065515/work multipledispatch==0.6.0 multiprocess @ file:///D:/bld/multiprocess_1635876102526/work multitasking==0.0.11 munkres==1.1.4 murmurhash @ file:///D:/bld/murmurhash_1636019767292/work mypy-extensions==0.4.3 nbclassic @ file:///opt/conda/conda-bld/nbclassic_1644943264176/work nbclient @ file:///tmp/build/80754af9/nbclient_1645431659072/work nbconvert @ file:///D:/bld/nbconvert_1647040776267/work nbformat @ file:///tmp/build/80754af9/nbformat_1617383369282/work nest-asyncio @ file:///tmp/build/80754af9/nest-asyncio_1613680548246/work netCDF4==1.5.3 networkx @ file:///opt/conda/conda-bld/networkx_1647437648384/work newspaper3k @ file:///D:/bld/newspaper3k_1602639957269/work nltk @ file:///opt/conda/conda-bld/nltk_1645628263994/work nose==1.3.7 notebook @ file:///C:/ci/notebook_1645002756862/work numba @ file:///C:/ci/numba_1635186101448/work numexpr @ file:///C:/ci/numexpr_1614798525447/work numpy==1.21.0 numpydoc @ file:///opt/conda/conda-bld/numpydoc_1643788541039/work oauthlib==3.2.2 olefile==0.46 openpyxl @ file:///tmp/build/80754af9/openpyxl_1632777717936/work opt-einsum==3.3.0 osqp==0.6.3 outcome==1.2.0 packaging @ file:///tmp/build/80754af9/packaging_1637314298585/work pandas==2.0.3 pandas-datareader==0.10.0 pandocfilters @ file:///opt/conda/conda-bld/pandocfilters_1643405455980/work panel @ file:///home/conda/feedstock_root/build_artifacts/panel_1639076155277/work param @ file:///home/conda/feedstock_root/build_artifacts/param_1634834173834/work paramiko @ file:///opt/conda/conda-bld/paramiko_1640109032755/work parse==1.19.0 parsel==1.8.1 parso==0.7.0 partd @ file:///opt/conda/conda-bld/partd_1647245470509/work path @ file:///opt/conda/conda-bld/path_1641578212155/work pathlib2 @ file:///C:/ci/pathlib2_1625585790401/work pathos @ file:///home/conda/feedstock_root/build_artifacts/pathos_1623937754918/work pathspec==0.7.0 pathtools==0.1.2 pathy @ file:///home/conda/feedstock_root/build_artifacts/pathy_1635227809952/work patsy==0.5.3 pdfkit==1.0.0 pdfminer.six==20211012 pep8==1.7.1 pexpect==4.8.0 pickleshare==0.7.5 Pillow==7.2.0 pkginfo @ file:///tmp/build/80754af9/pkginfo_1643162084911/work platformdirs @ file:///tmp/build/80754af9/platformdirs_1638968569495/work plotly @ file:///home/conda/feedstock_root/build_artifacts/plotly_1644503417459/work pluggy @ file:///C:/ci/pluggy_1633697237830/work ply==3.11 pox @ file:///home/conda/feedstock_root/build_artifacts/pox_1623773830989/work ppft @ file:///home/conda/feedstock_root/build_artifacts/ppft_1623774454681/work ppscore @ file:///home/conda/feedstock_root/build_artifacts/ppscore_1610419476864/work preshed @ file:///D:/bld/preshed_1636077851980/work progressbar==2.5 progressbar2 @ file:///home/conda/feedstock_root/build_artifacts/progressbar2_1643742461370/work prometheus-client @ file:///opt/conda/conda-bld/prometheus_client_1643788673601/work prompt-toolkit @ file:///tmp/build/80754af9/prompt-toolkit_1633440160888/work property-cached==1.6.4 Protego==0.3.0 protobuf==3.20.3 psutil @ file:///C:/ci/psutil_1612298324802/work ptyprocess @ file:///home/conda/feedstock_root/build_artifacts/ptyprocess_1609419310487/work/dist/ptyprocess-0.7.0-py2.py3-none-any.whl pure-eval @ file:///opt/conda/conda-bld/pure_eval_1646925070566/work py @ file:///opt/conda/conda-bld/py_1644396412707/work py-cpuinfo==9.0.0 py4j @ file:///home/conda/feedstock_root/build_artifacts/py4j_1639545792025/work pyarrow==7.0.0 pyasn1==0.5.0 pyasn1-modules==0.3.0 pycodestyle==2.6.0 pycosat==0.6.3 pycparser @ file:///tmp/build/80754af9/pycparser_1636541352034/work pyct @ file:///C:/ci/pyct_1600458386426/work pycurl==7.44.1 pydantic @ file:///D:/bld/pydantic_1636021198197/work PyDispatcher==2.0.7 pydocstyle @ file:///tmp/build/80754af9/pydocstyle_1621600989141/work pydub==0.25.1 pyee==8.2.2 pyemd @ file:///D:/bld/pyemd_1636478530592/work pyflakes==2.2.0 pyfolio==0.9.2 Pygments @ file:///opt/conda/conda-bld/pygments_1644249106324/work pyhdfe==0.2.0 PyJWT==1.7.1 pykalman==0.9.5 pyLDAvis @ file:///home/conda/feedstock_root/build_artifacts/pyldavis_1616598811607/work pylint @ file:///C:/ci/pylint_1639650750934/work pyls-black @ file:///tmp/build/80754af9/pyls-black_1607553132291/work pyls-spyder @ file:///tmp/build/80754af9/pyls-spyder_1613849700860/work pyluach==2.2.0 PyMeeus @ file:///tmp/build/80754af9/pymeeus_1634069098549/work pymongo==4.0.2 PyNaCl @ file:///C:/ci/pynacl_1595000047588/work pyodbc @ file:///C:/ci/pyodbc_1647426060948/work pyOpenSSL @ file:///opt/conda/conda-bld/pyopenssl_1643788558760/work pyparsing @ file:///tmp/build/80754af9/pyparsing_1635766073266/work pyphen @ file:///home/conda/feedstock_root/build_artifacts/pyphen_1640641668581/work pyportfolioopt==1.5.5 pyppeteer==1.0.2 pyproj @ file:///D:/bld/pyproj_1646811431781/work PyQt5==5.12.3 PyQt5_sip==4.19.18 PyQtChart==5.12 PyQtWebEngine==5.12.1 pyquery==1.4.3 pyreadline==2.1 pyrsistent @ file:///C:/ci/pyrsistent_1636111468851/work PySocks==1.7.1 pyspark @ file:///home/conda/feedstock_root/build_artifacts/pyspark_1643189326666/work pystan==2.19.1.1 pytesseract @ file:///home/conda/feedstock_root/build_artifacts/pytesseract_1647306555263/work pytest==6.2.5 python-dateutil @ file:///tmp/build/80754af9/python-dateutil_1626374649649/work python-docx==0.8.11 python-engineio==3.9.0 python-interface==1.6.1 python-jsonrpc-server @ file:///tmp/build/80754af9/python-jsonrpc-server_1600278539111/work python-language-server @ file:///tmp/build/80754af9/python-language-server_1607972495879/work python-snappy @ file:///D:/bld/python-snappy_1636127269385/work python-socketio==4.4.0 python-utils @ file:///home/conda/feedstock_root/build_artifacts/python-utils_1642203277698/work pythreejs @ file:///home/conda/feedstock_root/build_artifacts/pythreejs_1614691447028/work pytz==2023.3 pytz-deprecation-shim==0.1.0.post0 pyviz-comms @ file:///home/conda/feedstock_root/build_artifacts/pyviz_comms_1625215435439/work PyWavelets @ file:///C:/ci/pywavelets_1601658407916/work pywin32==302 pywin32-ctypes==0.2.0 pywinpty @ file:///C:/ci_310/pywinpty_1644230983541/work/target/wheels/pywinpty-2.0.2-cp38-none-win_amd64.whl PyYAML==6.0 pyzmq @ file:///C:/ci/pyzmq_1638435185959/work QDarkStyle==2.8.1 qdldl==0.1.7.post0 QtAwesome @ file:///tmp/build/80754af9/qtawesome_1637160816833/work qtconsole @ file:///opt/conda/conda-bld/qtconsole_1643819126524/work QtPy @ file:///opt/conda/conda-bld/qtpy_1643087291789/work Quandl==3.7.0 queuelib==1.6.2 ray==1.6.0 redis @ file:///home/conda/feedstock_root/build_artifacts/redis-py_1645010473018/work regex @ file:///C:/ci/regex_1629302316714/work requests==2.31.0 requests-async==0.6.2 requests-file @ file:///home/conda/feedstock_root/build_artifacts/requests-file_1591227832914/work requests-html==0.10.0 requests-oauthlib==1.3.1 retrying==1.3.3 rfc3986 @ file:///home/conda/feedstock_root/build_artifacts/rfc3986_1620442452971/work rich @ file:///home/conda/feedstock_root/build_artifacts/rich_1646937619122/work rise==5.7.1 rope @ file:///opt/conda/conda-bld/rope_1643788605236/work rsa==4.9 Rtree @ file:///C:/ci/rtree_1618421009405/work ruamel-yaml-conda @ file:///C:/ci/ruamel_yaml_1616016967756/work s3transfer @ file:///home/conda/feedstock_root/build_artifacts/s3transfer_1645745825648/work sacremoses @ file:///home/conda/feedstock_root/build_artifacts/sacremoses_1647361442468/work scikit-image==0.18.3 scikit-learn @ file:///C:/ci/scikit-learn_1642599125707/work scipy==1.10.1 Scrapy==2.10.0 scs==3.2.3 seaborn==0.11.1 seasonal==0.3.1 selenium==4.11.2 Send2Trash @ file:///tmp/build/80754af9/send2trash_1632406701022/work sentencepiece==0.1.96 service-identity==23.1.0 setproctitle @ file:///D:/bld/setproctitle_1610127780928/work setuptools-git==1.2 setuptools-scm==7.1.0 sgmllib3k @ file:///home/conda/feedstock_root/build_artifacts/sgmllib3k_1600021450347/work Shapely==1.8.0 shellingham @ file:///home/conda/feedstock_root/build_artifacts/shellingham_1612179560728/work simplegeneric==0.8.1 singledispatch @ file:///tmp/build/80754af9/singledispatch_1629321204894/work sip==4.19.25 six==1.15.0 sklearn==0.0 smart-open @ file:///home/conda/feedstock_root/build_artifacts/smart_open_1630238320325/work sniffio @ file:///C:/ci/sniffio_1614030707456/work snowballstemmer @ file:///tmp/build/80754af9/snowballstemmer_1637937080595/work sortedcollections @ file:///tmp/build/80754af9/sortedcollections_1611172717284/work sortedcontainers @ file:///tmp/build/80754af9/sortedcontainers_1623949099177/work soupsieve==2.4.1 spacy @ file:///D:/bld/spacy_1644658342625/work spacy-legacy @ file:///home/conda/feedstock_root/build_artifacts/spacy-legacy_1645713043381/work spacy-loggers @ file:///home/conda/feedstock_root/build_artifacts/spacy-loggers_1634809367310/work SpeechRecognition==3.10.0 Sphinx @ file:///tmp/build/80754af9/sphinx_1616268783226/work sphinxcontrib-applehelp==1.0.2 sphinxcontrib-devhelp==1.0.2 sphinxcontrib-htmlhelp @ file:///tmp/build/80754af9/sphinxcontrib-htmlhelp_1623945626792/work sphinxcontrib-jsmath==1.0.1 sphinxcontrib-qthelp==1.0.3 sphinxcontrib-serializinghtml @ file:///tmp/build/80754af9/sphinxcontrib-serializinghtml_1624451540180/work sphinxcontrib-websupport @ file:///tmp/build/80754af9/sphinxcontrib-websupport_1597081412696/work spyder @ file:///C:/ci/spyder_1616776239898/work spyder-kernels @ file:///C:/ci/spyder-kernels_1614030842607/work SQLAlchemy==2.0.19 squarify==0.4.3 srsly @ file:///D:/bld/srsly_1638879736505/work stack-data @ file:///opt/conda/conda-bld/stack_data_1646927590127/work starlette @ file:///home/conda/feedstock_root/build_artifacts/starlette-recipe_1641778727195/work statsmodels==0.14.0 streamz @ file:///home/conda/feedstock_root/build_artifacts/streamz_1633363454258/work strsimpy @ file:///home/conda/feedstock_root/build_artifacts/strsimpy_1602624469551/work sympy @ file:///C:/ci/sympy_1635237204453/work ta==0.10.2 TA-Lib @ file:///D:/bld/ta-lib_1637267093594/work tables==3.8.0 tabula-py @ file:///C:/ci/tabula-py_1637055935735/work tabulate @ file:///home/conda/feedstock_root/build_artifacts/tabulate_1614001031686/work tblib @ file:///tmp/build/80754af9/tblib_1597928476713/work tenacity @ file:///home/conda/feedstock_root/build_artifacts/tenacity_1626090218611/work tensorboard @ file:///tmp/build/80754af9/tensorboard_1633093581375/work/tensorboard-2.6.0-py3-none-any.whl tensorboard-data-server @ file:///C:/ci/tensorboard-data-server_1633035228378/work/tensorboard_data_server-0.6.0-py3-none-any.whl tensorboard-plugin-wit==1.8.1 tensorflow==2.3.0 tensorflow-estimator @ file:///home/builder/adipietro/tf/tensorflow-estimator_1630508970172/work/tensorflow_estimator-2.6.0-py2.py3-none-any.whl termcolor==1.1.0 terminado @ file:///C:/ci/terminado_1644322757089/work testpath @ file:///tmp/build/80754af9/testpath_1624638946665/work textacy==0.10.0 textblob==0.15.3 textdistance @ file:///tmp/build/80754af9/textdistance_1612461398012/work thinc @ file:///D:/bld/thinc_1638980369428/work threadpoolctl==3.2.0 three-merge @ file:///tmp/build/80754af9/three-merge_1607553261110/work tifffile==2020.10.1 tldextract @ file:///home/conda/feedstock_root/build_artifacts/tldextract_1645411981621/work tokenizers @ file:///D:/bld/tokenizers_1632285922127/work toml @ file:///tmp/build/80754af9/toml_1616166611790/work tomli==2.0.1 toolz @ file:///tmp/build/80754af9/toolz_1636545406491/work torch==1.11.0 torchvision==0.12.0 tornado @ file:///C:/ci/tornado_1606942392901/work tqdm @ file:///opt/conda/conda-bld/tqdm_1647339053476/work traitlets @ file:///tmp/build/80754af9/traitlets_1636710298902/work traittypes @ file:///home/conda/feedstock_root/build_artifacts/traittypes_1600843364635/work transformers @ file:///home/conda/feedstock_root/build_artifacts/transformers_1643665047793/work trio==0.22.2 trio-websocket==0.10.3 Twisted==22.10.0 twisted-iocpsupport==1.0.4 twython==3.9.1 typed-ast @ file:///C:/ci/typed-ast_1624953785070/work typer @ file:///home/conda/feedstock_root/build_artifacts/typer_1630326630489/work typing_extensions==4.7.1 tzdata==2022.1 tzlocal==4.1 ujson @ file:///C:/ci/ujson_1611241570789/work unicodecsv==0.14.1 urllib3 @ file:///opt/conda/conda-bld/urllib3_1643638302206/work vaderSentiment==3.3.2 vaex-astro @ file:///home/conda/feedstock_root/build_artifacts/vaex-astro_1631339901381/work vaex-core @ file:///D:/bld/vaex-core_1639773909708/work vaex-hdf5 @ file:///home/conda/feedstock_root/build_artifacts/vaex-hdf5_1640686607215/work vaex-jupyter @ file:///home/conda/feedstock_root/build_artifacts/vaex-jupyter_1640686696974/work vaex-ml @ file:///home/conda/feedstock_root/build_artifacts/vaex-ml_1640688153658/work vaex-server @ file:///home/conda/feedstock_root/build_artifacts/vaex-server_1644306057562/work vaex-viz @ file:///home/conda/feedstock_root/build_artifacts/vaex-viz_1640688182221/work vine @ file:///home/conda/feedstock_root/build_artifacts/vine_1604930048994/work vispy @ file:///D:/bld/vispy_1644029990752/work voila @ file:///home/conda/feedstock_root/build_artifacts/voila_1647001037282/work w3lib==1.22.0 wasabi @ file:///home/conda/feedstock_root/build_artifacts/wasabi_1638865582891/work watchdog @ file:///C:/ci/watchdog_1612471251191/work wcwidth @ file:///tmp/build/80754af9/wcwidth_1593447189090/work webencodings==0.5.1 websocket-client @ file:///C:/ci/websocket-client_1614804473297/work websockets @ file:///D:/bld/websockets_1645531210500/work Werkzeug==2.3.6 widgetsnbextension @ file:///C:/ci/widgetsnbextension_1645009558218/work win-inet-pton==1.1.0 win-unicode-console==0.5 wincertstore==0.2 wordcloud==1.8.1 wrapt==1.12.1 wsproto==1.2.0 xarray @ file:///home/conda/feedstock_root/build_artifacts/xarray_1646254587173/work xlrd @ file:///tmp/build/80754af9/xlrd_1608072521494/work XlsxWriter @ file:///tmp/build/80754af9/xlsxwriter_1636633762820/work xlwings==0.23.0 xlwt==1.3.0 xyzservices @ file:///home/conda/feedstock_root/build_artifacts/xyzservices_1646849493349/work yapf @ file:///tmp/build/80754af9/yapf_1615749224965/work yarl @ file:///C:/ci/yarl_1606940076464/work yellowbrick==1.5 yfinance==0.2.27 zict==2.0.0 zipline-reloaded==3.0.3 zipp @ file:///opt/conda/conda-bld/zipp_1641824620731/work zope.event==4.5.0 zope.interface==6.0
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When using the get_clean_factor_and_forward_returns command, I get the following error: ValueError Traceback (most recent call last) File c:\ProgramData\anaconda3\envs\py38class\lib\site-packages\pandas\core\frame.py:11610, in _reindex_for_setitem(value, index) 11609 try:
File c:\ProgramData\anaconda3\envs\py38class\lib\site-packages\pandas\core\series.py:4923, in Series.reindex(self, index, axis, method, copy, level, fill_value, limit, tolerance) 4903 @doc( 4904 NDFrame.reindex, # type: ignore[has-type] 4905 klass=_shared_doc_kwargs["klass"], (...) 4921 tolerance=None, 4922 ) -> Series: -> 4923 return super().reindex( 4924 index=index, 4925 method=method, 4926 copy=copy, 4927 level=level, 4928 fill_value=fill_value, 4929 limit=limit, 4930 tolerance=tolerance, 4931 ) ... 11618 "incompatible index of inserted column with frame index" 11619 ) from err 11620 return reindexed_value
TypeError: incompatible index of inserted column with frame index
I am just running the code in the notebook but it didn't work. I checked all the symbols and dates in the lr_factor and trade_prices and I made sure the indexes were compatible, i.e. I filtered the start date of trade_prices such that it matches with the one of lr_factor. Additionally, i checked that all of the assets in the trade_prices columns are present in the lr_factor's index. However, I kept getting this error.
I decided to proceed in a different way and use the compute_forward_returns function, then to use get_clean_factor. Unfortunately, I got the same error as when using the get_clean_factor_and_forward_returns. The forward returns were computed perfectly, the indexes are the same as the index of lr_factor, but I again get the same error. Below is the code where I tried to split the tasks in two: trade_prices_data = compute_forward_returns(factor= lr_factor, prices= trade_prices,
periods = (1, 5, 10, 21) )
I wasn't very sure exactly what to select for most of the parametres, but below is the code I used. lr_factor_data = get_clean_factor(factor= lr_factor, forward_returns=trade_prices_data, groupby= None, binning_by_group=False, quantiles=5, bins=None, groupby_labels=None, max_loss=0.35, zero_aware=False ) Environment: Windows C:\ProgramData\anaconda3\envs\py38class
These are all of the packages I have installed: absl-py @ file:///opt/conda/conda-bld/absl-py_1639803114343/work aiohttp @ file:///C:/ci/aiohttp_1646806545879/work aiosignal @ file:///tmp/build/80754af9/aiosignal_1637843061372/work alabaster==0.7.12 alembic==1.11.2 alpha-vantage==2.3.1 alphalens==0.4.0 amqp @ file:///home/conda/feedstock_root/build_artifacts/amqp_1646564891451/work anaconda-client @ file:///C:/ci/anaconda-client_1635342752200/work anaconda-project @ file:///tmp/build/80754af9/anaconda-project_1637161053845/work ansi2html==1.7.0 anyio @ file:///C:/ci/anyio_1644463701441/work/dist aplus==0.11.0 appdirs==1.4.4 arctic==1.79.4 argh==0.26.2 argon2-cffi @ file:///opt/conda/conda-bld/argon2-cffi_1645000214183/work argon2-cffi-bindings @ file:///C:/ci/argon2-cffi-bindings_1644569878360/work arviz @ file:///home/conda/feedstock_root/build_artifacts/arviz_1633274821480/work asn1crypto @ file:///tmp/build/80754af9/asn1crypto_1596577642040/work astor==0.8.1 astroid @ file:///C:/ci/astroid_1639044403229/work astropy==4.0.2 asttokens @ file:///opt/conda/conda-bld/asttokens_1646925590279/work astunparse==1.6.3 async-timeout @ file:///tmp/build/80754af9/async-timeout_1637851218186/work atomicwrites==1.4.0 attrs @ file:///opt/conda/conda-bld/attrs_1642510447205/work Automat==22.10.0 autopep8 @ file:///tmp/build/80754af9/autopep8_1615918855173/work Babel @ file:///tmp/build/80754af9/babel_1620871417480/work backcall==0.2.0 backports.shutil-get-terminal-size==1.0.0 backports.zoneinfo==0.2.1 bcolz-zipline==1.2.6 bcrypt @ file:///C:/ci/bcrypt_1597936263757/work beautifulsoup4==4.12.2 billiard @ file:///D:/bld/billiard_1636131411089/work bitarray @ file:///C:/ci/bitarray_1641799256136/work bkcharts==0.2 black==19.10b0 blake3 @ file:///D:/bld/blake3_1636283080831/work bleach @ file:///opt/conda/conda-bld/bleach_1641577558959/work blinker==1.4 blis @ file:///D:/bld/cython-blis_1645002897137/work blosc @ file:///C:/ci/python-blosc_1638539958099/work blosc2==2.0.0 blpapi==3.17.1 bokeh @ file:///C:/ci/bokeh_1638362940011/work boto==2.49.0 boto3 @ file:///home/conda/feedstock_root/build_artifacts/boto3_1647500875427/work botocore @ file:///home/conda/feedstock_root/build_artifacts/botocore_1647478405006/work Bottleneck==1.3.2 bqplot @ file:///home/conda/feedstock_root/build_artifacts/bqplot_1644594233772/work branca @ file:///home/conda/feedstock_root/build_artifacts/branca_1609346930842/work Brotli @ file:///D:/bld/brotli-split_1635846030050/work brotlipy==0.7.0 bs4==0.0.1 cachetools==4.2.4 catalogue @ file:///D:/bld/catalogue_1638867510751/work celery @ file:///home/conda/feedstock_root/build_artifacts/celery_1644262149668/work certifi==2023.7.22 cffi @ file:///C:/ci_310/cffi_1642682485096/work cftime @ file:///D:/bld/cftime_1646333174733/work chardet @ file:///D:/bld/chardet_1602255508636/work charset-normalizer==3.2.0 chart-studio==1.1.0 chartpy==0.1.11 click @ file:///C:/ci/click_1646056799533/work click-didyoumean @ file:///home/conda/feedstock_root/build_artifacts/click-didyoumean_1642673782881/work click-plugins==1.1.1 click-repl @ file:///home/conda/feedstock_root/build_artifacts/click-repl_1623347986327/work cloudpickle==1.3.0 clyent==1.2.2 colorama @ file:///tmp/build/80754af9/colorama_1603211150991/work colorcet @ file:///home/conda/feedstock_root/build_artifacts/colorcet_1638280441091/work colorlover==0.3.0 commonmark==0.9.1 comtypes==1.1.10 conda-pack @ file:///tmp/build/80754af9/conda-pack_1611163042455/work configparser==5.2.0 constantly==15.1.0 contextlib2==0.6.0.post1 contourpy==1.1.0 convertdate @ file:///home/conda/feedstock_root/build_artifacts/convertdate_1642883757836/work cramjam @ file:///D:/bld/cramjam_1639035096642/work cryptography @ file:///C:/ci/cryptography_1639472366776/work cssselect==1.1.0 cufflinks==0.17.3 cvlib==0.2.6 cvxpy==1.3.2 cycler @ file:///tmp/build/80754af9/cycler_1637851556182/work cymem @ file:///D:/bld/cymem_1636053422146/work Cython @ file:///C:/ci/cython_1639474807736/work cytoolz==0.11.0 dash @ file:///home/conda/feedstock_root/build_artifacts/dash_1647257147344/work dash-bootstrap-components @ file:///home/conda/feedstock_root/build_artifacts/dash-bootstrap-components_1644118775506/work dash-colorscales @ file:///home/conda/feedstock_root/build_artifacts/dash_colorscales_1593443621680/work dash-core-components @ file:///home/conda/feedstock_root/build_artifacts/dash-core-components_1645162191927/work dash-daq @ file:///home/conda/feedstock_root/build_artifacts/dash-daq_1596869611219/work dash-html-components @ file:///home/conda/feedstock_root/build_artifacts/dash-html-components_1645162180756/work dash-table==5.0.0 dask @ file:///tmp/build/80754af9/dask-core_1617390489108/work datashader @ file:///home/conda/feedstock_root/build_artifacts/datashader_1623315462041/work datashape==0.5.4 DateTime==5.2 debugpy @ file:///C:/ci/debugpy_1637073815078/work decorator @ 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file:///tmp/build/80754af9/snowballstemmer_1637937080595/work sortedcollections @ file:///tmp/build/80754af9/sortedcollections_1611172717284/work sortedcontainers @ file:///tmp/build/80754af9/sortedcontainers_1623949099177/work soupsieve==2.4.1 spacy @ file:///D:/bld/spacy_1644658342625/work spacy-legacy @ file:///home/conda/feedstock_root/build_artifacts/spacy-legacy_1645713043381/work spacy-loggers @ file:///home/conda/feedstock_root/build_artifacts/spacy-loggers_1634809367310/work SpeechRecognition==3.10.0 Sphinx @ file:///tmp/build/80754af9/sphinx_1616268783226/work sphinxcontrib-applehelp==1.0.2 sphinxcontrib-devhelp==1.0.2 sphinxcontrib-htmlhelp @ file:///tmp/build/80754af9/sphinxcontrib-htmlhelp_1623945626792/work sphinxcontrib-jsmath==1.0.1 sphinxcontrib-qthelp==1.0.3 sphinxcontrib-serializinghtml @ file:///tmp/build/80754af9/sphinxcontrib-serializinghtml_1624451540180/work sphinxcontrib-websupport @ file:///tmp/build/80754af9/sphinxcontrib-websupport_1597081412696/work spyder 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