From a13233bbebab76582247faffee0f69acf082e5d2 Mon Sep 17 00:00:00 2001 From: jimportico <30626644+jimportico@users.noreply.github.com> Date: Fri, 10 Jan 2020 14:32:25 -0500 Subject: [PATCH 1/2] Addressing issue #336 Added code to address issue #336. link: https://github.com/quantopian/alphalens/issues/336 --- alphalens/tears.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/alphalens/tears.py b/alphalens/tears.py index a193b37c..d1f14da8 100644 --- a/alphalens/tears.py +++ b/alphalens/tears.py @@ -412,7 +412,7 @@ def create_turnover_tear_sheet(factor_data, turnover_periods=None): quantile_turnover = \ {p: pd.concat([perf.quantile_turnover(quantile_factor, q, p) - for q in range(1, int(quantile_factor.max()) + 1)], + for q in quantile_factor.sort_values().unique().tolist()], axis=1) for p in turnover_periods} From a462213deea90148864b52e3bb02043856552eb0 Mon Sep 17 00:00:00 2001 From: jimportico <30626644+jimportico@users.noreply.github.com> Date: Fri, 10 Jan 2020 16:55:11 -0500 Subject: [PATCH 2/2] Addressing issue quantopian#336 Added code to address issue #336 Link: https://github.com/quantopian/alphalens/issues/336 --- alphalens/tears.py | 15 ++++++++++----- 1 file changed, 10 insertions(+), 5 deletions(-) diff --git a/alphalens/tears.py b/alphalens/tears.py index d1f14da8..0b0eaf93 100644 --- a/alphalens/tears.py +++ b/alphalens/tears.py @@ -410,11 +410,16 @@ def create_turnover_tear_sheet(factor_data, turnover_periods=None): quantile_factor = factor_data['factor_quantile'] - quantile_turnover = \ - {p: pd.concat([perf.quantile_turnover(quantile_factor, q, p) - for q in quantile_factor.sort_values().unique().tolist()], - axis=1) - for p in turnover_periods} + quantile_turnover = { + p: pd.concat( + [ + perf.quantile_turnover(quantile_factor, q, p) + for q in quantile_factor.sort_values().unique().tolist() + ], + axis=1, + ) + for p in turnover_periods + } autocorrelation = pd.concat( [perf.factor_rank_autocorrelation(factor_data, period) for period in