API: run Alphalens with returns instead of prices (utils.get_clean_fa…

…ctor) Issue #270 * refactored compute_forward_returns and get_clean_factor_and_forward_returns * added get_clean_factor * fix bug in compute_factor_returns: call infer_trading_calendar before factor index is changed
quantopian · Mar 14, 2018 · efcc69c · efcc69c
1 parent 2143a38
commit efcc69c
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diff --git a/alphalens/tests/test_utils.py b/alphalens/tests/test_utils.py
@@ -54,8 +54,9 @@ def test_compute_forward_returns(self):
         dr = date_range(start='2015-1-1', end='2015-1-3')
         prices = DataFrame(index=dr, columns=['A', 'B'],
                            data=[[1, 1], [1, 2], [2, 1]])
+        factor = prices.stack()
 
-        fp = compute_forward_returns(prices.index, prices, periods=[1, 2])
+        fp = compute_forward_returns(factor, prices, periods=[1, 2])
 
         ix = MultiIndex.from_product([dr, ['A', 'B']],
                                      names=['date', 'asset'])