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Problem Description
Please provide a minimal, self-contained, and reproducible example:
[factor_data = alphalens.utils.get_clean_factor_and_forward_returns(convpre,close,bins=[-10,-5,-1,0,10],periods=[1,5,10,20])]
Please provide the full traceback:
[ValueError Traceback (most recent call last)
<ipython-input-37-bcea1a6e8ef9> in <module>
----> 1 factor_data = alphalens.utils.get_clean_factor_and_forward_returns(convpre,close,bins=[-10,-5,-1,0,10],periods=[1,5,10,20])
2 alphalens.tears.create_full_tear_sheet(factor_data)
/Library/Frameworks/Python.framework/Versions/3.6/lib/python3.6/site-packages/alphalens/utils.py in get_clean_factor_and_forward_returns(factor, prices, groupby, binning_by_group, quantiles, bins, periods, filter_zscore, groupby_labels, max_loss, zero_aware, cumulative_returns)
837 quantiles=quantiles, bins=bins,
838 binning_by_group=binning_by_group,
--> 839 max_loss=max_loss, zero_aware=zero_aware)
840
841 return factor_data
/Library/Frameworks/Python.framework/Versions/3.6/lib/python3.6/site-packages/alphalens/utils.py in get_clean_factor(factor, forward_returns, groupby, binning_by_group, quantiles, bins, groupby_labels, max_loss, zero_aware)
636 binning_by_group,
637 no_raise,
--> 638 zero_aware
639 )
640
/Library/Frameworks/Python.framework/Versions/3.6/lib/python3.6/site-packages/alphalens/utils.py in dec(*args, **kwargs)
74 def dec(*args, **kwargs):
75 try:
---> 76 return func(*args, **kwargs)
77 except ValueError as e:
78 if 'Bin edges must be unique' in str(e):
/Library/Frameworks/Python.framework/Versions/3.6/lib/python3.6/site-packages/alphalens/utils.py in quantize_factor(factor_data, quantiles, bins, by_group, no_raise, zero_aware)
129 if not ((quantiles is not None and bins is None) or
130 (quantiles is None and bins is not None)):
--> 131 raise ValueError('Either quantiles or bins should be provided')
132
133 if zero_aware and not (isinstance(quantiles, int)
ValueError: Either quantiles or bins should be provided]
Please provide any additional information below:
Versions
- Alphalens version: 0.4.0
- Python version: 3.60
- Pandas version: 0.22
- Matplotlib version: 1.40
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