James McCorriston
James McCorriston
@luca-s I think that what if we change the call to `cumulative_returns` from within `create_pyfolio_input`? Additionally, we should probably add a test for `create_pyfolio_input` :/
@luca-s sorry for the radio silence. I'm circling back to this now. > Even within this specific case the returns are reported at the wrong date, that is the factor...
@luca-s You have spent much more time than I have developing Alphalens. You have no need to apologize. I really appreciate you taking the time to walk me through these...
Hi @eigenfoo, I'm so glad you're still active in this repo! Thanks for weighing in. > maybe I can convince you that it's an important research consideration I totally agree....
@luca-s > If I am correct you believe the daily factor (with daily periods) is the only way Alphalens can work and we need to enforce/make assumptions on that inside...
@luca-s - I'd love to get your thoughts on this!
Thanks for the quick resopnse, @luca-s ! To be clear, when you say that such a change would lose the ability to compute cumulative returns for periods longer than a...
I took a read through the tutorial and did another pass over the code and I think I understand the limitation. I think it's important to support the use case...
Thanks for the extra detail, Luca! I plan to take a crack at this on Tuesday next week. My plan is to try to implement it in terms of the...
@luca-s I spent some more time thinking about this and poking around the code base today. My tentative plan is to move some of the sub-portfolio logic into the `utils`...