luca-s

The recent upgrade to Alphalens version 0.4.0 broke the pyfolio integration API. @jmccorriston, @dmichalowicz : I believe the old `cumulative_returns` should be kept for the pyfolio integration API.

> @luca-s I think that what if we change the call to cumulative_returns from within create_pyfolio_input? This would be the obvious solution, but if `create_pyfolio_input` is implemented through the new...

> Can you point me to where this is being handled in create_pyfolio_input now? At a high level, I understand what you're saying, I just didn't know that it was...

@jmccorriston > Due to the nature/frequency of the input data to Alphalens, we need to bake some assumptions into the analysis tools in order to produce useful results. I believe...

@jmccorriston > One question that I've been wondering about is whether a similar workflow (i.e. simulating a non-1D holding period) can be achieved by transforming the factor_data input to represent...

@jmccorriston I'll reply to the last few things but I believe we are pretty much on the same page now :) Regarding moving `create_pyfolio_inputs` to Pyfolio I don't have a...

Alphalens v0.4.0 broke several APIs. I would suggest to stick to version v0.3.6, the latest well tested release.

Does [this](https://github.com/quantopian/alphalens/issues/366) help?

@jmccorriston I believe you can safely go on with this change and simplify `cumulative_returns`. Back in time, the cumulative returns code was something like `daily_returns.add(1).cumprod().plot(...)` , which is pretty fast....

@jmccorriston my previous reply was not totally correct, but the matter is quite subtle and I didn't want to enter too much into the details...but I will do it now...