Simple tear sheet problem

[csc5a2g]

Hi,

I'm trying to use the simple tear sheet on my own set of returns. I've seen elsewhere that there are issues leaving the module to get benchmark data itself so I've provided my own benchmark data however I can't make any progress towards generating a tear sheet, I get:

File "C:\ProgramData\Anaconda3\lib\site-packages\pandas\core\indexing.py", line 1231, in _convert_to_indexer
raise KeyError('%s not in index' % objarr[mask])
KeyError: "DatetimeIndex(['1990-01-04', '1990-01-05', '1990-01-08', '1990-01-09',\n '1990-01-10', '1990-01-11', '1990-01-12', '1990-01-15',\n '1990-01-16', '1990-01-17',\n ...\n '2018-07-17', '2018-07-18', '2018-07-19', '2018-07-20',\n '2018-07-23', '2018-07-24', '2018-07-25', '2018-07-26',\n '2018-07-27', '2018-07-30'],\n dtype='datetime64[ns]', name='date', length=7198, freq=None) not in index"

However a diff of the indices shows that there are no differences ?

my_daily_pnl.index.difference(benchmark_data.index)
Out[3]: DatetimeIndex([], dtype='datetime64[ns]', name='date', freq=None)

I'd be grateful if someone could point me in the right direction as I'd love to incorporate pyfolio into my workflow.

Thanks
D

[twiecki]

This is probably a timezone issue. Can you try df.index = df.index.tz_convert('utc')?

[eigenfoo]

Small things like this should be caught once #540 makes its way through the pipeline... eventually.

[markofferman]

I have the same problem here. I tried df.index = df.index.tz_convert('utc') but solve the problem

KeyError: "DatetimeIndex(['2017-08-17', '2017-08-18', '2017-08-19', '2017-08-20',\n '2017-08-21', '2017-08-22', '2017-08-23', '2017-08-24',\n '2017-08-25', '2017-08-26',\n ...\n '2018-09-22', '2018-09-23', '2018-09-24', '2018-09-25',\n '2018-09-26', '2018-09-27', '2018-09-28', '2018-09-29',\n '2018-09-30', '2018-10-01'],\n dtype='datetime64[ns, UTC]', name='index', length=411, freq=None) not in index"

It's weird as they seem to have the same format when I print them:
returns.index[0]: 2017-08-17 00:00:00+00:00
benchmark_returns.index[0]: 2017-08-17 00:00:00+00:00

You guys have ideas whats going on?