Factor-to-factor correlations and regressions #1307
Merged
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
dmichalowicz
force-pushed
the
sid-to-sid-2
branch
from
70a4e6d
to
54f434e
Compare
dmichalowicz
force-pushed
the
sid-to-sid-2
branch
from
8d4faba
to
63a7111
Compare
dmichalowicz
force-pushed
the
sid-to-sid-2
branch
from
63a7111
to
06b7789
Compare
| @@ -626,7 +632,9 @@ def rank(self, method='ordinal', ascending=True, mask=NotSpecified): | |||
| return Rank(self, method=method, ascending=ascending, mask=mask) | |||
|
|
|||
| @expect_types( | |||
| target=Slice, correlation_length=int, mask=(Filter, NotSpecifiedType), | |||
| target=(FactorProxy, LoadableTerm, Slice), | |||
There was a problem hiding this comment.
Note to fix: If the wrong type of term is given here, expect_types says something like "this parameter was expected to be of type FactorProxy or..." which is confusing since we actually mean Factor
There was a problem hiding this comment.
Also, thinking this should be BoundColumn instead of LoadableTerm?
| # spearmanr returns the R-value and the P-value. | ||
| out[i] = spearmanr(factor_data[:, i], slice_data_column)[0] | ||
| def compute(self, today, assets, out, base_data, target_data): | ||
| if target_data.shape[1] > 1: |
There was a problem hiding this comment.
Cleaner here might be:
target_date = np.broadcast_to(target_data, base_data.shape)
for i in range(len(out)):
...
The same pattern could be used pretty much everywhere in this file.
dmichalowicz
force-pushed
the
sid-to-sid-2
branch
from
c9058e8
to
0df579d
Compare
dmichalowicz
force-pushed
the
sid-to-sid-2
branch
from
0df579d
to
a8486c5
Compare
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
Opening in favor of #1300
test_engine.pytotest_statistical.py