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No objects to concatenate,using alaphalens to analysing my own factor

Hi, guys,
I learned the example in the lecture and I am trying to use alapha lens to test my factor. However, I got an error "No objets to concatenate", could someone point our where I am wrong?

Thank you

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6 responses

You get that error when there is no data. it is probably because you are not providing the price data:

pricing=get_pricing(assets,start_date='2017-08-25', end_date='2017-08-27',fields='open_price')  

I guess the start_date should be 2016-08-25

Thank you, Luca,
I changed the date to 2016-08-25, and then I got error, Bin edges must be unique: array([ 0., 0., 0., 0., 0., 0.])
My factor is boolean value, 0 or 1. Is that mean I cannot analyse this kind of alpha?

When you have a factor with discrete values in your (case 0 and 1) you can use 'bins' option providing custom ranges.In your example: bins=[-0.5,05,1.5]. That will create 2 bins, one in the range -0.5 to 0.5 (all the 0s will fall there) and a second one in the range 0.5 to 1.5 (all the 1s will fall there).

Have a look here how I used bins option with discrete values.

Hi Luca,
As you suggested, I changed bins to [-0.5,0.5,1.5], but it doesn't work. I am attaching my notebook here.

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You also have to set quantiles=None otherwise the bins option won't be used