Merge pull request quantopian#313 from MichaelJMath/master

BUG: Calculate mean returns by date before mean return by quantile
hbpxp · Aug 24, 2018 · b3f9baf · b3f9baf
2 parents 5614846 + 4c6d96a
commit b3f9baf
Showing 1 changed file with 9 additions and 3 deletions.
diff --git a/alphalens/performance.py b/alphalens/performance.py
@@ -638,9 +638,7 @@ def mean_return_by_quantile(factor_data,
     else:
         factor_data = factor_data.copy()
 
-    grouper = ['factor_quantile']
-    if by_date:
-        grouper.append(factor_data.index.get_level_values('date'))
+    grouper = ['factor_quantile', factor_data.index.get_level_values('date')]
 
     if by_group:
         grouper.append('group')
@@ -651,6 +649,14 @@ def mean_return_by_quantile(factor_data,
 
     mean_ret = group_stats.T.xs('mean', level=1).T
 
+    if not by_date:
+        grouper = [mean_ret.index.get_level_values('factor_quantile')]
+        if by_group:
+            grouper.append(mean_ret.index.get_level_values('group'))
+        group_stats = mean_ret.groupby(grouper)\
+            .agg(['mean', 'std', 'count'])
+        mean_ret = group_stats.T.xs('mean', level=1).T
+
     std_error_ret = group_stats.T.xs('std', level=1).T \
         / np.sqrt(group_stats.T.xs('count', level=1).T)