quantlab.analysis.factor_report.Fret#

class quantlab.analysis.factor_report.Fret(panel, horizon=1, name='returns')[source]#

A forward-return panel for FactorAnalyzer.analyze_panels.

Attributes:

panelxarray.Dataset: Forward returns on (timestamp, symbol); every variable is a fret and names its pairs.
horizonint, default 1: Bars the returns span; cumulative returns compound the per-bar rate (1 + r) ** (1 / horizon) - 1.
namestr, default “returns”: What error messages call the panel.

Examples

>>> import xarray as xr
>>> Fret(xr.Dataset(), horizon=5).name
'returns'