quantlab.analysis.factor_report.newey_west_lags#

quantlab.analysis.factor_report.newey_west_lags(n_periods, horizon)[source]#

Return the Newey-West lag count used for a mean IC.

The larger of horizon - 1, the autocorrelation that overlapping horizon-bar forward returns induce, and the Newey-West (1994) rule of thumb floor(4 * (n / 100) ** (2 / 9)) for n periods.

Examples

>>> newey_west_lags(250, 1), newey_west_lags(250, 10)
(4, 9)