21. get_clean_factor_and_forward_returns

Looking at the documentation for the alphalens function
get_clean_factor_and_forward_returns ,

This function formats factor and pricing data, and also chooses the frequency of the formatted data. So for instance, given daily data, we could output the formatted data to be weekly.

clean factor and forward returns

Which three parameters do you think we would set in order to call this get_clean_factor_and_forward_returns function so that we could get formatted data for factor values, forward returns, and at a desired frequency (for example, 5 trading days for weekly frequency)?

SOLUTION:
  • factor
  • prices
  • periods

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