Alphalens Factor Analysis

WHENWhen aligning factor and price data for forward returns computation

ACTIONverify factor and prices DatetimeIndex share identical timezone

CONSEQUENCEMismatched timezones cause NonMatchingTimezoneError and produce incorrect forward return calculations, leading to flawed factor analysis results

WHENWhen constructing factor_data output

ACTIONuse MultiIndex with levels named 'date' (level 0) and 'asset' (level 1)

CONSEQUENCEDownstream functions relying on MultiIndex levels named 'date' and 'asset' will fail or produce incorrect results when index structure is non-compliant

WHENWhen naming forward return columns

ACTIONuse pd.Timedelta-compatible format (e.g., 1D, 5D, 30m, 3h15m)

CONSEQUENCENon-compliant column names cause get_forward_returns_columns pattern matching to fail, resulting in missing forward returns in analysis