Pass freq where necessary, remove forcing day-only logic so that e.g. 4h data will also work

Author: mathijs81

alphalens/performance.py

@@ -201,7 +201,7 @@ def to_weights(group, _demeaned, _equal_weight):
 
     if group_adjust:
         weights = weights.groupby(level='date').apply(to_weights, False, False)
-
+    weights.index.freq = factor_data.index.levels[0].freq
     return weights
 
 
@@ -251,6 +251,7 @@ def factor_returns(factor_data,
         returns = weighted_returns
     else:
         returns = weighted_returns.groupby(level='date').sum()
+    returns.index.freq = factor_data.index.levels[0].freq
 
     return returns
 
@@ -384,8 +385,6 @@ def positions(weights, period, freq=None):
             2004-01-13 10:30:00   -13853.2800    13653.6400      -43.6375
     """
 
-    weights = weights.unstack()
-
     if not isinstance(period, pd.Timedelta):
         period = pd.Timedelta(period)
 
@@ -394,6 +393,7 @@ def positions(weights, period, freq=None):
 
     if freq is None:
         raise Exception("'freq' not set")
+    weights = weights.unstack()
 
     #
     # weights index contains factor computation timestamps, then add returns

alphalens/utils.py

@@ -984,8 +984,6 @@ def add_custom_calendar_timedelta(input, timedelta, freq):
     pd.DatetimeIndex or pd.Timestamp
         input + timedelta
     """
-    if not isinstance(freq, (Day, BusinessDay, CustomBusinessDay)):
-        raise ValueError("freq must be Day, BDay or CustomBusinessDay")
     days = timedelta.components.days
     offset = timedelta - pd.Timedelta(days=days)
     return input + freq * days + offset
@@ -1010,7 +1008,7 @@ def diff_custom_calendar_timedeltas(start, end, freq):
         end - start
     """
     if not isinstance(freq, (Day, BusinessDay, CustomBusinessDay)):
-        raise ValueError("freq must be Day, BusinessDay or CustomBusinessDay")
+        return end - start
 
     weekmask = getattr(freq, 'weekmask', None)
     holidays = getattr(freq, 'holidays', None)