Stop inferring business days, require freq to be passed

Author: mathijs81

alphalens/performance.py

@@ -348,7 +348,6 @@ def cumulative_returns(returns):
             2015-01-07   1.001092
             2015-01-08   0.999200
     """
-
     return ep.cum_returns(returns, starting_value=1)
 
 
@@ -394,9 +393,7 @@ def positions(weights, period, freq=None):
         freq = weights.index.freq
 
     if freq is None:
-        freq = BDay()
-        warnings.warn("'freq' not set, using business day calendar",
-                      UserWarning)
+        raise Exception("'freq' not set")
 
     #
     # weights index contains factor computation timestamps, then add returns

alphalens/tears.py

@@ -269,11 +269,7 @@ def create_returns_tear_sheet(
 
     trading_calendar = factor_data.index.levels[0].freq
     if trading_calendar is None:
-        trading_calendar = pd.tseries.offsets.BDay()
-        warnings.warn(
-            "'freq' not set in factor_data index: assuming business day",
-            UserWarning,
-        )
+        raise Exception("'freq' not set in factor_data index")
 
     # Compute cumulative returns from daily simple returns, if '1D'
     # returns are provided.
@@ -722,11 +718,7 @@ def create_event_study_tear_sheet(factor_data,
 
     trading_calendar = factor_data.index.levels[0].freq
     if trading_calendar is None:
-        trading_calendar = pd.tseries.offsets.BDay()
-        warnings.warn(
-            "'freq' not set in factor_data index: assuming business day",
-            UserWarning,
-        )
+        raise Exception("'freq' not set in factor_data index")
 
     plt.show()
     gf.close()