Alphalens

[Swordsman-T]

Problem Description

UnboundLocalError: local variable 'period_len' referenced before assignment, line 319

days_diffs = []
        for i in range(30):
            if i >= len(forward_returns.index):
                break
            p_idx = prices.index.get_loc(forward_returns.index[i])
            if p_idx is None or p_idx < 0 or (
                    p_idx + period) >= len(prices.index):
                continue
            start = prices.index[p_idx]
            end = prices.index[p_idx + period]
            period_len = diff_custom_calendar_timedeltas(start, end, freq)
            days_diffs.append(period_len.components.days)

        delta_days = period_len.components.days - mode(days_diffs).mode[0]
        period_len -= pd.Timedelta(days=delta_days)
        label = timedelta_to_string(period_len)

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Versions

• Alphalens version:
• Python version: 3.7
• Pandas version:
• Matplotlib version: