Hello Quantopian community,
I am new here at the Quantopian community. I went about the quant world a little backwards. I have built an execution bot with a naive strategy, now I am working on creating a more robust strategy.
I am looking to leverage Alpha Lens on intraday 5 minute data. I found when I create a multi level indexed series to pass into my get_clean_factor_and_forward_returns functions it fails on time zone as well as week day issues.
The Multi Index I am feeding it is in this order:
Index Index Factor
2019-08-12 08:35:00
CVX 1.252
PEP 1.252
PFE 1.252
2019-08-12 08:40:00
CVX 1.252
PEP 1.252
PFE 1.252
2019-08-12 08:45:00
CVX 1.252
PEP 1.252
PFE 1.252
Is there a way to get alpha lens to work on shorter time frames?
Thanks for the help!
Peter