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Alphalens feature request

Hi,

As I understand the cumulative returns for different periods when using Alphalens are shown as factor weighted returns (based on the quantiles). Can we have a feature where we only trade the top and bottom quantiles instead of a weighted return across all quantiles?

1 response

This option was recently added to Alphales. Once the tool is updated on Quantopian we will be able to access this new feature