Alphalens - How to create cumulative returns chart of greater than 1D holding period?

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Alphalens - How to create cumulative returns chart of greater than 1D holding period?

posted Aug 22, 2020

When I run the following in Alphalens...

create_returns_tear_sheet(factor_data,  
                                   long_short=True,  
                                   group_neutral=False,  
                                   by_group=True)

... i get a suite of charts and tables, including 1, 5 & 10 day rolling returns charts. However it only produces a 1D cumulative returns chart (factor weighted long/short).

Is there a trick for producing the 5 and 10 day cumulative returns charts (factor weighted long/short)?

Any pointers appreciated!

3 responses

I found some answers here: https://www.quantopian.com/posts/alphalens-what-does-it-do

Anyway in a nutshell it is not possible now.

" In alphalens the "periods" refer to the time periods over which you want alphalens to investigate whether some predictive power exists. There is no re-balancing going on (and because of this, no sensitivity to frequencies selecting out specific days).

Here's the code of what alphalens does internally:

for period in periods:  
    delta = prices.pct_change(period).shift(-period)

it's a simple pct_change() followed by .shift(-period).
"

Tks

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.