Alphalens - is it possible to chart cumulative long short strategy with n day returns?

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Alphalens - is it possible to chart cumulative long short strategy with n day returns?

posted

Hello all

The following generates (amongst other charts) a chart of the cumulative 1 day returns for a factor weighted long short portfolio.

from alphalens.tears import create_full_tear_sheet

create_returns_tear_sheet(factor_data) ```

The IC decay is a wonderful way to pinpoint which best performing period to hold positions - but woud be great to be able to then chart those returns (for instance if the optimal length was 5 days).

And a second question - why not have a competition to find the highest IC for the last 15 years?

Just out of interest, what would you expect that IC (the best for the last 15 years) to be in the range of? Maybe 0.05 to 0.2?

1 response

Found the answers here:
https://github.com/quantopian/alphalens/blob/master/alphalens/examples/alphalens_tutorial_on_quantopian.ipynb

Specifically you can use the following to create cumulative returns for whatever period you like:

al.tears.create_event_returns_tear_sheet(factor_data, prices,  
                                         avgretplot=(5, 15),  #<--enter you desired period here  
                                         long_short=True,  
                                         group_neutral=False,  
                                         std_bar=True,  
                                         by_group=False)

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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.