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Alphalens versions
Cpt Morgan
posted Sep 26, 2017

If we import alphalens into quantopian and try to use the function

alphalens.tears.create_factor_tear_sheet()

we get a bunch of deprecation warnings. For example:

/usr/local/lib/python2.7/dist-packages/ipykernel_launcher.py:6: DeprecationWarning: This function is deprecated and will be removed in the future. Please use the new API instead.

I did some digging and from what I can understand it seems that the alphalens has a new API. It should now be used in the following way:

factor_data = utils.get_clean_factor_and_forward_returns(factor, prices, quantiles)
create_full_tear_sheet(factor_data)

However when I try that inside quantopian the second line gives me a security exception:

SecurityViolation: 0002 Security Violation(s): Accessing alphalens.create_full_tear_sheet raised an AttributeError. No attributes with a similar name were found.

Am I doing something wrong? How are we supposed to use alphalens? Just live with the deprecation warnings?

More generally, how can I find out which version of which modules quantopian uses internally?

Thank you.

2 responses
Abhijeet Kalyan
Oct 2, 2017

EDIT: I was incorrect on this, the issue isn't with the security whitelist, it's the function path. Luca's answer is correct, I've updated my post to avoid confusion.

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Luca
Oct 2, 2017

uhm, I believe the attribute error was raised because the function to be called is alphalens.tears.create_full_tear_sheet (note .tears)

Also Alphalens doesn't show a version because the code in research is not up-to-date, in the more recent versions of the library it works fine.

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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.