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Calculate N day forward returns based off external data (eg VIX)

I want to calculate the (1,5,10) day returns of all the stocks when considering external data. For example, what are the n day returns for individual stocks when VIX is 30? There are many other data sources that i would like to see the forward returns.

I tried to do it in alphalens but then realized the tool wasn't designed for this purpose from what I can see. Here is what I tried.

*the problem is that all the factor results for the day is the same (yes i know this). I still want to know forward returns.

I hope this makes sense of what I'm trying to do.