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Compare different Alphas in one TearSheet
Antonio Menegon
posted Jan 2, 2019
API Getting Started Tools and Tips Collaboration Request Visualization

Hi all,

giving the fact I'm still pretty new with Alphalens, I was wondering if there is the possibility to create a tear sheet to compare different factors at once. From what I understood (and saw in tutorials) so far, the TEARS module provide with methods which create awesome analysis on single factors, allowing to drill down their behavior quite deeply. But what if, given many factors, one would have a first overview of all the factors at once? Does Alphalens provide such a functionality?

In case that there's nothing like this plug&play tear sheet, I'm working on some simple utilities that do reuse the basic ideas of the TEARS and PERFORMANCE Alphalens' modules and I'll be happy to share a notebook with them. Maybe, if it could be useful for the community, I could then make a push request to the Alphalens' GitHub repo with the methods I'm writing and testing.

Cheers

2 responses
Cal Mitchell
Jan 2, 2019

Hi Antonio,

At this time, none of Quantopian's tear sheets compare multiple alpha factors at the same time.

That being said, Quantopian's research environment supports the matplotlib library, a powerful data visualization tool. For example, using matplotlib to chart an alpha factor's IC decay is a great way to evaluate the predictiveness of an alpha factor. If you are unfamiliar with the concept of IC decay, check out this lesson of the Alphalens tutorial.

To illustrate this idea, I have attached a notebook that compares three alpha factors by charting their IC decay rates. The first factor is based on a given company's assets, the second factor is based on a given company's growth rate, and the third factor is simply the combination of the first two factors. It is interesting that while the first two factors both have positive IC means, combining them does not create a new factor with a higher IC mean!

Feel free to use this notebook to compare and analyze your own alpha factors.

Disclaimer

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.

Antonio Menegon
Jan 3, 2019

Hi Cal,

thank you very much for the quick feedback! I looked at the shared notebook and the comparison between the IC decay rates is, intuitively, as I was coding it in my custom tear sheet.

Since there's then no plug&play tear sheet to compare different factors, if I'll be satisfied with the results, maybe I'll share a notebook with a proposed Alphalens-like tear sheet to do soo. Just in case it could be useful for others too.

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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.