Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Does a strong negative return in alphalens create_returns_tear_sheet indicate inverse signal or just unuseful data?

Kind of new to this, but I was curious whether I should consider a strong negative signal from AlphaLens' create_returns_tear_sheet to be something inversely correlated with the market, or whether it's a signal that's just generally unhelpful towards predicting market movements?

5 responses

Just try adding a minus sign before your alpha computation ;)

Beware of data snooping.

@Joakim Arvidsson

Do you mean just people looking for data? Or something else.

I mean inferring something about the data after having looked at the statistics. See data dredging on Wikipedia.

Here’s another good link on data snooping.