Hi,
Logic here is simple: *top 500 hundreds companies with strong **free cash flow outperforms the bottom***
Refer to my workbook, how do I know that whether I have sensed some alpha factors here? therefore continue the further parts of research.
Thank you
You could use AlphaLens. An example would be adding this at the bottom:
asset_list = CASH.index.levels[1].unique()
# Dataframe of Asset Prices
asset_prices = prices(
asset_list,
start=start_date, # Put your start/end dates here
end=end_date
)
# Alphalens test
factor_data = al.utils.get_clean_factor_and_forward_returns(
factor= CASH,
prices=asset_prices,
quantiles=2, # Specify the quantiles here
periods=(1,3,5), # Specify a tuple of potential "alpha horizons"
)
# Create AlphaLens tear sheet
factor_data.head(5)
create_information_tear_sheet(factor_data)
create_returns_tear_sheet(factor_data)
mean_information_coefficient(factor_data).plot(title="IC Decay"); 
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