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"Introduction to Systematic Investment Strategies" - homework 5

Hi,

this is my fifth task of the seminar, alphalens and pyfolio analysis of Intraday.

My fundamental is forward PE ratio, which is not in FactSet dataset, therefore I used Earnings Yield.

(Represents earnings yield. This is calculated as Earnings Per Share - Fiscal Period (eps) divided by Price - Close (price_close_fp), multiplied by 100.Note: If the denominator is negative, the formula will return NA.)

Jie

1 response

alphalens and pyfolio analysis of Overnight.