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Inverse ranking of alpha factor
Marcel Kresse
edited Jan 4, 2018
Seeking Help Tools and Tips Research

Hey guys, I am currently getting familiar with alphalens and started to test some factors. Now I have the problem that I do not know how to inverse a ranking. In the sense that the high numbers will be in the quantile to be shorted and the low numbers in the quantile to be longed.

The following line of code works fine for factors like roa, roe etc. But for RSI for example I saw that I could get some alpha if I reverse the ranking.

testing_factor = testing_factor.rank(mask=universe, method='average')

Is here someone who can let me know how this can be done and how I could get more control and info about this.

Thanks a lot in advance.

Kind regards

Marcel kresse

2 responses
Grant Kiehne
Jan 4, 2018

Hi Marcel -

You could try simply multiplying the factor by -1. Then, when it ranked, the ranks will be flipped.

Note that the code for the built-in RSI is here. I wrote a custom factor based on the built-in RSI code. So, if you use it, you can do whatever you want to manipulate the ranking.

    class RSI(CustomFactor):  
        window_length = 15  
        inputs = (USEquityPricing.close,)

        def compute(self, today, assets, out, closes):  
            diffs = np.diff(closes, axis=0)  
            ups = np.nanmean(np.clip(diffs, 0, np.inf), axis=0)  
            downs = abs(np.nanmean(np.clip(diffs, -np.inf, 0), axis=0))  
            rs = ups/downs  
            rsi = 100.0-100.0/(1.0+rs)  
            out[:] = rsi
Marcel Kresse
Jan 4, 2018

Awesome, thanks a lot for your help :)

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