This Alphalens notebook is my attempt to simplify.
Is it possible to turn these into a single alpha value?
Ann. alpha -0.023 -0.021
Periods can be the same and that produces a single column in the output. I noticed for that date range (apparently relates to that) the number can be this high, but not 228. Since the date range is close to 252 (average trading days in a year) I'm surprised it is limited to 228.
Edit: That was due to a mistake where run_pipeline(pipe, '2016-02-04', '2016-12-29') was not set to the same date range as get_pricing()
But even though I've read quite a bit on periods I still don't understand periods. The defaults are (1, 3, 5). If those are days, I'm surprised there is an interest in such short time frames.
If you're familiar with Alphalens, can you even picture a scenario where it might make sense to do this?
periods=(227,227)
By the way if I could turn off Quantiles Statistics in create_summary_tear_sheet() it would help in efficiency for what I'd like to do.
Any help appreciated.
Does the get_pricing() date range need to be longer than the run_pipeline() date range (starting a month earlier and ending a month later might be enough) in order for AL to test the signal 'out of sample'?
The price information should start with the first date of your factor data and end with the last date in your factor data plus max number of days in periods. If price information is shorter Alphalens will not compute statistics for factor values for which there is no price information, no big deal if only few days are missing.
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