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Using Tearsheet Results (or equivalent) Live
Tony Morland
posted Dec 13, 2019

To @Quantopian staff and/or any Forum participants:

In "Notebook", at the bottom of the tear sheet, we see the following graphs displayed just below Time Series of Cumulative Returns:
- Cumulative Common Sector Returns Attribution
- Cumulative Common Style Returns Attribution
- Daily Sector Factor Exposures
- Daily Style Factor Exposures.

Is it possible to obtain the results as shown in these graphs in real-time, while the back test is progressing?
AND / OR
Is there a way to use formulae that would generate equivalent results as part of an algo that could inform the algo of the relative ranking of the Sector & Style Factor exposures and thereby potentially adjust weightings of sectors & styles in a continuous adaptive manner?

Has anyone tried doing this? Any success?

Comments / help / code snippets / experience-based advice will be gratefully received. TonyM.

2 responses
Tony Morland
Dec 13, 2019

Another related question:
Can we define our own Factor Returns & Exposures and obtain similar graphical output in the tear sheet, for example not just Size & Value, but also some measures of "Quality" such as Debt-to-Equity Ratio, CR, etc as additional factors that may at times also be related to the prevailing "Investment Style" ?

Tony Morland
Dec 13, 2019

..... AND: Is it possible to output separate Sharpe ratios on a Factor-by-Factor basis?

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