jbulow / alphalens

Performance analysis of predictive (alpha) stock factors

Alphalens

Alphalens is a Python Library for performance analysis of predictive (alpha) stock factors. Alphalens works great with the Zipline open source backtesting library, and Pyfolio which provides performance and risk analysis of financial portfolios. You can try Alphalens at Quantopian -- a free, community-centered, hosted platform for researching and testing alpha ideas. Quantopian also offers a fully managed service for professionals that includes Zipline, Alphalens, Pyfolio, FactSet data, and more.

The main function of Alphalens is to surface the most relevant statistics and plots about an alpha factor, including:

• Returns Analysis
• Information Coefficient Analysis
• Turnover Analysis
• Grouped Analysis

Getting started

With a signal and pricing data creating a factor "tear sheet" is a two step process:

import alphalens

# Ingest and format data
factor_data = alphalens.utils.get_clean_factor_and_forward_returns(my_factor, 
                                                                   pricing, 
                                                                   quantiles=5,
                                                                   groupby=ticker_sector,
                                                                   groupby_labels=sector_names)

# Run analysis
alphalens.tears.create_full_tear_sheet(factor_data)

Learn more

Check out the example notebooks for more on how to read and use the factor tear sheet. A good starting point could be this

Installation

Install with pip:

pip install alphalens

Install with conda:

conda install -c conda-forge alphalens

Install from the master branch of Alphalens repository (development code):

pip install git+https://github.com/quantopian/alphalens

Alphalens depends on:

• matplotlib
• numpy
• pandas
• scipy
• seaborn
• statsmodels

Usage

A good way to get started is to run the examples in a Jupyter notebook.

To get set up with an example, you can:

Run a Jupyter notebook server via:

jupyter notebook

From the notebook list page(usually found at http://localhost:8888/), navigate over to the examples directory, and open any file with a .ipynb extension.

Execute the code in a notebook cell by clicking on it and hitting Shift+Enter.

Questions?

If you find a bug, feel free to open an issue on our github tracker.

Contribute

If you want to contribute, a great place to start would be the help-wanted issues.

Credits

• Andrew Campbell
• James Christopher
• Thomas Wiecki
• Jonathan Larkin
• Jessica Stauth ([email protected])
• Taso Petridis

For a full list of contributors see the contributors page.

Example Tear Sheet

Example factor courtesy of ExtractAlpha