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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.

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.

Installation

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

Alphalens depends on:

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

For a full list of contributors see the contributors page.

Example Tear Sheet

Example factor courtesy of ExtractAlpha