Ecosyste.ms: Awesome

An open API service indexing awesome lists of open source software.

https://github.com/quantopian/alphalens

Performance analysis of predictive (alpha) stock factors
https://github.com/quantopian/alphalens

algorithmic-trading finance jupyter numpy pandas python

Last synced: about 1 month ago
JSON representation

Performance analysis of predictive (alpha) stock factors

Lists

README 

        
.. image:: https://media.quantopian.com/logos/open_source/alphalens-logo-03.png

    :align: center



Alphalens

=========

.. image:: https://github.com/quantopian/alphalens/workflows/CI/badge.svg

    :alt: GitHub Actions status

    :target: https://github.com/quantopian/alphalens/actions?query=workflow%3ACI+branch%3Amaster



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:



.. code:: python



    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:



.. code:: bash



    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 `_



.. image:: https://github.com/quantopian/alphalens/raw/master/alphalens/examples/table_tear.png

.. image:: https://github.com/quantopian/alphalens/raw/master/alphalens/examples/returns_tear.png

.. image:: https://github.com/quantopian/alphalens/raw/master/alphalens/examples/ic_tear.png

.. image:: https://github.com/quantopian/alphalens/raw/master/alphalens/examples/sector_tear.png

    :alt: