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alphalens-reloaded-0.4.2rc1
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مشاهده بیشتر
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مشاهده بیشتر
تبلیغات ما
مشتریان به طور فزاینده ای آنلاین هستند. تبلیغات می تواند به آنها کمک کند تا کسب و کار شما را پیدا کنند.
مشاهده بیشتر
تبلیغات ما
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مشاهده بیشترتوضیحات
Performance analysis of predictive (alpha) stock factors
| ویژگی | مقدار |
|---|---|
| سیستم عامل | OS Independent |
| نام فایل | alphalens-reloaded-0.4.2rc1 |
| نام | alphalens-reloaded |
| نسخه کتابخانه | 0.4.2rc1 |
| نگهدارنده | ['Applied AI, LLC'] |
| ایمیل نگهدارنده | [] |
| نویسنده | Quantopian Inc |
| ایمیل نویسنده | - |
| آدرس صفحه اصلی | https://alphalens.ml4trading.io |
| آدرس اینترنتی | https://pypi.org/project/alphalens-reloaded/ |
| مجوز | Apache 2.0 |
<p align="center">
<a href="https://alphalens.ml4trading.io">
<img src="https://i.imgur.com/uf8PmQO.png" width="35%">
</a>
</p>
[](https://github.com/stefan-jansen/alphalens-reloaded/actions/workflows/conda_package.yml)
[](https://github.com/stefan-jansen/alphalens-reloaded/actions/workflows/unit_tests.yml)
[](https://github.com/stefan-jansen/alphalens-reloaded/actions/workflows/build_wheels.yml)
[](https://coveralls.io/github/stefan-jansen/alphalens-reloaded?branch=main)
Alphalens is a Python library for performance analysis of predictive
(alpha) stock factors. Alphalens works great with the
[Zipline](https://www.zipline.ml4trading.io/) open source backtesting library, and [Pyfolio](https://github.com/quantopian/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:
```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](https://github.com/stefan-jansen/alphalens-reloaded/tree/master/alphalens/examples)
for more on how to read and use the factor tear sheet.
# Installation
Install with pip:
pip install alphalens-reloaded
Install with conda:
conda install -c ml4t alphalens-reloaded
Install from the master branch of Alphalens repository (development code):
pip install git+https://github.com/stefan-jansen/alphalens-reloaded
Alphalens depends on:
- [matplotlib](https://github.com/matplotlib/matplotlib)
- [numpy](https://github.com/numpy/numpy)
- [pandas](https://github.com/pandas-dev/pandas)
- [scipy](https://github.com/scipy/scipy)
- [seaborn](https://github.com/mwaskom/seaborn)
- [statsmodels](https://github.com/statsmodels/statsmodels)
# Usage
A good way to get started is to run the examples in a [Jupyter notebook](https://jupyter.org/).
To get set up with an example, you can:
Run a Jupyter notebook server via:
```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](https://github.com/stefan-jansen/alphalens-reloaded/issues).
# Contribute
If you want to contribute, a great place to start would be the
[help-wanted issues](https://github.com/stefan-jansen/alphalens-reloaded/issues?q=is%3Aopen+is%3Aissue+label%3A%22help+wanted%22).
# Credits
- [Andrew Campbell](https://github.com/a-campbell)
- [James Christopher](https://github.com/jameschristopher)
- [Thomas Wiecki](https://github.com/twiecki)
- [Jonathan Larkin](https://github.com/marketneutral)
- Jessica Stauth (<jstauth@quantopian.com>)
- [Taso Petridis](https://github.com/tasopetridis)
For a full list of contributors see the [contributors page.](https://github.com/stefan-jansen/alphalens-reloaded/graphs/contributors)
# Example Tear Sheets
Example factor courtesy of [ExtractAlpha](https://extractalpha.com/)
## Peformance Metrics Tables
## Returns Tear Sheet
## Information Coefficient Tear Sheet
## Sector Tear Sheet
نیازمندی
| مقدار | نام |
|---|---|
| >=1.4.0 | matplotlib |
| >=1.9.1 | numpy |
| >=1.0.0 | pandas |
| >=0.14.0 | scipy |
| >=0.6.0 | seaborn |
| >=0.6.1 | statsmodels |
| >=3.2.3 | IPython |
| >=0.5.7 | empyrical-reloaded |
| - | Cython |
| >=1.3.2 | Sphinx |
| >=0.5.0 | numpydoc |
| >=0.6.0 | sphinx-autobuild |
| - | pydata-sphinx-theme |
| - | sphinx-markdown-tables |
| - | sphinx-copybutton |
| - | m2r2 |
| >=3.9.1 | flake8 |
| - | black |
| >=2.12.1 | pre-commit |
| >=2.3.1 | tox |
| >=4.0.3 | coverage |
| ==3.0.1 | coveralls |
| >=6.2 | pytest |
| >=2.12 | pytest-cov |
| >=0.6.1 | parameterized |
| >=3.9.1 | flake8 |
| - | black |
| >=2.12.1 | pre-commit |
| - | Cython |
| >=1.3.2 | Sphinx |
| >=0.5.0 | numpydoc |
| >=0.6.0 | sphinx-autobuild |
| - | pydata-sphinx-theme |
| - | sphinx-markdown-tables |
| - | sphinx-copybutton |
| - | m2r2 |
| >=2.3.1 | tox |
| >=4.0.3 | coverage |
| ==3.0.1 | coveralls |
| >=6.2 | pytest |
| >=2.12 | pytest-cov |
| >=0.6.1 | parameterized |
| >=3.9.1 | flake8 |
| - | black |
زبان مورد نیاز
| مقدار | نام |
|---|---|
| >=3.7 | Python |
نحوه نصب
نصب پکیج whl alphalens-reloaded-0.4.2rc1:
pip install alphalens-reloaded-0.4.2rc1.whl
نصب پکیج tar.gz alphalens-reloaded-0.4.2rc1:
pip install alphalens-reloaded-0.4.2rc1.tar.gz