Hands-On Machine Learning for Algorithmic Trading

Getting pyfolio input from alphalens

However, pyfolio also integrates with alphalens directly and permits the creation of pyfolio input data using create_pyfolio_input:

from alphalens.performance import create_pyfolio_inputqmin, qmax = factor_data.factor_quantile.min(),              factor_data.factor_quantile.max()input_data = create_pyfolio_input(alphalens_data,                                     period='1D',                                  capital=100000,                                  long_short=False,                                  equal_weight=False,                                  quantiles=[1, 5],                                  benchmark_period='1D')returns, positions, benchmark = input_data

There are two options to specify how portfolio weights will be generated:

• long_short: If False, weights will correspond to factor values divided by their absolute value so that negative factor values generate short positions. If True, factor ...