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This is perfect. Thank you for sharing this. I might start implementing some of these but would love for someone else to add a few PRs as well. The code is pre
by hydershykh 6y ago
This is perfect. Thank you for sharing this.
I might start implementing some of these but would love for someone else to add a few PRs as well. The code is pretty modular especially if we want to add new strategies.
- westurner 6y ago(Sustainable) Index ETFs in the stocks.txt universe would likely be less sensitive to single performers' effects in unbalanced portfolios. > pyfolio.tears.create_interesting_times_tear_sheet measures algorithmic trading algorithm performance during "stress events" https://github.com/quantopian/pyfolio/blob/03568e0f328783a6a065cdfd44416390e024e23d/pyfolio/tears.py#L870 https://github.com/quantopian/pyfolio/blob/03568e0f328783a6a...
- iav 6y agoDoes the code have any factor investing features at all right now? I was just reading about alpha lens, another project focused on performance attribution of factors. To avoid reinventing the wheel, are there any other libraries that can be leveraged to add factors - so portfolios are constructed to go long and/or short a certain factor like sustainability or etc. [1] https://github.com/quantopian/alphalens https://github.com/quantopian/alphalens
- hydershykh 6y agoI will try to modify it such that it's easy to add factors. Thanks for sharing this.