Back to Community
Advice on alphalens and fundamental factors, what is the optimal "period" for "forward returns"

I'm using alphalens to analyse a "magic formula" style value strategy. The strategy I want to implement is "long only".
The magic formula says you should hold for a year and then re-balance.
Magic formula

When i'm calculating the forward returns "al.utils.get_clean_factor_and_forward_returns()" what should I be putting as the periods? i'm assuming 252 for 1 year but I find that the returns are higher for 22 days. What periods should I be using for "long term" strategies like this?

Also i'm setting "long_short=False" in the tearsheets as i'm wanting to implement a long only strategy, but should i keep it to "True" to be able to get a better idea of the difference in the top vs bottom quantiles?

~note I've chosen a date range where value strategies performed well~

Loading notebook preview...
Notebook previews are currently unavailable.