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cumulative return by quantile missing

periods=(10, 21)

but create_full_tear_sheet shows no cumulative return by quantile

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3 responses

Hello,

I do have the same issue on all of my Alphalens full tear sheets.
Only the 1D cumulative return chart works for me, I can't get the 5D, 10D or any other periods cumulative return charts.
Any experienced member can help please? I am stuck on this problem for 2 days now.
Thanks in advance

yeah, there was an update on alphalens a month ago or so and looking here, at line 280:

https://github.com/quantopian/alphalens/blob/master/alphalens/tears.py

it seems 1D is the only option for cumulative returns at the moment :/

Thank you, Niclas W

Quantopian team,
please provide period options in alphalen tear sheets.

1D period is too short to analyzing factors.
1D is only for high-frequency traders.