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How to realize this model with 4% IC in a backtest?


I have this model where AlphaLens shows better IC at 10D and 20D. How do I create a backtest that realizes this? Rebalance every 10 days? Could someone help me, please?

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1 response

I would try using downsample after your factor.

your_factor.downsample('week_start') or your_factor.downsample('month_start')  

You can find information about it in the API reference.