Great tutorial and NBs! I especially find Lessons 3, 4, and 5 very helpful for me!
A few questions:
'1. In the Lesson 3 NB, you say that:
If it has an IC mean close to .1 (or higher) over a large trading
universe, that factor is probably really good.
Was this meant to be 'Mean IC' > 0.01 is really good? The Example Tear Sheet on GitHub doesn't even have an IC Mean of anywhere close to 0.1, and that alpha factor (from ExtractAlpha) seems amazingly good, no?
'2. Again, in the Lesson 3 NB, you don't seem to specify the number of 'quantiles' or 'periods' anywhere (unless I've missed it). Does AL use 5 quantiles and 1D, 5D, 10D periods by default, if nothing is specified? (This is what I tend to use as well)
'3. In the Lesson 4 NB (awesome NB, by the way - more of this please!), you say:
The point where the line dips below 0 represents when our alpha
factor's predictions stop being useful.
Wouldn't a consistently negative IC mean, mean (pun intended) that the factor actually is 'predictive' if you 'flip' it? :)
'4. Again in the Lesson 4 NB, I find it interesting that (in the last cell) you have a factor with positive Ann. Alpha, positive mean IC, but negative 'Mean Period Wise Spread (bps)' and you don't mention anything about why this may be the case (perhaps due to extreme outliers?)?
Thanks again for an awesome tutorial! I especially find all the #comments in the code very helpful, and I personally wouldn't mind a #comment after each line of code, explaining what each line does (maybe overkill for some).
On my wish list is also a template NB on how to best combine two (or more) separate factors that are 'predictive' on different Sectors. I personally find that quite difficult to implement, with my still very limited coding 'skills'.