I've played around with Alphalens quite a bit for the past month, and I've found alpha factors that have a decent combined alpha (0.05).
Looking at the tearsheet results, I notice that alpha is usually a bit higher for 10D periods than 1D periods.
From my understanding, 1D vs 10D is simply the returns observed over 1-day vs 10-days.
Based on this, I am wondering if I should add my own, say 30D, to see alpha over more long-term investing.
Am I getting the right idea here?