quantopian / alphalens

Performance analysis of predictive (alpha) stock factors
http://quantopian.github.io/alphalens
Apache License 2.0
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ENH: Provide access to returns tables in top-level API #314

Open mmargenot opened 6 years ago

mmargenot commented 6 years ago

Accessing the internal functions to get the tables of returns provides returns that are unscaled and misleading, something that is handled and abstracted away in the top-level API of Alphalens with the tear sheets. It could be helpful to perform a similar handling and return the tables directly in the top-level API so that custom views of returns (quarterly, monthly, half-yearly, etc) can be made with unbiased information.