It seems Alphalens is designed for stock alpha testing. But I would like to analyse my factor on futures data using alphalens. #135 discuss about issues when there is only one tick data (in my case only 1 particular futures type). I get exactly the same issue now.
I am thinking using multiple futures data and then use the groupby parameter to compute separately for each future type. Will this way works?
Another problem is that futures data will change the contract. Then at the intersection of 2 contracts, will something goes wrong with alphalens?
Any example or tutorial about alphalens for future data is available? Thanks for your time @luca-s
It seems Alphalens is designed for stock alpha testing. But I would like to analyse my factor on futures data using alphalens. #135 discuss about issues when there is only one tick data (in my case only 1 particular futures type). I get exactly the same issue now.
I am thinking using multiple futures data and then use the groupby parameter to compute separately for each future type. Will this way works?
Another problem is that futures data will change the contract. Then at the intersection of 2 contracts, will something goes wrong with alphalens?
Any example or tutorial about alphalens for future data is available? Thanks for your time @luca-s