def get_quantiles(self, n):
"""Return a list of analysers for n quantiles."""
return [IntAnalyser(qt, IntPerformance.get_returns(self.startdate, self.freq)) \
for qt in api.quantiles(self.alpha, n)]
def get_qtail(self, q):
"""Long the top quantile and at the same time short the bottom quantile."""
return IntAnalyser(
api.qtop(self.alpha, q).astype(int) -
api.qbottom(self.alpha, q).astype(int),
IntPerformance.get_returns(self.startdate, self.freq))
def get_ntail(self, n):
"""Long the top n stocks and at the same time short the bottom n stocks."""
return IntAnalyser(
api.top(self.alpha, n).astype(int) -
api.bottom(self.alpha, n).astype(int),
IntPerformance.get_returns(self.startdate, self.freq))
def get_nbottom(self, n, index=None):
"""Only analyse the bottom n stocks as long holding."""
return IntAnalyser(api.bottom(self.alpha, n), IntPerformance.get_returns(self.startdate, self.freq),
IntPerformance.get_index_returns(self.startdate, self.freq, index=index)) \
if index is not None else \
IntAnalyser(api.bottom(self.alpha, n), IntPerformance.get_returns(self.startdate, self.freq))
def get_qbottom(self, q, index=None):
"""Only analyse the bottom quantile as long holding."""
return IntAnalyser(api.qbottom(self.alpha, q), IntPerformance.get_returns(self.startdate, self.freq),
IntPerformance.get_index_returns(self.startdate, self.freq, index=index)) \
if index is not None else \
IntAnalyser(api.qbottom(self.alpha, q), IntPerformance.get_returns(self.startdate, self.freq))
def get_short(self, index=None):
"""Only analyse the short part."""
return IntAnalyser(-self.alpha[self.alpha<0], IntPerformance.get_returns(self.startdate, self.freq),
IntPerformance.get_index_returns(self.startdate, self.freq, index=index)) \
if index is not None else \
IntAnalyser(-self.alpha[self.alpha<0], IntPerformance.get_returns(self.startdate, self.freq))
def get_longshort(self):
"""Pretend the alpha can be made into a long/short portfolio."""
return IntAnalyser(
api.neutralize(self.alpha),
IntPerformance.get_returns(self.startdate, self.freq))
def get_original(self):
"""**Be sure** to use this method when either the alpha is neutralized or you know what you are doing."""
return IntAnalyser(
self.alpha, IntPerformance.get_returns(self.startdate, self.freq))