Tutorial: Alpha Testing

This tutorial guides you with building and testing your first alpha.

First, import the following modules:

from pyalpha.alpha import Alpha
import pyalpha.alpha.stock_lists as stock_lists

Now, inherit the Alpha class and define your custom alpha. In this example, we will use the alpha: 1/closing_price

class AlphaDataset(Alpha):
    def alpha(self, stock):
        return 1.0/stock.close

Now, setup the class using S&P100, fetch historical stock data and run the simulation:

start_date = "2015-01-02"
end_date = "2016-12-31"
alpha = AlphaDataset(stock_lists.SNP100,
                     start_date,
                     end_date)
alpha.construct_historical_data()
alpha.simulate()

You now have the daily return (as a percentage) and the turnover stored here:

alpha.returns
alpha.turnover