psae-factor

Factor analysis & IC tear sheets for PSAE — analogous to Quantopian's Alphalens.

Quick start

import psae_factor as pf

factor_data = pf.get_factor_and_returns(signals, pricing, periods=[1,4,24,120])
ic = pf.compute_ic(factor_data)
print(ic)

fig = pf.create_full_tear_sheet(factor_data)

Key metrics

• Mean IC / IC t-stat / IC p-value per holding period
• IC decay curve (signal half-life)
• Q5-Q1 long-short spread
• Sector-conditional returns
• Regime-conditional IC (VIX buckets)

License

Apache 2.0