sf_quant.data.load_alphas

sf_quant.data.load_alphas(start: date, end: date, names: list[str] = None) → DataFrame

Load a Polars DataFrame of alpha data between two dates.

Parameters

startdatetime.date

Start date (inclusive) of the data frame.

enddatetime.date

End date (inclusive) of the data frame.

nameslist of str, optional

List of signal names to filter the data frame by. If None (default), all alpha names are included.

Returns

polars.DataFrame

A DataFrame containing alpha data between the specified dates.

Examples

>>> import sf_quant.data as sfd
>>> import datetime as dt
>>> start = dt.date(2024, 1, 1)
>>> end = dt.date(2024, 12, 31)
>>> df = sfd.load_alphas(
...     start=start,
...     end=end,
...     names=["momentum", "reversal"]
... )
>>> df.head()
shape: (5, 4)
┌────────────┬─────────┬─────────────┬─────────────┐
│ date       ┆ barrid  ┆ signal_name ┆ alpha_value │
│ ---        ┆ ---     ┆ ---         ┆ ---         │
│ date       ┆ str     ┆ str         ┆ f64         │
╞════════════╪═════════╪═════════════╪═════════════╡
│ 2023-01-03 ┆ USA06Z1 ┆ momentum    ┆ -17.611814  │
│ 2023-01-03 ┆ USA06Z1 ┆ reversal    ┆ 1.55668     │
│ 2023-01-04 ┆ USA06Z1 ┆ momentum    ┆ -18.676612  │
│ 2023-01-04 ┆ USA06Z1 ┆ reversal    ┆ 3.775271    │
│ 2023-01-05 ┆ USA06Z1 ┆ momentum    ┆ -17.06099   │
└────────────┴─────────┴─────────────┴─────────────┘