User GuideAPI ReferenceWhat's NewChangelog
What's New
Back to All
improved

June 2022 update

over 2 years ago by Zac Yang

Support for creating and editing tags with non-company entities; in-app What's New updates; more diagnostics on portfolio strategy & alpha test results; new DSL functions for factor neutralization & cross-sectional correlation; and expanded Library management via external APIs.

New features

  • Tags: Added support to add any entity that appears in Data Explorer to a tag. A tag can only consist of a single entity type. This is part of a broader effort to support both company & non-company entities equally well in the Exabel platform.
  • What's new: Displaying in-app updates from What's New since a user's last login, so as to better inform users of new features and changes.
  • Portfolio strategies: Calculate and display the transfer coefficient for each alpha signal used in a portfolio strategy. This is defined as the average correlation between the alpha score values and the active position weights, and is a measure of how well the alpha scores are reflected in the actual positions of the strategy. This is now available on all strategy backtests run from June 2022.
  • Portfolio strategies: Added a new chart for "Returns by days after rebalancing". This should help convey information about alpha decay on the input signals and inform the decision on rebalancing frequency, and is now available on all strategy backtests run from June 2022.
  • Alpha tests: Added two new charts for "Return by days after rebalancing" and "Return by weekday". This is now available on all alpha tests run from June 2022.
  • DSL: Added a new factor_neutral() method - this is typically useful for quant strategies where you want to remove style factor(s) from an alpha signal (DSL documentation).
  • DSL: Added a new cross_sectional_correlation() function, which takes 2 signals and a tag/screen, and returns a time series of correlation between the signal values across the tag/screen entities (DSL documentation).
  • External API: Added create, updated and delete operations for library folders and added support to move items between folders. See the API reference for more details. Added API operations are supported in Python SDK version 3.7.0.

Improvements

  • Prediction models: New option to disable/enable all input signals for easier toggle on/off when there are many input signals.
  • Tags: Added an explicit action button for removing entities when viewing a tag - this was previously unintuitive.
  • Drill-downs: Added a placeholder name for unnamed widgets in the sidebar navigation and fixed overflowing table content.
  • Portfolio strategies: Hide non-applicable metrics, for example "Mean benchmark deviation" when there is no benchmark.
  • DSL: Renamed arguments to the fx() function to match market convention such that the first argument is named base (previously to_currency) and the second argument is named quote (previously from_currency) (DSL documentation).
  • DSL: Allow specifying tag in the group_transform() method (DSL documentation).
  • Foundational data: Added HAS_CURRENCY relationships between the global country and currency entities.

Bug fixes

  • Signal exports: Removed security identifiers like bloomberg_ticker when exporting signals for non-company entities, which was causing the entity name to not be exported correctly.
  • Alpha tests: Corrected some timestamps that were displayed in UTC instead of the user's time zone.
  • DSL: Handle entities without model backtest results in the backtests() DSL function.
  • Library: Removed tooltip content from browser's find-in-page search.