@twiecki looking at the issues created on the project I could see that there are several aspects of Alphalens that are misunderstood from the users. This is because the full possibilities of the libraries are not completely covered in the existing tutorials. Since long time ago you asked me if I could add this tutorial to the project here is a PR. The only drawback is that it focuses on Quantopian API, but at the same time this is useful to give a complete understanding of Alphalens. I'll let you decide if you like to add it to the project.