Hey quantopians
My algo uses a pipeline to calculate returns on increasing window lengths like so:
def make_pipeline(window):
if window == 1:
returns_builtin = Returns(
window_length = 2,
)
window += 1
else:
returns_builtin = Returns(
window_length = window,
)
window += 1
return Pipeline(
columns={
'Builtin_returns': returns_builtin,
}, screen = StaticAssets(symbols('AMZN', 'MSFT', 'ADBE'))
)
Obviously it doesn't work because the algo state can't be shared with the pipeline. I was wondering if there are other ways to dynamically compute window length in a pipeline or pass it externally?
I'm trying to calculate returns , for a list of stocks, from start of the backtest to the current simulation date, every day.
Is there another way to achieve this without using a pipeline?
thanks in advance