A question about building customer fundamental factor

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A question about building customer fundamental factor

posted Jun 10, 2016

Hi,

I am learning creating/building customer fundamental factor since soe the fundamental parameter I want are't be found in the Fundamental Reference.

In order to make sure doing correct, I try to build a fundamental factor for pe_ratio and compare the result with that from the get_fundamental. I attach my algo. Here are the result:

Bei using get_fundamental():
2016-05-23 before_trading_start:82 INFO pe_ratio Equity(13984 [TGTX]) 0.0273
2016-05-23 before_trading_start:82 INFO pe_ratio Equity(19177 [LEU]) 0.0294
2016-05-23 before_trading_start:82 INFO pe_ratio Equity(29616 [GSI]) 0.0376
2016-05-23 before_trading_start:82 INFO pe_ratio Equity(29884 [ISR]) 0.0380
2016-05-23 before_trading_start:82 INFO pe_ratio Equity(25582 [FMD]) 0.1195
2016-05-23 before_trading_start:82 INFO pe_ratio Equity(11512 [LJPC]) 0.1206
2016-05-23 before_trading_start:82 INFO pe_ratio Equity(13331 [ADMP]) 0.1389
2016-05-23 before_trading_start:82 INFO pe_ratio Equity(48090 [NDRM]) 0.1618
2016-05-23 before_trading_start:82 INFO pe_ratio Equity(42461 [CZR]) 0.1672
2016-05-23 before_trading_start:82 INFO pe_ratio Equity(15988 [EMIT_F]) 0.1728
2016-05-24 before_trading_start:64 INFO ranks Equity(19661 [XLV]) 1.0

These must be correct.

By using my customer factor I get:
2016-05-23 before_trading_start:64 INFO ranks
Equity(41968 [SVXY]) 3
Equity(13197 [FCX]) 5
Equity(19657 [XLI]) 10
Equity(26703 [FXI]) 12
Equity(2174 [DIA]) 13
Equity(3212 [GILD]) 14
Equity(8089 [WBA]) 15
Equity(42471 [UWTI]) 15
Equity(8151 [WFC]) 16
Equity(5938 [PG]) 16

These might be correct(?). But my question is: why they are so different? There must be error in my code.

Cheers

3 responses

Thomas, the problem is the rank:

ranks = context.output.rank().mean(axis=1).order()

Try printing this instead:

log.info("ranks %s" % context.output.order().head(10))

Hi,

I've tried your code but I got error:

AttributeError: 'DataFrame' object has no attribute 'order'.

I think I find the solution from here:
https://www.quantopian.com/research/notebooks/Cloned%20from%20%22Quantopian%20Lecture%20Series%3A%20Ranking%20Universes%20by%20Factors%22%204.ipynb

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.