Try this, its purpose is to make that easy for experimentation. Mainly set up the factors and then you can start modifying. Longs come from high values, short low values. Everything else for feeding them to Optimize is automatic. As a headstart might look something like this:
from quantopian.pipeline.experimental import QTradableStocksUS
class ROETTM(CustomFactor):
inputs = [Fundamentals.roe] ; window_length = 77
def compute(self, today, assets, out, roe):
roe = nanfill(roe)
out[:] = np.mean(roe, axis=0)
class Pr2SalesTTM(CustomFactor):
inputs = [Fundamentals.ps_ratio] ; window_length = 252
def compute(self, today, assets, out, ps):
ps = nanfill(ps)
out[:] = np.mean(ps, axis=0)
class nMonthReturn(CustomFactor): # override window_length when called
inputs = [USEquityPricing.close] ; window_length = 21
def compute(self, today, assets, out, close):
close = nanfill(close)
out[:] = (close[-1] - close[0]) / close[0]
def make_pipeline(c):
m = VolumeMin(window_length=42).top(1400) & Sector().notnull() & QTradableStocksUS() # mask
# Adding to mask, excluding values around the middle, ~ means not.
a = -ROETTM (window_length=252, mask=m); m &= ~(a.percentile_between(20, 80)) # minus to flip long, short
b = Pr2SalesTTM (window_length=252, mask=m); m &= ~(b.percentile_between(20, 80))
c = -nMonthReturn(window_length=63, mask=m); m &= ~(c.percentile_between(20, 80))
return Pipeline(
screen = m,
columns = {
'a': a,
'b': b,
'c': c,
'sector': Sector(mask=m),
})
You can set a breakpoint to examine the pipeline output (o) or add a log line like this:
if c.log_universe >= 0:
log.info('.\n{}'.format(c.ori.head()))
2010-01-05 05:45 before_trading_start:119 INFO .
a b c sector score
Equity(239 [AIG]) 0.017151 0.000020 0.027447 103 0.013934
Equity(368 [AMGN]) 0.015336 0.000367 0.020931 206 0.000273
Equity(430 [ANN]) 0.016286 0.000030 0.024045 102 0.012295
Equity(1524 [CHRS]) 0.015904 0.000020 0.014161 102 -0.004098
Equity(1696 [CNW]) 0.015860 0.000034 0.022985 310 0.008470
2010-01-05 05:45 before_trading_start:122 INFO pipe len 60
2010-01-05 05:45 before_trading_start:124 INFO lng 24 top MNKD 0.068287 bottom OXPS 0.015046
2010-01-05 05:45 before_trading_start:126 INFO shs 24 top SBAC -0.015046 bottom MCO -0.068287
2010-01-05 06:31 pvr:554 INFO 2010-01-05 to 2010-07-02 $10000000 2017-11-22 18:58 US/Pacific
