I'm using the template from the alphalens tutorial here: https://www.quantopian.com/tutorials/alphalens#lesson5
I uploaded custom data points that have weekly values.
I'm trying to get the difference from the most recent value from the value a certain N weeks ago and then run that through the 5 years of history I uploaded. My (-'4w') below is clearly not correct, but I don't know how to code this in the notebook.
Should I drop data into a list? Or perhaps do a data.history in the notebook somewhere?
Appreciate the help!
def make_pipeline():
eroctoday = roc.eroc.latest
erocpast = roc.eroc.latest(-'4w')
erocdifference = eroctoday-erocpast
return Pipeline(
columns = {'erocdifference': erocdifference, 'sector': sector},
screen = QTradableStocksUS() & erocdifference.notnull() & sector.notnull()
)
factor_data = run_pipeline(make_pipeline(), '2015-1-1', '2016-1-1')
pricing_data = get_pricing(factor_data.index.levels[1], '2015-1-1', '2016-6-1', fields='open_price') 