Hello,
If you could offer me a help, I would greatly appreciate. I try to trade that has best EBIT/TEV. The result is not so impressive. So I added sector code, so maybe I could only invest in the best EBIT/TEVs from each sector. In order to do so, I need the "ranked_2000" in the line 87 to be organized such that I could have the best EBIT/TEV stock from each sector. I know I am asking a lot here. I really tried hard on this one and am struggling to understand the data structure of the Pipeline outputs. Thank you
Best EBIT/TEV from each sector
I don't have much time to test the code, but this should put you in the right direction:
def before_trading_start(context, data):
[...]
ranked_2000 = context.output.fillna(0)
# build a list of available sectors
sectors = ranked_2000['SectorCodes'].unique()
context.long_list = []
context.short_list = []
# loop through the list of sectors and pick the best/worst ones from each sector
for current_sector in sectors:
# filter out results don't belonging to current sector code
ranked_2000_current_sector = ranked_2000[ ranked_2000['SectorCodes'] == current_sector]
len_long_short = min(len(ranked_2000_current_sector), context.max_buys)
context.long_list.extend( ranked_2000_current_sector.sort(['EBITTEV'], ascending=False).iloc[:len_long_short] )
context.short_list.extend( ranked_2000_current_sector.sort(['EBITTEV'], ascending=True).iloc[:len_long_short] )
[...]
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