Calculate the Mean of a Pipeline Factor

Quantopian's community platform is shutting down. Please read this post for more information and download your code.

Back to Community

Calculate the Mean of a Pipeline Factor

posted Apr 3, 2020

I'm fairly new at this so bear with me here...

I have a pipeline that is calculating the 5 day moving average sentiment in a universe of stocks (the universe is QTradableStocksUS). I would like to calculate the average sentiment score for all of the stocks in this universe (I've used a CustomFactor for this which is pasted below.

I keep running into issues and may not be approaching this correctly. Any advice / suggestions / examples? I've been spinning my wheels on this for quite some time so really appreciate any help!

----Pipeline----

def make_pipeline(context):

my_universe = QTradableStocksUS()  

mean_sentiment_5day = SimpleMovingAverage(inputs=[sentiment.sentiment_signal], window_length=5)  

my_pipe = Pipeline(  
    columns={  
        'mean_sentiment_5day': mean_sentiment_5day  
    },  
    screen=my_universe,  
)

----Custom Factor to Calculate Mean Sentiment Score for the Universe----

class Sentiment_Mean(CustomFactor):

window_length = 1

def compute(self, today, assets, out, data):  
    out[:] = np.nanmean(data)

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

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.

About Quantopian

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.