Greetings,
I'd like to test whether the current daily range is narrower than the previous six days’ daily ranges compared individually. I have used the simple price range factor as provided in the docs:
class PriceRange(CustomFactor):
"""
Computes the difference between the highest high and the lowest
low of each over an arbitrary input range.
"""
inputs = [USEquityPricing.high, USEquityPricing.low]
def compute(self, today, assets, out, highs, lows):
out[:] = np.nanmax(highs, axis=0) - np.nanmin(lows, axis=0) In my initialize method, I've created the factor and added it to the pipeline:
pipe = attach_pipeline(Pipeline(), name='n7')
price_range_factor = PriceRange(window_length = 6)
pipe.add(price_range_factor, 'price_range_factor') How would I go about screening the universe for those with the current daily range being narrower than the previous six days’ daily ranges compared individually?
