I would like to add a column to my pipeline that indicates how many business days ago the earnings have been announced. I have created a custom Factor but I am getting an error message (integer is required). Can someone suggest a solution?
There happens to be a built in factor for that. No need for a custom factor. Check out BusinessDaysSincePreviousEvent (https://www.quantopian.com/docs/api-reference/pipeline-api-reference#quantopian.pipeline.factors.BusinessDaysSincePreviousEvent)
It can be used like this
def make_pipeline():
# Create a pipeline for days since earnings announcement
# Probably want to use the asof_date
pipe = Pipeline()
# Create our slice for the last actual earnings data
fq0_eps_act = fe.Actuals.slice('EPS', 'qf', 0)
# Factor for the asof_date
fq0_eps_asof_date = fq0_eps_act.asof_date.latest
# Factor for business days since the asof_date
days_since_release = BusinessDaysSincePreviousEvent(inputs=[fq0_eps_act.asof_date])
# Filter for stocks with earnings released less than 3 days ago.
made_public_within_3_days_ago = days_since_release < 3
return Pipeline(
columns={
'fq0_eps_asof_date': fq0_eps_asof_date,
'days_since_release': days_since_release,
'made_public_within_3_days_ago' : made_public_within_3_days_ago,
},
screen=Q500US()
)
Remember to import the factor first
from quantopian.pipeline.factors import BusinessDaysSincePreviousEvent
Good luck.
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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.