Does this CustomFactor has look ahead bias? close[-1] refers to current day or previous day?
class MeanReversion(CustomFactor):
inputs = [USEquityPricing.close]
def compute(self, today, assets, out, close):
out[:] = close[-1] / close[0]
def initialize(context):
schedule_function(
my_rebalance,
date_rules.every_day(),
time_rules.market_open(minutes=30)
)
my_pipe = make_pipeline()
attach_pipeline(my_pipe, 'my_pipeline')
def make_pipeline():
mr = MeanReversion(window_length=20)
shorts = mr.top(10)
longs = mr.bottom(10)
securities_to_trade = (shorts | longs)
return Pipeline(
columns={
'longs': longs,
'shorts': shorts
},
screen=(securities_to_trade)
)
