Error at adding factors!!!

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

Back to Community

edited Sep 27, 2018

I was trying to create a factor that would contain stocks with the highest 10 (roa, roe....) and lowest 10 (pe and debt ratio). I tried to do this in the following code:

ranking_factor_1 = roa_factor + roe_factor + EPS_Growth_factor + Current_R_factor + dividentyield_factor
ranking_factor_2 = PE_factor + debt_to_marketcap_long_factor
ranking_factor_I = ranking_factor_1.top(20) + ranking_factor_2.bottom(20)

But adding factors with top and bottom atributes seems to not work. My question is: how to solve the problem while keeping the same logic?

4 responses

Dan Whitnable

Sep 27, 2018

The 'top' and 'bottom' methods return a filter and NOT a factor. That's why arithmetic operators don't work.

However, it seems you are really trying to take the top 20 securities as ranked by ranking_factor_1 and the bottom 20 securities as ranked by ranking_factor_2. This will give you 40 potential securities (assuming there is no overlap in the two sets). If this is the intent, then one doesn't want arithmetic addition, but rather a logical OR of the two filters. Use the | operand for this.


my_securities = ranking_factor_1.top(20) | ranking_factor_2.bottom(20)

Does that help?

Daniel Mitoiu

Sep 27, 2018

Firstly thank you for the idea. But then I do an extra calculation :
longs = ranking_factor_I.top(10, mask=n_longs)
shorts = ranking_factor_II.bottom(5, mask=n_shorts)
And I get an error.

Daniel Mitoiu

Sep 27, 2018

I do understand the error, but then I need to mask at least the n_longs and n_shorts, if not select top 10 / bottom 5 . How can I solve the problem?

Dan Whitnable

Sep 27, 2018

Maybe you have a typo and really wanted the following?

longs = ranking_factor_1.top(10, mask=n_longs)  
shorts = ranking_factor_2.bottom(5, mask=n_shorts)

Attached is a backtest which works.

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.

Careers

Events

Status

Twitter

YouTube