First Pipeline Try Help on Pipeline creation

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First Pipeline Try Help on Pipeline creation

posted Sep 13, 2017

Hello,

I have two different ways that I followed from examples and reading the API and Tutorials. I am trying to create a pipeline that filters by average volume and price performance (returns) over the past couple days. Here is the first style I have that filters into boolean True statements and picks stocks that have the filter. I like this because it seems to change the stocks and pick them correctly, but I would like to also sort them by highest performance, etc. So could I still do that using this way? If not the next style I will show is factored into actual numerical values.

2 responses

Here is the second style of code I have written that I saw as an example in the API. It has factors that get added to the pipeline. However the filter doesn't seem to work right, and the stocks never really change from day to day so I'm not sure about that. Let me know which style you think is better.

Robert Petteruti

Hi Chris,

For your first question, you can certainly choose stocks based on the filters you have defined while simultaneously sorting them based on performance. I attached a backtest where the pipeline uses factors, instead of the filters used in your version.

Keep in mind to differentiate these two for the future. In proper pipeline construction, it’s best practice to use your factors as columns and filters as derivatives of your factors. For example, your ‘returns_filter’, which filters your factor ‘returns’ relative to a threshold value of 0.1.

Before diving into your second question, I recommend always writing your pipeline logic in another function such as in make_pipeline() in your first example - that way modifying your pipeline and debugging becomes much easier as you add logic. The pipeline is returning the same set of securities because on line 23, if you switch the inequality to ‘returns > 0.1’ the pipeline output will match expectations. The way you have it now will prevent you from trading securities of higher returns.

For future direction, I would also suggest placing orders using the Optimize API as you continue to work on the algo.

Best,
Robert

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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.

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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.