Hi all,
I'm attempting to incorporate Andreas Clenow's momentum factor into a research environment.
When I call stats.linregress it raises the following value error:
"all the input array dimensions except for the concatenation axis must match exactly"
"x" is a 1D array with shape (60, )
log_ts is a 2D array with shape (60, 1500)
Any ideas to fix this issue?
The linregress method expects a 1D array for each of the dependent and independent variables being passed to it. Specifically, x and log_ts must be 1D arrays. However, log_ts is a 2D array. There is a row for each day and a column for each asset. That is what's causing the error all the input array dimensions except for the concatenation axis must match exactly.
What's the solution? Do pretty much the same but iterate over each asset (ie column). One can either do this with a for loop, or a bit quicker, using the numpy apply_along_axis method. Here's the numpy version.
class Momentum_Apply(CustomFactor):
inputs = [USEquityPricing.close]
window_length = 60
def compute(self, today, assets, out, ts):
# Get the log prices
log_ts = np.log(ts)
# Create 1D array like [0, 1, 2, 3,...] to regress against
# Length is the number of days (ie window_length)
x = np.arange(ts.shape[0])
def annualized_slope(column):
slope, intercept, r_value, p_value, std_err = stats.linregress(x, column)
return (np.power(np.exp(slope), 252)-1) * 100
# Iterate over the columns of data (ie the assets)
# Use the numpy apply_along_axis method in place of a for loop
out[:] = np.apply_along_axis(annualized_slope, axis=0, arr=log_ts)
Attached is a notebook showing both versions.
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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.
