Hi Crawford,
I played with this a bit. I think the ranking problem you were running into had to do with the filters set in before_trading_starts. I had some concerns about this template when I wrote it, regarding the >0 filters being done in before_trading_starts, sorry about that. In the attached version, I moved those into initialize, so they can be done as part of the pipeline. This ensures that the ranks stocks will not included anything where factor 1 or factor 2 is <0.
# create my market cap factor
mkt_cap = MarketCap()
# create 3 filters - one to limit to top 2000 by market cap
# the others to remove any factor 1 and factor 2 less than 0
top_2000 = mkt_cap.top(2000)
factor_1_filter = factor1 > 0
factor_2_filter = factor2 > 0
# create a combined filter
total_filter = (top_2000 & factor_1_filter & factor_2_filter)
# use the combined filter to set the screen
pipe.set_screen(total_filter)
Additionally, I made some changes to the logging.
- On line 112, I logged the total size of the output dataframe with
log.info("\n" + str(len(context.output))) this lets me how many stocks we get back on any given day.
- On lines, 138 and 143, I changed how we were logging information about when we were longing and shorting stocks. Before we were running into issues with exceeding the number of log lines on any given day, so you never saw when the shorts were happening. Now this should be more apparent.
I think this answers your ranking and shorting questions, however the very weird thing, that I cannot explain, is that I am getting a different number of securities in my pipeline output each time I run it, for the same days. When I start my backtest on 1-5-15 the number of securities returned on that day changes.....this shouldn't be happening as best I can tell. I'm going to ask someone else to take a look and see if we can come up with an explanation.
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