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Getting Percentile of Custom Factor
Mathew Crogan
posted Feb 29, 2020
Statistics Pipeline

Hey everybody, I'm attempting to get the percentile of a custom factor over a certain timeframe and I'm having some issues.

Whenever I run the cell, my Percentile column gets some extremely long numbers. The only way to fix this issue is to add a screen=screens to the row where I define ppop= PPOPercentile() . I'm just attempting to find the percentile of the PPO over the past year for a given asset in pipeline. Right now I'm limiting the output to just AAPL as I am trying to just show how the pipeline works, but I would eventually like to run it over a multitude of securities. Any help would be appreciated.

2 responses
aashutosh vijayant
Feb 29, 2020

Hi Matthew,

Please change 

out[:] = stats.percentileofscore(ppo,ppo[-1],'mean')

in compute() function of your PPOPercentile CustomFactor
to

ppo =  np.array(ppo)  
out[:] = np.array([ stats.percentileofscore(ppoarr[:,i],v,'mean') for i,v in enumerate(ppo[-1])])

What I think happens is that the compute on the CustomFactor is called on all assets (before the screening is done), since there is no screen in the definition of the CustomFactor itself.
So in your original code, self.ema(close,12) and self.ema(close,26) are arrays with 1 row and number of assets columns and ppo is a list of arrays.
Just accounting for that in your percentile calculation above.

Mathew Crogan
Feb 29, 2020

Awesome! Worked like a charm!

I am having a little bit of an issue understanding why this is occurring though? How come pipeline executes this way and is there a way to check something like this?

I've always found it difficult to debug pipeline because it either works, works incorrectly, or throws an error, making it hard to see how it is outputting data so I can then attempt to fix the problem myself.

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