Have a custom factor as input for window_length in an other custom factor?

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Have a custom factor as input for window_length in an other custom factor?

Sebastian Franzén

posted

Seeking Help Pipeline

I wonder if it is possible to have a custom factor as input for window_length in an other custom factor? What I am trying to do is as follow: I want to screen for stocks that on yesterday closed above its volume weighted average price - where the volume weighted average price is calculated from the day with the highest price the equity has had (during some fixed look-back period).

Thus I have written a custom factor Days_Since_High that returns the number of days since the highest price during a fixed look-back period, and an other custom factor Anchored_VWAP that calculates the volume weighted average price from a fixed number of days ago. Then I tried to write avwap = Anchored_VWAP(window_length=Days_Since_High()). But that seems not to work.

Is it possible to achieve what I'm trying to do?

Most grateful for any help provided!

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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.