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help needed on ranking stock returns within an index
Kc Mo
posted Jan 12, 2017
Getting Started Momentum

Hi quants,

I'm new to quantopian so I'm having some trouble figuring out how to work with pipeline, and hope someone can help me get started.

A toy example for a momentum strategy would be, on every Friday 2PM, get all stocks within the DJIA index and their last Friday's close price, calculate weekly returns (last price as of this Friday 2pm divided by close price of last Friday), rank them, enter 1 market order for top 5 stocks.

If anyone can help me get started I would appreciate it greatly.

Thanks!

1 response
Dan Dunn
Jan 12, 2017

Hello KC,

Welcome to Quantopian.

Have you gone through the pipeline tutorial yet? That's going to get you about 80% of the way there based on what you are looking for. For the rest:

1) We don't have the constituents of the DJIA available automatically. You should choose a different universe, like the Q500US, or code the 30 stocks of the DJIA by hand.
2) It will be easy to pull last Friday's close price by importing USEquityPricing and doing a data.history() call.
3) The 2pm calculation should be done within a schedule_function() call, not in pipeline or in handle_data().

If you're still stuck, please share the work you've done so far, and we can take a look.

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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.