Help on CustomFactor (SigmaSpike)

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posted Jul 18, 2019

Hi all,

I am new to both Quantopian and programming, I am trying to create a 'SigmaSpike' CustomFactor for screening purpose via pipeline where:

SigmaSpike = today's return / yesterday's stdev ( based on daily returns over a 20 day window)

Here is my code excerpt which gives the following error:
AttributeError: 'NoneType' object has no attribute 'domain'

class SigmaSpikes(CustomFactor):  
    inputs = [USEquityPricing.close]  
    window_length = 22  
    def compute(self, today, asset_ids, close):  
        rturn = close.pct_change[1:]  
        ytd_std = np.std(rturn[-2:], ddof = 1)  
        out[:] = rturn[-1] / ytd_std

Would appreciate if I can be guided on this. Thanks in advance!

4 responses

Dan Whitnable

Jul 18, 2019

It seems your 'compute' function has the wrong number of parameters. Instead of this

def compute(self, today, asset_ids, close):

it should be this. Note the 'out' parameter:

def compute(self, today, asset_ids, out, close):

That may do it?

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Wen Jun Ong

Jul 18, 2019

@Dan. Thanks for the quick response. Still facing the same error. Is it something to do with the rational of my factor?

Full code :

class SigmaSpikes(CustomFactor):  
    inputs = [USEquityPricing.close]  
    window_length = 22  
    def compute(self, today, asset_ids, out, close):  
        rturn = close.pct_change[1:]  
        ytd_std = np.std(rturn[-2:], ddof = 1)  
        out[:] = rturn[-1] / ytd_std

def make_pipeline():  
    sigma_spike = SigmaSpikes()  
    sigma_filter = sigma_spike > 2.0 or sigma_spike < -2.0  
    pipe = Pipeline(  
        columns = {  
            'Last Price' : USEquityPricing.close.latest,  
            'Sigma Value' : sigma_filter  
        },  
    )

result = run_pipeline(make_pipeline(), '2019-07-18', '2019-07-18')  
result.head()

Vladimir

Jul 19, 2019

Try this:

Wen Jun Ong

Jul 19, 2019

@Vladimir. Thank you so much!

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

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.

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