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Historical CustomFactor Values
Tom
posted Oct 13, 2018

Hi,

Suppose i have the following CustomFactor:

class Momentum_121(CustomFactor):

window_length = 252  
inputs = [USEquityPricing.close]

def compute(self, today, assets, out, price):  
    mom = price[-21]/price[0]-1  
    out[:] = mom.astype(float)

The variable "mom" will be an nparray of shape = (x,) where x = the number of stocks available.

Suppose i instead set my window_length = 252*2, and want to backfill the "mom" variable for each stock, going back 252 days. I.e., create an nparray of shape = (252,x), instead. I could then use this "mom" variable to do further computations before sending to "out[:]".

Any advice? Thank you.

2 responses
Tom
Oct 14, 2018

For anyone wondering, i found this forum post helpful: https://www.quantopian.com/posts/question-custom-factor-as-inputs-for-another-custom-factor-in-pipeline

Tom
Oct 15, 2018

Also helpful: https://www.quantopian.com/posts/how-to-make-factors-be-the-input-of-customfactor-calculation

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