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Historical Fundamentals Data in Research
Stefan Kaehler
posted Nov 6, 2016
Getting Started Research

Hi all,

I am trying to measure the change in fundamentals from one quarter to another. Using the custom factors example laid out in the pipeline tutorial, I came up with the attached code but I get hit with the below error:

NonWindowSafeInput: Can't compute windowed expression gross_margin_change((Latest((operation_ratios.gross_margin::float64,), window_length=1),), window_length=1) with windowed input Latest((operation_ratios.gross_margin::float64,), window_length=1).

Any ideas on what is wrong with my code? I am a relatively inexperienced coder so I hope that this is a simple fix.

Thanks in advance!

4 responses
Josh Payne
Nov 7, 2016

My quick read from the error message is that you're using only a single days' worth of data from fundamentals by setting your window_length to 1. If you want to compare the data quarter over quarter, you'll need to have a longer window length.

Disclaimer

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.

Stefan Kaehler
Nov 8, 2016

Thanks for the response Josh but I think it might be an issue deeper than that as I get the same error when even I set the window length to 150 (attached). Could it be an issue with my syntax? The error says that I am setting a window length of 1 then 150 (Latest((operation_ratios.gross_margin::float64,), window_length=1),), window_length=150 which makes me think that I am not specifying the timeframe correctly.

Stefan Kaehler
Nov 15, 2016

Got this figured out. For anyone else who is looking for some simple syntax when pulling historicals, here you go:

class gross_margin_year(CustomFactor):

    inputs = [morningstar.operation_ratios.gross_margin]

    def compute(self, today, assets, out, inputs):  
        out[:] = inputs[-365]

def make_pipeline():  
    gm_1yr = gross_margin_year(window_length = 365)

Hope that someone someday finds this useful!

Anthony Turrigiano
Sep 12, 2017

Thanks, this was very helpful

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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.