How can a Factor be defined to produce a DataFrame instead of a Series?

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How can a Factor be defined to produce a DataFrame instead of a Series?

posted Apr 18, 2016

Seeking Help Pipeline

In the documentation, there is a section that reads

" Suppose that f is a Factor which would produce the following output:

        AAPL   MSFT    MCD     BK  
2017-03-13    1.0    2.0    3.0    4.0  
2017-03-14    1.5    2.5    3.5    1.0  
2017-03-15    2.0    3.0    4.0    1.5  
2017-03-16    2.5    3.5    1.0    2.0

But I can't seem to make factors output anything other than series that are indexed by asset. At the moment my goal is to have a factor output a dataframe like the one below where the capital letters are assets and I have alternating rows of open prices, close prices...

     A      B      C      D    .  .  
1    Ao1    Bo1    Co1    Do1  .  .  
2    Ac1    Bc1    Cc1    Dc1  .  .  
3    Ao2    Bo2    Co2    Do2  .  .  
4    Ao1    Bo1    Co1    Do1  .  .  
.    .      .      .      .    .
.    .      .      .      .       .

Any help would be much appreciated!

1 response

late reply, but for anyone else who searches:

class Value(CustomFactor):
# value factor based on OCF/EV
inputs = [mstar.cash_flow_statement.operating_cash_flow,
mstar.valuation.enterprise_value]
window_length = 1

def compute(self, today, assets, out, ocf, ev):  
    factor_df = pd.DataFrame(index=assets)  
    factor_df["ocf"] = ocf[-1]  
    factor_df["ev"] = ev[-1]  
    out[:] = (factor_df['ocf'] / factor_df['ev'])

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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.