How can I implement specific sectors in my pipeline as a filter?

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How can I implement specific sectors in my pipeline as a filter?

Maximilian Angerer

edited Jul 7, 2017

Seeking Help Getting Started Using Data Statistics Pipeline

Hello Q,

I have this algorithm, which is based on Fred Piards 'The Lazy Fundamental Analyst' on page 37.

The problem is, that I don't know how I can implement a filter that specifies the sectors of Q500US which are supposed to be used.
Take a look at it in my attached algorithm.

Also I somehow can't set the POR to be 0 as in POR == 0. I found a workaround, but if anybody finds the time to help me with that as well, I would appreciate it.

Thanks for your help.

3 responses

The cleanest way to specify a sector filter is to use the '.element_of' method. An equality filter can be made by using the '.eq' method. In your case, something like this might be what you want.

pipe.set_screen(base_universe  &  POR.eq(0.0) & sector.element_of([239, 77]))

Note, it' typically not a good idea to do equality comparisons with real numbers (eg factor results) since there can be rounding differences. Maybe use two inequalities similar to what you had?

pipe.set_screen(base_universe  &  (POR < 0.01 & POR > -.01) & sector.element_of([239, 77]))

Just a thought. Good luck.

Maximilian Angerer

Thanks Dan for helping me, it does sort of work, but I don't get any stocks through my pipeline now. Not sure if something is wrong or maybe there just aren't any stock in those sectors matching my criteria.

How are you defining your sector codes? The Morningstar sector values are

101 Basic Materials
102 Consumer Cyclical
103 Financial Services
104 Real Estate
205 Consumer Defensive
206 Healthcare
207 Utilities
308 Communication Services
309 Energy
310 Industrials
311 Technology

(see http://corporate.morningstar.com/us/documents/methodologydocuments/methodologypapers/equityclassmethodology.pdf)

The values of 239 and 77 aren't valid.

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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.