how to access to history of factors in pipeline?

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how to access to history of factors in pipeline?

posted

this is part of the code from the tutorials.
now I want to do more by comparing the recent 20 days' mean_10.
how to get this data?
seems pipeline only gets mean_10 of yesterday.
Thanks.

def make_pipeline():  
    # Base universe set to the Q1500US.  
    base_universe = Q1500US()

    # 10-day close price average.  
    mean_10 = SimpleMovingAverage(inputs=[USEquityPricing.close], window_length=10, mask=base_universe)

    # 30-day close price average.  
    mean_30 = SimpleMovingAverage(inputs=[USEquityPricing.close], window_length=30, mask=base_universe)

    percent_difference = (mean_10 - mean_30) / mean_30

4 responses

Unless I'm not understanding your question, you can get the mean (ie the average) of the last 20 trading days close prices with the following factor.

 # 20-day close price average.  
 mean_20 = SimpleMovingAverage(inputs=[USEquityPricing.close], window_length=20, mask=base_universe)

The 'window_length' is the number of days to average.

I mean i want to get mean_10 of several days ago, like the day before yesterday.
not make window length 20.

let's say today is Jan 31,
mean_10 = SimpleMovingAverage(inputs=[USEquityPricing.close], window_length=10, mask=base_universe)
this gets mean_10 of Jan 30, right?
now i want mean_10 of Jan 29,..., Jan 4.

Ahhhh. You'll need a small custom factor for that. Maybe something like this...

import numpy as np  
class SMA_10_back_2(CustomFactor):  
    """  
    Compute 10 day average close price but start 2 days ago  
    """  
    inputs = [USEquityPricing.close]  
    # need to fetch 12 days worth of data (10 day sma + 2 day look back)  
    window_length = 12 

    def compute(self, today, assets, out, close):  
        # yesterday is -1, two days ago is -2, etc  
        lookback = -2  
        out[:] = np.nanmean(close[0:lookback], axis=0)

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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.