Isolate Midcaps in Pipeline

Quantopian's community platform is shutting down. Please read this post for more information and download your code.

Back to Community

Isolate Midcaps in Pipeline

posted

Hi All,

Noobie question. I want to sort by all market caps in pipeline that rank between 500-1000 (i.e. find midcaps). How would I go about changing the below code which is looking at top500 to do this?

Thanks

def make_pipeline(context,sma_window_length, market_cap_limit):  
    pipe = Pipeline()  
    market_cap = MarketCap()  
# Want to change the below from rather than top 500 to rank between 500th-1000th  
    top_N_market_cap = market_cap.top(market_cap_limit)

    initial_screen = (top_N_market_cap)

1 response

You could use the 'percentile_between' filter. (See documentation under factors https://www.quantopian.com/help#quantopian_pipeline_factors_Factor )

# Create a filter to get tradeable stocks (excludes etfs etc)  
tradeable_stocks = QTradableStocksUS()


# Create a factor to get the latest market cap. Limit to tradeable stocks with a mask.  
mkt_cap = MarketCap(mask = tradeable_stocks)

# Create a filter to select mid cap stocks  
# Note that this is a percentage and not a fixed value (eg $250M)  
# Let's use the Morningstar definition of 'mid cap' which is stocks that fall  
# between 70th and 90th percentile in market capitalization of the investable universe  
# see http://www.morningstar.com/InvGlossary/morningstar-mid-cap-index.aspx  
mid_cap = mkt_cap.percentile_between(70, 90, mask = tradeable_stocks)

# Now simply use that filter as a screen  
initial_screen = mid_cap

See the attached notebook with this in action. It also shows the range of market caps being filtered to validate it falls within expectations.

Good luck.

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

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.

About Quantopian

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.