Newbie Trying to Lag Returns by one Month in Pipeline

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Newbie Trying to Lag Returns by one Month in Pipeline

Nate Hoffelmeyer

posted Aug 17, 2018

Research Pipeline numpy/pandas

Hello,

I'm trying to create a factor that allows me to take the average between one month price change and 12 month price change, with the 12 month price change excluding most recent month - i.e. lagged by one month. I've got one month price change using: pchg_1mo = Factors.Returns(window_length = 30). I was also getting 12 month price chang using: pchg_12mo = Factors.Returns(window_length = 252) to get the returns, but I'm getting stuck with regard to lagging them.

I tried using pchg_1mo = Factors.Returns(window_length = 30).shift(-30), but get an error that the returns object has no attribute of shift. Then I thought I could use prices(assets, start, end, frequency='daily', price_field='price', symbol_reference_date=None, start_offset=0) and just set the start_offset=-30, but then I realized I'm not sure I know how to set dynamic start and end dates for that. Is that possible? If so, how would I do that?

Has anyone a good method of lagging returns by 1 month with dynamic date? My pipeline is using base_universe of QTradableStocksUS, and so just trying to get the two returns columns mentioned above and take the average between them.

THANK YOU IN ADVANCE!
-> Nate

2 responses

One could write a custom factor. However, since you are already defining a custom factor for 'Previous', maybe just use that? The 12 month returns excluding the previous month would simply be:

    price_12mo_ago = Previous(inputs = [USEquityPricing.close], window_length = 252)  
    price_1mo_ago = Previous(inputs = [USEquityPricing.close], window_length = 21)  
    pchg_12mo_excl_prev_mo = (price_1mo_ago / price_12mo_ago) - 1.0

Note also that one should use 20 or 21 days to get monthly returns and not 30. It assumes trading, and not calendar, days.

Good luck.

Nate Hoffelmeyer

Thanks a ton @Dan!

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