I want to make a generic custom factor (chain_factor) that accepts a self serv data as input. Inside the custom factor, I like to chain several calls like this:
class Window_Safe(CustomFactor):
window_length = 1
window_safe = True
def compute(self, today, assets, out, value):
out[:] = value
class chain_factor(CustomFactor):
def compute(self, today, asset_ids, out,
data, len1, len2):
ret = Returns(inputs=[data], window_length= len1)[symbol('SPY')]
ma = SimpleMovingAverage(inputs=[ret], window_length=len2)
sliced = Window_Safe(inputs=[ma])
out[:] = sliced[-1] cf = chain_factor (my_self_serv_data, 252, 5)
I got an error by doing this:
TypeError: zipline.pipeline.term.getitem() expected a value of type zipline.assets._assets.Asset for argument 'key', but got int instead.
Is this possible? Or am I doing it wrong somewhere?
