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Pipeline, custom filter on a custom filter
ct s
posted Jun 28, 2019
Seeking Help Research Pipeline numpy/pandas

There is probably an easy solution to this, but i can't seem to wrap my head around it.

I have made a custom filter named vol_spike, what I would like to achieve, is to within the pipeline, check whether a spike bigger then for example 3 have occurred within the the last 30 days.

My thinking was to use the np.max in a custom filter to check for the largest spike, and then control whether that was bigger than 3.

As it turns out i am having trouble getting the value from one filter into another filter? so is it possible to create a filter within a filter of different windows or do any one have any suggestions on how to go about this ?

Alternative 2 would be to work with the dataframe produced by the pipeline, but i am struggling to single out just one company and working with its data, instead it mixes up data from other companies as they are lined up in the columns.

Hope any one have an input!

2 responses
Blue Seahawk
Jul 6, 2019

Something here might help:
https://www.google.com/search?q=factor+as+input+to+another+factor+site:quantopian.com

ct s
Jul 12, 2019

Hey, there is something in there, but i might not get the depth of it.

I have made my custom filter, and all I want to do is to check if that vol_spike that is made in the custom filter had an occurrence over 3 or below -3 in the last 30 days?
this might be achievable without a custom filter, but currently that is the only way I can think about, as a means to get a rolling window in the pipeline function.

Does it make sense what i am trying to achieve ?

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