Is there a built in pipeline factor that gives yesterdays price performance (%) of the stocks? That way if I wanted to filter by stocks that performed greater than 1% yesterday or something.
Thanks,
Chris
Hi Chris,
It sounds like you are looking for the Returns built-in factor. Then, you would just need to compare its value to a preset threshold to create a filter. Here is an example:
# Get returns over the previous 5 days
returns = Returns(window_length=5)
# Filter out securities that had lower than 2% returns
returns_filter = returns > 0.02 If you haven't already, I would recommend you checking out our Pipeline Tutorial. It shows you how to dynamically select your trading universe by combining filters, factors and classifiers in your pipeline definitions.
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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.