Pipeline: how to make sure set_screen still includes the stocks/positions in the portfolio?

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

Back to Community

Pipeline: how to make sure set_screen still includes the stocks/positions in the portfolio?

edited Oct 20, 2016

Hi

I have a pipeline with a custom factor and an AverageDollarVolume filter which works great except that I want to keep computing my_factor for stocks that are in my portfolio even if they are no longer included in the AverageDollarVolume filter.

How would I do that? I don't believe I have access to the portfolio when I make my pipeline... or is there something wrong in my code, see below

thanks!

def my_pipeline(context):

    pipe = Pipeline()  
    dollar_volume = AverageDollarVolume(window_length=1)  
    high_dollar_volume = dollar_volume.top(50)  
    my_factor = MyFactor(mask=high_dollar_volume)  
    pipe.add(my_factor, 'my_factor')  
    pipe.add(USEquityPricing.close.latest, 'last')  
    pipe.set_screen(high_dollar_volume)

1 response

Hey Fabien,

If you still want to compute factors for stocks which don't pass the screen, then don't screen the pipeline. Instead, you can set the ADV screen to be a column in your pipeline, and utilize the True or False value of that column in your trading logic.

Someone had a very similar question to you, and you can check out a deeper response by me here.

In your case, the pipeline you want looks something like this:

def my_pipeline(context):

    pipe = Pipeline()  
    dollar_volume = AverageDollarVolume(window_length=1)  
    high_dollar_volume = dollar_volume.top(50)  
    my_factor = MyFactor()  
    pipe.add(my_factor, 'my_factor')  
    pipe.add(USEquityPricing.close.latest, 'last')  
    pipe.add(high_dollar_volume, 'high_dollar_volume')  
    return pipe

Disclaimer

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.

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.