I can't figure out what I'm doing wrong or if I'm up against some sort of pipeline bug.
See the attached notebook that reproduces the issue I'm having. I'm limiting my stock universe with .top() method on a dollar volume CustomFactor. The resulting stocks all happen to have symbols that start with the letter 'A', that can't possibly be true!!
Mike, try adding dollar volume as a data column. You should see your problem immediately. You have to use the rank function to actually change the order of the data, otherwise you're just picking the top five entries in your data set.
Sunil
Hi Mike, your pipeline construction is actually totally correct. Don't worry about adding dollar volume as a column or adding a rank; it's not necessary. It's actually your DollarVolume custom factor which is slightly off.
close and vol as given to compute are 2-dimensional arrays, with a column for each equity. By default, nanmean takes the mean of the whole array, but you really want the mean of the values for each individual equity. To do that, apply nanmean along one axis like this:
out[:] = np.nanmean(close * vol, axis=0) Let me know if this fixes the problem.
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.
Mike,
It might be more convenient for you to use the built-in function: AverageDollarVolume(window_length=252)
I noticed that you had imported it in your notebook.
Nathan's fix does work.
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.
