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problem w/ Sector().eq() - any ideas?
Grant Kiehne
posted Jan 31, 2020
API Seeking Help Pipeline

With the code attached, I get no trades. Any idea why?

def regression_pipeline():  
    QTU = QTradableStocksUS()  
    sectors = [101,102,103,104,205,206,207,308,309,310,311]  
    sector_ETFs = symbols('XLB',  
                          'XLY',  
                          'XLF',  
                          'IYR',  
                          'XLP',  
                          'XLV',  
                          'XLU',  
                          'IYZ',  
                          'XLE',  
                          'XLI',  
                          'XLK'  
                          )  
    alpha = None  
    for s,e in zip(sectors,sector_ETFs):  
        if alpha == None:  
            alpha = RollingPearsonOfReturns(  
                    target=e,  
                    returns_length=2,  
                    correlation_length=8,  
                    mask=Sector().eq(s)&QTU  
                    ).zscore()  
        else:  
            alpha += RollingPearsonOfReturns(  
                    target=e,  
                    returns_length=2,  
                    correlation_length=8,  
                    mask=Sector().eq(s)&QTU  
                    ).zscore()  
    pipe = Pipeline(columns = {  
        'alpha': alpha,  
    },  
    screen = QTU)  
    return pipe
4 responses
Dale Williams
Jan 31, 2020

When you add a number to nan in python it's equal to nan.

When you're adding the alphas together, the nan's from the other sectors are getting added to the sector you're looking at and making all of the alphas nan.

A custom factor to add the alpha's together would be the way to fix this as you could safely handle the nan's.

Grant Kiehne
Jan 31, 2020

Thanks Dale -

I fixed things in a different way (see attached backtest).

Daniel Cascio (Blue Robin)
Jan 31, 2020

Great work, Grant. I always appreciate your posts and always learn a ton of different approaches from your methods. Thanks

Grant Kiehne
Jan 31, 2020

Thanks Daniel. Glad that you've benefited.

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