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Quantopian do you see the value in this Generic Custom Factor Calculator?
stephan vanwoezik
edited

Hey Qsters,
I got tired of rewriting Custom Factor Classes, to calculate fundamental deltas. So I made this: 

def _calc(fundamental, lookback, period):  
    start = lookback*period  
    end = lookback*period - lookback + 1  
    return ((fundamental[-end]-fundamental[-start]) / fundamental[-start])#.astype(int)  
def Calc(fundamental, lookback, period):  
    class FundementalCalc(CustomFactor):  
        inputs = [fundamental]  
        window_length = lookback*period+1  
        def compute(self, today, assets, out, fundamental):  
            myvar = _calc(fundamental, lookback, period)  
            out[:] = myvar  
    return FundementalCalc
4 responses
Dan Whitnable

@stephan vanwoezik Great contribution!

There's also a built in factor which does about the same thing PercentChange. Using it to do something similar to your example above would be done like this

GrowthDelta = PercentChange([Fundamentals.revenue_growth], window_length=501)

The code can be found here. A couple of differences are window_length=lookback+1 and PercentChange divides by the absolute value 

    def compute(self, today, assets, out, values):  
        out[:] = (values[-1] - values[0]) / abs(values[0])

This ensures the sign of the result doesn't get reversed if the first value is negative. Not usually an issue with fundamentals because they are typically positive values.

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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.

stephan vanwoezik

For instance in this notebook I compare last years gross_margin with 2 years ago.

stephan vanwoezik

.. and this notebook, you'll see the lines of commented code this method would potentially save when using Calc() . this is more maintainable as code scales.

stephan vanwoezik

Dan, I think I may have known about PercentChange, but disregarded because it has a shortcoming in my opinion. It can't lookback over previous periods like my approach does. I want to compare 2019 PE with 2018 PE with 2017 PE for instance.
The third argument, period, in Calc(fundamental, lookback, period) adds that functionality.
Thanks for the abs() callout though, I'll be sure to implement that.

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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.