Ranking did not work on my custom factor

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edited Sep 22, 2020

Below is my custom factor. When I applied top() or percentile_between() filter to it, it won't show result as I would expect.

class pct_volume(CustomFactor):  
    inputs = [USEquityPricing.volume]  
    def compute(self,today,assets,out,volume):  
        out[:] = ((volume[-1]-volume[0])/volume[0])*100  
pct_volume_1d = pct_volume(window_length=2)

For example I would assume at least 1 asset to be returned if I call top(1) on my custom factor, but it didn't happen. When I called top(50), then it would return just few rows of securities.

Many thanks,
Charlie

2 responses

Dan Whitnable

Sep 22, 2020

The custom factor does work but the issue may be what happens if 'volume[0]' is zero? The result will be infinite (ie divide by zero) and probably not what one wants. Maybe set those infinite values to 0 or just filter those out of the result something like this

# One can set the output to 0 for infinite values  
class pct_volume(CustomFactor):  
    inputs = [USEquityPricing.volume]  

    def compute(self,today,assets,out,volume):  
        # Explicitly set a value if volume[0] = 0  
        pct = ((volume[-1]-volume[0])/volume[0])*100  
        pct = np.where(np.isfinite(pct), pct, 0)  
        out[:] = pct

# One could also just filter out infinite values  
top_pct_volume_1d = pct_volume_1d.top(50, mask=pct_volume_1d.isfinite())

Check out the attached notebook.

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Changyang Xu

Sep 22, 2020

Hello Dan,

I am really excited to hear from the Quantopian team, and got valuable help from you.

I finally fixed all issues. One was related to what you said, and another was related to the tradable universe that I defined.

Again much thanks!
Charlie

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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.

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