Anyway to return multiple arrays or values through CustomFactors?
Let's say I wanted to calculate the growth rates, return those, and also return the correlation of these growth rates:
class RatesAndMatrix(CustomFactor):
class AvgRates(CustomFactor):
inputs = [USEquityPricing.close]
window_length = 100
def compute(self, today, assets, out, close):
rates = (close[:, 1:]/close[:, :-1]) - 1
corr = corrcoef(rates)
nans = isnan(rates)
notnan = ~nans
out[notnan] = rates[notnan], corr[notnan]
out[nans] = nan and then in def initialize(context):
rates, corr = RatesAndMatrix() This doesn't work, however.
