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Sample Mean Reversion before_trading_start
Dosh Ere
posted Aug 2, 2020
Seeking Help Getting Started Mean Reversion Portfolio Optimization Pipeline

I am trying to understand this snippet comment & code from the Sample Mean Reversion.

    # pipeline_output returns a pandas DataFrame with the results of our factors and filters.  
    context.output = algo.pipeline_output('mean_reversion_example')

    # Sets the list of securities we want to long as the securities with a 'True' value in the low_returns column.  
    context.recent_returns_zscore = context.output['recent_returns_zscore']

As far as I can tell the second line just copies the recent_returns_zscore to another field of context . I do not understand what the second comment is referring to. The pipeline does not return a boolean low_returns column?

Hope this makes sense. Thanks in advance.

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