I'm attempting to get the 200 day moving average from x number of days ago. Is there a simple way to do this with Pipeline (e.g. provide a date to look up the SMA)?
mean_200 = SimpleMovingAverage(inputs=[USEquityPricing.close], window_length=200, today.replace(day = -5))
Hi Brian, right now there isn't a simple way built into Pipeline to do this. However, it is possible to do this with a custom factor. Here's a quick example:
import numpy as np
def offset_sma_factor(days, **kwargs):
kwargs['window_length'] += days
class OffsetSMA(CustomFactor):
def compute(self, today, assets, out, values):
out[:] = np.nanmean(values[:-days], axis=0)
return OffsetSMA(**kwargs)
To use the above you just call the function with the day offset (5 in the case of your example) and the other keyword arguments, like this:
mean_200 = offset_returns_factor(5, inputs=[USEquityPricing.close], window_length=200)
Let me know if this works for you!
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Thanks for your help!
I'm not sure what it's doing but I'm getting the same value 200 Day SMA n day value for each security. Is it possible that it's averaging all 200 day SMAs from n days ago in the list and returning that value?
My bad, Brian, for nanmean you need to specify the keyword argument axis=0. So:
out[:] = np.nanmean(values[:-days], axis=0)
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.
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.
