SMA calculation in pipeline

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SMA calculation in pipeline

posted

Hello all. I am trying to calculate a SMA of a calculated column in a pipeline but get an error message "NonWindowSafeInput: Can't compute windowed expression".

from quantopian.pipeline.data.user_5be5baf2fba49a6131414ae2 import suzano
from quantopian.pipeline.data.user_5be5baf2fba49a6131414ae2 import usdbrl
from quantopian.pipeline.data.user_5be5baf2fba49a6131414ae2 import pulp
from quantopian.pipeline.data.user_5be5baf2fba49a6131414ae2 import selic
from quantopian.pipeline.data.user_5be5baf2fba49a6131414ae2 import suz

from odo import odo

def make_pipeline():

suz_adr = suz.close.latest  
custo_BRL = suzano.custo_caixa_brl_ton.latest  
prod_TTM = suzano.producao_ttm_mil_ton.latest*1000  
divida_USD = suzano.div_liq_bi_usd.latest*1000000000  
qusdbrl = usdbrl.close.latest  
qpulp = pulp.ultimo.latest  
sselic = selic.selic.latest  
qselic = sselic/100  
shares = 1361260000  

tir = (qpulp-custo_BRL/qusdbrl)*prod_TTM*0.95/(suz_adr*shares+divida_USD)-qselic  
tir_med = SimpleMovingAverage(inputs = [tir], window_length=15)  
#fair = (((qpulp-custo_BRL/qusdbrl)*prod_TTM*0.95/(tir_med+qselic))-divida_USD)/shares  
#desconto = suz_adr/fair-1  

long = suz_adr >-100  

securities_to_trade = long

return Pipeline(columns={  
    #'fair':fair,  
    #'desconto':desconto,  
    #'selic':qselic,  
    #'pulp':qpulp,  
    #'long':long,  
    'suz':suz_adr,  
    'tir':tir  
},  
screen = securities_to_trade)

results = run_pipeline(make_pipeline(),'2017-09-05','2020-06-25')
results.tail()

4 responses

Tentor Testivis

Try without .latest for everything you want to use as a factor input

Thanks for the reply. Removing ".latest" did not work as well as the operations can only be performed using one entry, and not a column. I got the follow error:

"TypeError: unsupported operand type(s) for /: 'BoundColumn' and 'BoundColumn'"

Tentor Testivis

The mathematical operations you can do with imported factors directly are limited. You can use a custom factor for this, it should work. Of course I can't test it because it's your private data but here's what I would do:

Tentor, thank you so much. It worked fine.

Cheers

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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.