I am trying to only select small cap stocks in my algo, but I am running into trouble.
market_cap = fundamentals.valuation.market_cap
small_cap = ((market_cap > 15000000) & (market_cap < 100000000))
pipe = Pipeline(
screen = small_cap,
columns = {
'returns' : returns
}
)
Hmmm. You may need an extra zero in each of your compare statements. I assume you want greater than $150M and less than $1B. Try adding a zero to each and see if that works.
@sean,
Can you share the full code? if not, it might be better to get market_cap as a custom factor:
from quantopian.pipeline import CustomFactor
class MarketCap(CustomFactor):
inputs = [USEquityPricing.close, morningstar.valuation.shares_outstanding]
window_length = 1
def compute(self, today, assets, out, close, shares):
out[:] = close[-1] * shares[-1]
then in your pipeline function:
def my_pipeline(context):
pipe = Pipeline()
market_cap = MarketCap()
small_cap = ((market_cap > 15000000) & (market_cap < 100000000))
pipe.set_screen(small_cap)
return pipe
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