Trouble filtering out industries in pipeline

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Trouble filtering out industries in pipeline

posted

Hi everyone,

I'd like pipeline to only include stocks from specific sectors and industries. I'm having success with sectors but not with industries and I'm doing the same thing (think).

Here's what I'm doing in make_pipeline:

    base_universe = Q500US()  
    valid_sector = Fundamentals.morningstar_sector_code.latest.element_of([  
        308, # Communication services  
        311  # Technology  
    ])

    valid_industry = Fundamentals.morningstar_industry_code.latest.element_of([  
        10210023, # Media - Diversified  
        31165133, # Software - Application  
        31168144 # Internet Content & Information  
    ])

   # make some factors but removing them for this example

   is_tradeable = base_universe & valid_sector & valid_industry

   return Pipeline(  
        columns={  
            'mktcap': mktcap  
        },  
        screen=is_tradeable  
    )

When I run this no stocks are selected. If I get rid of the industry filter it works fine.

Thoughts anyone?

Thanks!

3 responses

Daniel Cascio (Blue Robin)

Try using the FS data set to screen (or filter) on particular sectors / industries. Note in the documentation page there are 3 levels to choose from. Here's some code you can try in order to achieve your intention.

This example screen will mask over Factset's RBICSFocus.l1_name field for stocks that fall under "Finance" ( "~" = NOT)

Refer to https://www.quantopian.com/docs/data-reference/rbics_focus for additional details.

#    no_REIT = RBICSFocus.l2_name.latest  
       sector_L1 = RBICSFocus.l1_name.latest  
#    sector_L2 = RBICSFocus.l2_name.latest  
#    sector_L3 = RBICSFocus.l3_name.latest

screen =  
          #& ~no_REIT.eq('Real Estate')\  
             & sector_L1.eq('Finance')\  
          #& ~sector_L1.eq('Industrials')\  
          #& ~sector_L1.eq('Technology')\  
          #& ~sector_L1.eq('Non-Energy Materials')\  
          #& ~sector_L1.eq('Consumer Cyclicals')\  
          #& ~sector_L1.eq('Consumer Non-Cyclicals')\  
          #& ~sector_L1.eq('Energy')\  
          #& ~sector_L1.eq('Consumer Services')\  
          #& ~sector_L1.eq('Business Services')\  
          #& ~sector_L1.eq('Utilities')\  
          #& ~sector_L1.eq('Telecommunications')  
         )

The initial filter should return some securities. I get the following counts for these industry codes

industry_code  
31165133    28  
31168144    10

However, probably what one wanted was to have securities that are in sector 308 or 311 OR industry code 10210023, 31165133, 31168144 (notice the OR). So, is_tradeable should probably be

    is_tradeable = base_universe & (valid_sector  | valid_industry)

Using the above filter, one will get the following counts for these industry codes

industry_code  
10210023     5  
30845099     4  
30845100     7  
31165130     4  
31165131     3  
31165132     4  
31165133    28  
31165134    12  
31166135     6  
31167137     3  
31167138     1  
31167140     3  
31167141     3  
31167143     2  
31168144    10  
31169145     5  
31169146     1  
31169147    16

This may be more in line with expectations? Check out the attached notebook.

Disclaimer

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.

Ooooooo rookie mistake on my part! Thanks Dan!

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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.

About Quantopian

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.