I am trying to write a custom factor to calculate the trailing 12 months eps using the following code:
class EPS(CustomFactor):
inputs = [USEquityPricing.close, mstar.earnings_report.basic_continuous_operations]
window_length = 3
def compute(self, today, assets, out,close,eps):
out[:] = np.sum(eps, axis=0) I am expecting this code to sum the last 4 quarters eps from morningstar but it seems to take the latest eps and multiplies it by 4. What am I doing wrong?
This is a common error, or at least I had the same issue. You are looking back only 3 days, not 3 quarters, which is not intuitive since this data only updates quarterly. Furthermore, if you start really looking back more than a year or so you start running into memory issues. It's on my to-do list to finish a lib that makes this a lot easier and properly stores look back data by the quarter, but its hacky and easy to get tripped up in books/quirks in the data. Attached is a notebook that should show how this can be done.
Hi Kevin,
I have tried the following
# Past 5 years revenue growth rate
class Growth5yr(CustomFactor):
inputs = [morningstar.asset_classification.growth_grade]
window_length = trading_days_in_year
def compute(self, today, asset_ids, out, value):
out[:] = value[-1] but i get an error
ValueError: setting an array element with a sequence.
...
USER ALGORITHM:169, in compute
out[:] = value[-1] would you know how I could solve this?
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