What does the '|' symbol mean for a numexpr expression?

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What does the '|' symbol mean for a numexpr expression?

posted

I am trying to understand this example. Particualrly this line: securities_to_trade = (low_returns | high_returns) (line number 104).

What I could gather though, is that
1. low_returns and high_returns are objects of class zipline.pipeline.filters.filter.PercentileFilter

2.securities_to_trade is "a Filter computed from a numexpr expression" and

3.the '|' symbol is a logical 'or' operator for numexpr.

I tried to replicate the function of the '|' function unsuccessfully. Please find code below:

import numpy as np  
import numexpr as ne  
a = np.array([1,2,3])  
b = np.array([4,5,6])  
ne.evaluate(a | b)  
ne.evaluate('a | b')

This is the error I got:

NotImplementedError: couldn't find matching opcode for 'or_bll'

So, my question is:
1. Am I right in assuming that the '|' symbol is a logical or operator?
2. How do I replicate the operation with arrays?

2 responses

Yes, you are right. The | operator is a logical OR of the two filters. So for example,

securities_to_trade = (low_returns | high_returns)

would create a new filter securities_to_trade. If a stock is in either low_returns OR high_returns it will be included in securities_to_trade.

The functionality is identical to using Python sets.

even_numbers = {2, 4, 6, 8, 10}  
odd_numbers = {1, 3, 5, 7, 9}

evens_or_odds = even_numbers | odd_numbers  
display(evens_or_odds)

{1, 2, 3, 4, 5, 6, 7, 8, 9, 10}

There isn't a direct numpy array function. The closest would be using concatenate and unique.

import numpy as np  
even_numbers = np.array([2, 4, 6, 8, 10])  
odd_numbers = np.array([1, 3, 5, 7, 9])

evens_or_odds = np.unique(np.concatenate([even_numbers, odd_numbers]))  
display(evens_or_odds)

array([1, 2, 3, 4, 5, 6, 7, 8, 9, 10])

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Thanks again , @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.

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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.