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Window Lengths
Tim S
posted
API Seeking Help Pipeline

Can anyone shed some light in how window lengths affect reported values in pipeline for a company's cash flow statement? For example if I'm looking for the net income of AMZN for 2015 should I set the window length in my custom class (below) to 1 for 1 year, 12, 4, or 252 for trading days? Also which date should I refer to on the pipeline?

My intent is to compare companies based on performance in previous years/quarters.

Thanks.

class Net_Income(CustomFactor): 

inputs = [morningstar.cash_flow_statement.net_income]  
window_length = wl  

def compute(self, today, assets, out, net_inc):  
    out[:] = sum(net_inc)
1 response
Costantino

I you want to compute the Net Income for the last trailing twelve months (TTM), try this (given than a Quarter has 65 days): 

quarter_lenght = 65  
ttm    = [-1, -quarter_lenght, -2*quarter_lenght, -3*quarter_lenght]

class NetIncomeTTM(CustomFactor):  
    window_length = 3*quarter_lenght + 1  
    inputs = [morningstar.income_statement.net_income]

    def compute(self, today, assets, out, net_income):  
        net_income_ttm = np.sum(net_income[ttm], axis=0)        

        out[:] = np.sum(net_income[ttm], axis=0)
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