Zscore producing lots of Nans?

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Zscore producing lots of Nans?

posted May 1, 2020

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I would like to study the book to price ratio on tech stocks. For some reason the z-score is producing a lot of nans and alphales is dropping nearly 30% of the data.

Am I doing something wrong? Thanks.

2 responses

try this:

# Make Pipeline  
def make_pipeline():

    # Create Pipeline  
    pipe = Pipeline()  
    universe = Q500US()

    # My factor  
    myfactor = BookToPrice()  
    # Returns  
    returns = Returns(inputs=[USEquityPricing.close], window_length=2)  
    universe = universe & myfactor.notnull()  
    # Factor Rank  
    myfactor_rank = myfactor.zscore(mask=universe)

    # Pipeline to return  
    return Pipeline(  
      columns={  
          'myfactor': myfactor,  
          'myfactor_rank': myfactor_rank,  
          'sector' : Sector()  
      },  
      screen  = (universe & tech)  
    )

results = run_pipeline(make_pipeline(), begin_period, end_period)  
results.fillna(value=0);

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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.