from quantopian.pipeline import Pipeline
from quantopian.research import run_pipeline
from quantopian.pipeline.data.builtin import USEquityPricing
from quantopian.pipeline import CustomFactor
from quantopian.pipeline.filters import StaticAssets

import numpy as np
import alphalens

#import anything else as need be

#Momentum Custom Factor

class Momentum(CustomFactor):
    def compute(self, today, asset_ids, out, values):
        out[:] = values[-1] / values[0]

def make_pipeline():
    
    portfolio = (StaticAssets(symbols([
        'SPY',
        'VEU',
        'TLT',
    ])))
    #put alpha to test here
    moment = Momentum(inputs = [USEquityPricing.close], mask=portfolio, window_length = 252)
    
    #specify any filters here into universe. Make sure alphas have .notnull() in universe.
    universe = (moment.notnull())
    
    #Use print statements to make sure the BETTER one is ranked HIGHER. Eg Rank 150 is BETTER than rank 149.
    #first do it without ranking them, so you can ensure raw numbers make sense.
    testingFactor = moment.rank(method='average', 
                    ascending=True,
                    mask = universe)
    
    #Seperate into the desired quantiles, top X%, whatever you want here.
    longs = testingFactor.top(1)
    
    #if long and short strategy, specify which sections you would long/short. Returns a pipeline object.
    pipe = Pipeline(columns = {'testingFactor':testingFactor,
                              'Momentum': moment,
                              'long': longs},
                   screen = universe)
    
    return pipe

#Makes a dataframe with the given universe, ranked by the testing factor.
results = run_pipeline(make_pipeline(), start_date = '2008-04-01', end_date = '2009-01-01')

#print the results to make sure it fuckin worked. Print once without rankings to verify.
#results

#Gets each unique stock ticker and puts it in assets
assets = results.index.levels[1].unique()

#gets pricing data. Needs a month before and after. Dunno why.
pricing = get_pricing(assets, start_date='2008-03-01', end_date='2009-02-01', fields='open_price')