from quantopian.pipeline import Pipeline
from quantopian.research import run_pipeline
from quantopian.pipeline.data import Fundamentals, USEquityPricing
from quantopian.pipeline.filters import Q500US, Q1500US, Q3000US, QTradableStocksUS
from quantopian.pipeline.factors import SimpleMovingAverage
from quantopian.pipeline.classifiers.fundamentals import Sector
from time import time
# Import Alphalens
import alphalens as al

# Specify a time range to evaluate
period_start = '2004-01-01'
period_end = '2008-06-06'


sec_codes = (
        (Fundamentals.morningstar_sector_code.latest != 103) &
        (Fundamentals.morningstar_sector_code.latest != 207)
    )
    

# Pipeline definition
def  make_pipeline():
    
    ####
    #Value
    #masks
    base_universe = QTradableStocksUS() 
    combo_mask = base_universe & sec_codes
    combo_mask &= (Fundamentals.market_cap.latest > 50000000)
    combo_mask &= (Fundamentals.pe_ratio.latest > 5)
    #combo_mask &= (Fundamentals.pe_ratio.latest < 60)
    
    #values
    roic = Fundamentals.roic.latest
    pb_ratio = Fundamentals.pb_ratio.latest
    earnings_yield = Fundamentals.ebit.latest/Fundamentals.enterprise_value.latest
    
       
    #ranking
    earnings_yield_rank =  earnings_yield.rank()
    roic_rank =  roic.rank()
    pb_ratio_rank = pb_ratio.rank(ascending=False)
    value_total = earnings_yield_rank + roic_rank + pb_ratio_rank
        
    return Pipeline(
        columns={
            'value_total': value_total
        },
        # Set screen as the inte.rsection between our filter
        # and trading universe
        screen=(
            combo_mask
        )
    )

# Execute pipeline over evaluation period
pipeline_output = run_pipeline(
    make_pipeline(),
    start_date=period_start,
    end_date=period_end
)
pricing_data = get_pricing(pipeline_output.index.levels[1], period_start, period_end, fields='open_price')

merged_data = al.utils.get_clean_factor_and_forward_returns(
  factor=pipeline_output["value_total"], 
  prices=pricing_data, periods = [22, 126, 252] ###what do i put for periods when i want to test out to a year?
)

al.tears.create_returns_tear_sheet(merged_data, long_short=False)