Notebook

Alpha Vertex Precog 500 Alpha Testing¶

In [1]:
# Import necessary libraries 
from quantopian.pipeline.data.alpha_vertex import precog_top_500 as precog
from quantopian.pipeline import Pipeline
from quantopian.research import run_pipeline
from quantopian.pipeline.filters.morningstar import Q1500US
In [2]:
dir(precog)
Out[2]:
[u'asof_date',
 'domain',
 u'name',
 'ndim',
 u'predicted_five_day_log_return',
 u'symbol']
In [3]:
def make_pipeline():
    
    # Define the universe
    universe = (Q1500US() & precog.predicted_five_day_log_return.latest.notnull())
    
    # Define the pipeline
    pipe = Pipeline(columns = {
        'prediction':precog.predicted_five_day_log_return.latest,
    },
                   screen = universe)
    
    return pipe
In [4]:
# Run pipeline
output = run_pipeline(make_pipeline(), start_date = '2012-06-09', end_date = '2017-06-09')
In [5]:
output
Out[5]:
prediction
2012-06-11 00:00:00+00:00 Equity(2 [ARNC]) 0.024
Equity(24 [AAPL]) 0.031
Equity(62 [ABT]) 0.035
Equity(67 [ADSK]) -0.015
Equity(76 [TAP]) 0.009
Equity(114 [ADBE]) 0.037
Equity(122 [ADI]) 0.051
Equity(128 [ADM]) 0.033
Equity(161 [AEP]) 0.043
Equity(166 [AES]) 0.035
Equity(168 [AET]) 0.021
Equity(185 [AFL]) 0.035
Equity(205 [AGN]) 0.027
Equity(216 [HES]) 0.107
Equity(239 [AIG]) -0.057
Equity(328 [ALTR]) 0.021
Equity(337 [AMAT]) 0.039
Equity(338 [BEAM]) 0.048
Equity(351 [AMD]) 0.077
Equity(353 [AME]) 0.044
Equity(357 [TWX]) 0.073
Equity(368 [AMGN]) 0.044
Equity(410 [AN]) 0.093
Equity(438 [AON]) 0.020
Equity(448 [APA]) 0.022
Equity(455 [APC]) -0.002
Equity(460 [APD]) 0.011
Equity(465 [APH]) 0.067
Equity(510 [ARG]) 0.035
Equity(559 [ASH]) -0.000
... ... ...
2017-06-09 00:00:00+00:00 Equity(39053 [CIT]) -0.010
Equity(39546 [LYB]) -0.019
Equity(39840 [TSLA]) -0.016
Equity(40755 [NLSN]) -0.025
Equity(40852 [KMI]) 0.062
Equity(41047 [HCA]) -0.038
Equity(41462 [MOS]) 0.029
Equity(41636 [MPC]) 0.026
Equity(41928 [FBHS]) -0.054
Equity(42023 [XYL]) 0.023
Equity(42173 [DLPH]) -0.112
Equity(42230 [TRIP]) -0.050
Equity(42270 [KORS]) 0.021
Equity(42788 [PSX]) 0.074
Equity(42950 [FB]) 0.005
Equity(43694 [ABBV]) -0.035
Equity(44060 [ZTS]) -0.001
Equity(44692 [Q]) -0.051
Equity(44917 [MNK]) -0.067
Equity(44931 [NWSA]) -0.057
Equity(45874 [ALLE]) 0.019
Equity(45971 [AAL]) -0.032
Equity(45993 [HLT]) -0.028
Equity(46782 [NAVI]) -0.088
Equity(47415 [SYF]) 0.088
Equity(47777 [CFG]) 0.014
Equity(48384 [QRVO]) -0.036
Equity(49242 [PYPL]) -0.025
Equity(49506 [HPE]) 0.383
Equity(49630 [CSRA]) 0.006

645914 rows × 1 columns