Notebook
In [1]:
from quantopian.pipeline import Pipeline
from quantopian.pipeline import CustomFactor
from quantopian.research import run_pipeline
from quantopian.pipeline.data.builtin import USEquityPricing
from quantopian.pipeline.filters import Q500US, Q1500US
from quantopian.pipeline.factors.morningstar import MarketCap
  
import pandas as pd
import numpy as np
In [2]:
# the "helper" function
## Global mutable state
recursionStarted = False
previousResult = 0.0
periodN=5

def array_recursive_function (priceArray, periodN):
    global recursionStarted
    global previousResult
    if not recursionStarted:
        initialResult = priceArray[0]
        previousResult = initialResult
        recursionStarted = True
    # else if recursionStarted
    k = 2.0 / (periodN + 1) # Using EMA here as an example only.
    result = (k* priceArray[-1]) + (1-k)* previousResult
    previousResult = result
    return result

arrX=np.array(range(10))
print(arrX)
Z=array_recursive_function (arrX, periodN)
print(Z)

[0 1 2 3 4 5 6 7 8 9]
3.0
In [3]:
## Global mutable state
recursionStarted = False
previousResult = 0.0

periodN=5


def my_recursive_function (priceArray, periodN):
    global recursionStarted
    global previousResult
    if not recursionStarted:
        initialResult = priceArray[0]
        previousResult = initialResult
        recursionStarted = True
    # else if recursionStarted
    k = 2.0 / (periodN + 1) # Using EMA here as an example only.
    result = (k* priceArray[-1]) + (1-k)* previousResult
    previousResult = result
    
    # Reset recursive filter for next asset computation
    recursionStarted = False
    previousResult = 0.0

    return result

# the main "class" function as required in Q algos
class deltaClosePct_vsRecursivePrice (CustomFactor):
    inputs= [USEquityPricing.close]
    window_length = 66
    global Nbars
    Nbars = 21
    def compute(self, today, assets, out, close):
        #close_values = close[-self.window_length-1:]
        for i,a in enumerate(assets):
            #print(close.shape)
            functionVal = my_recursive_function(close[:,i], Nbars)
            print("i=",i, "asset=",a, " functionVal=", functionVal)
            out[i] = 100*((close[-1][i]/functionVal) -1) # calculating % difference between closing price and the "filter function" value (here EMA).
In [7]:
start = '2016-01-01'
end   = '2016-03-01'
In [8]:
q500=Q500US()
mktcap = MarketCap()
mktcap_10 = mktcap.top(10) & q500

recursive = deltaClosePct_vsRecursivePrice(mask=mktcap_10)

pipe = Pipeline(
        columns={
            'recursive' : recursive
        },
        screen = mktcap_10
    )

myPipe=run_pipeline(pipe, start_date=start, end_date=end).dropna()

('i=', 0, 'asset=', 24, ' functionVal=', 108.28926563396442)
('i=', 1, 'asset=', 3149, ' functionVal=', 24.991565314324269)
('i=', 2, 'asset=', 5061, ' functionVal=', 44.267394722825756)
('i=', 3, 'asset=', 8347, ' functionVal=', 72.848531269842965)
('i=', 4, 'asset=', 11100, ' functionVal=', 129.05909090909091)
('i=', 5, 'asset=', 16841, ' functionVal=', 512.45818181818174)
('i=', 6, 'asset=', 26578, ' functionVal=', 636.73636363636365)
('i=', 7, 'asset=', 42950, ' functionVal=', 88.295454545454547)
('i=', 0, 'asset=', 24, ' functionVal=', 109.41177273099821)
('i=', 1, 'asset=', 3149, ' functionVal=', 25.541725189943971)
('i=', 2, 'asset=', 5061, ' functionVal=', 44.95688788752399)
('i=', 3, 'asset=', 8347, ' functionVal=', 73.967487327399724)
('i=', 4, 'asset=', 11100, ' functionVal=', 129.93636363636364)
('i=', 5, 'asset=', 16841, ' functionVal=', 523.11181818181819)
('i=', 6, 'asset=', 26578, ' functionVal=', 648.04636363636359)
('i=', 7, 'asset=', 42950, ' functionVal=', 91.009090909090915)
('i=', 0, 'asset=', 24, ' functionVal=', 108.52092600457489)
('i=', 1, 'asset=', 3149, ' functionVal=', 25.516473055824459)
('i=', 2, 'asset=', 5061, ' functionVal=', 45.287545547542756)
('i=', 3, 'asset=', 8347, ' functionVal=', 73.846331349483933)
('i=', 4, 'asset=', 11100, ' functionVal=', 129.96818181818182)
('i=', 5, 'asset=', 16841, ' functionVal=', 530.99909090909091)
('i=', 6, 'asset=', 26578, ' functionVal=', 652.86545454545455)
('i=', 7, 'asset=', 42950, ' functionVal=', 92.011818181818185)
('i=', 0, 'asset=', 24, ' functionVal=', 108.98181147595949)
('i=', 1, 'asset=', 3149, ' functionVal=', 25.742630760655928)
('i=', 2, 'asset=', 5061, ' functionVal=', 46.065792844280239)
('i=', 3, 'asset=', 8347, ' functionVal=', 75.430214384881126)
('i=', 4, 'asset=', 11100, ' functionVal=', 129.98363636363635)
('i=', 5, 'asset=', 16841, ' functionVal=', 541.63727272727272)
('i=', 6, 'asset=', 26578, ' functionVal=', 666.26363636363635)
('i=', 7, 'asset=', 42950, ' functionVal=', 93.050909090909087)
('i=', 0, 'asset=', 24, ' functionVal=', 109.04718570012889)
('i=', 1, 'asset=', 3149, ' functionVal=', 26.854363871043446)
('i=', 2, 'asset=', 5061, ' functionVal=', 46.852522340488491)
('i=', 3, 'asset=', 8347, ' functionVal=', 76.129507194593032)
('i=', 4, 'asset=', 11100, ' functionVal=', 132.08818181818182)
('i=', 5, 'asset=', 16841, ' functionVal=', 549.51272727272737)
('i=', 6, 'asset=', 26578, ' functionVal=', 678.0545454545454)
('i=', 7, 'asset=', 42950, ' functionVal=', 94.356363636363639)
('i=', 0, 'asset=', 24, ' functionVal=', 109.58505472725781)
('i=', 1, 'asset=', 3149, ' functionVal=', 27.210418610108832)
('i=', 2, 'asset=', 5061, ' functionVal=', 46.982640108891381)
('i=', 3, 'asset=', 8347, ' functionVal=', 76.984422872025576)
('i=', 4, 'asset=', 11100, ' functionVal=', 130.92454545454544)
('i=', 5, 'asset=', 16841, ' functionVal=', 543.82090909090914)
('i=', 6, 'asset=', 26578, ' functionVal=', 676.90181818181804)
('i=', 7, 'asset=', 42950, ' functionVal=', 93.139090909090896)
('i=', 0, 'asset=', 24, ' functionVal=', 109.22809479103798)
('i=', 1, 'asset=', 3149, ' functionVal=', 27.63822406054739)
('i=', 2, 'asset=', 5061, ' functionVal=', 47.006093859641709)
('i=', 3, 'asset=', 8347, ' functionVal=', 78.07503998191936)
('i=', 4, 'asset=', 11100, ' functionVal=', 132.27172727272728)
('i=', 5, 'asset=', 16841, ' functionVal=', 548.80909090909097)
('i=', 6, 'asset=', 26578, ' functionVal=', 675.74272727272728)
('i=', 7, 'asset=', 42950, ' functionVal=', 92.86363636363636)
('i=', 0, 'asset=', 24, ' functionVal=', 108.21119721930393)
('i=', 1, 'asset=', 3149, ' functionVal=', 27.886402358532077)
('i=', 2, 'asset=', 5061, ' functionVal=', 47.644803648876)
('i=', 3, 'asset=', 8347, ' functionVal=', 78.965791835724346)
('i=', 4, 'asset=', 11100, ' functionVal=', 133.30809090909091)
('i=', 5, 'asset=', 16841, ' functionVal=', 540.82636363636357)
('i=', 6, 'asset=', 26578, ' functionVal=', 674.11272727272728)
('i=', 7, 'asset=', 42950, ' functionVal=', 93.097272727272724)
('i=', 0, 'asset=', 24, ' functionVal=', 110.33926660258845)
('i=', 1, 'asset=', 3149, ' functionVal=', 27.887041567661125)
('i=', 2, 'asset=', 5061, ' functionVal=', 47.236873261584499)
('i=', 3, 'asset=', 8347, ' functionVal=', 78.311841320748627)
('i=', 4, 'asset=', 11100, ' functionVal=', 132.3681818181818)
('i=', 5, 'asset=', 16841, ' functionVal=', 543.54454545454553)
('i=', 6, 'asset=', 26578, ' functionVal=', 675.59727272727275)
('i=', 7, 'asset=', 42950, ' functionVal=', 93.431818181818173)
('i=', 0, 'asset=', 24, ' functionVal=', 110.06037224966656)
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('i=', 0, 'asset=', 24, ' functionVal=', 110.02955860547942)
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('i=', 3, 'asset=', 5061, ' functionVal=', 46.966455111892664)
('i=', 4, 'asset=', 8347, ' functionVal=', 78.392626968154374)
('i=', 5, 'asset=', 11100, ' functionVal=', 131.62145454545455)
('i=', 6, 'asset=', 26578, ' functionVal=', 685.61363636363637)
('i=', 7, 'asset=', 42950, ' functionVal=', 94.208181818181814)
('i=', 0, 'asset=', 24, ' functionVal=', 108.55117359977945)
('i=', 1, 'asset=', 3149, ' functionVal=', 27.484758133122121)
('i=', 2, 'asset=', 4151, ' functionVal=', 94.189123376623357)
('i=', 3, 'asset=', 5061, ' functionVal=', 46.747672531132956)
('i=', 4, 'asset=', 8347, ' functionVal=', 79.19378283844722)
('i=', 5, 'asset=', 11100, ' functionVal=', 130.91818181818184)
('i=', 6, 'asset=', 26578, ' functionVal=', 683.93818181818187)
('i=', 7, 'asset=', 42950, ' functionVal=', 94.178181818181812)
('i=', 0, 'asset=', 24, ' functionVal=', 110.05841704480258)
('i=', 1, 'asset=', 3149, ' functionVal=', 27.819197101704361)
('i=', 2, 'asset=', 5061, ' functionVal=', 47.048512804037777)
('i=', 3, 'asset=', 8347, ' functionVal=', 80.102424637041665)
('i=', 4, 'asset=', 11100, ' functionVal=', 132.97727272727272)
('i=', 5, 'asset=', 16841, ' functionVal=', 563.34454545454548)
('i=', 6, 'asset=', 26578, ' functionVal=', 695.56909090909096)
('i=', 7, 'asset=', 42950, ' functionVal=', 95.806363636363642)
('i=', 0, 'asset=', 24, ' functionVal=', 109.25076253064204)
('i=', 1, 'asset=', 3149, ' functionVal=', 28.738174484437792)
('i=', 2, 'asset=', 5061, ' functionVal=', 47.479953839520462)
('i=', 3, 'asset=', 8347, ' functionVal=', 81.058440220842257)
('i=', 4, 'asset=', 11100, ' functionVal=', 133.05363636363637)
('i=', 5, 'asset=', 16841, ' functionVal=', 571.14090909090908)
('i=', 6, 'asset=', 26578, ' functionVal=', 697.65181818181827)
('i=', 7, 'asset=', 42950, ' functionVal=', 97.233636363636364)
('i=', 0, 'asset=', 24, ' functionVal=', 110.35982982020846)
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('i=', 5, 'asset=', 11100, ' functionVal=', 134.14727272727271)
('i=', 6, 'asset=', 26578, ' functionVal=', 754.55909090909086)
('i=', 7, 'asset=', 42950, ' functionVal=', 107.32545454545455)
('i=', 0, 'asset=', 24, ' functionVal=', 113.90390039066186)
('i=', 1, 'asset=', 3149, ' functionVal=', 30.320475813312214)
('i=', 2, 'asset=', 4151, ' functionVal=', 101.23146423248882)
('i=', 3, 'asset=', 5061, ' functionVal=', 52.866250381385207)
('i=', 4, 'asset=', 8347, ' functionVal=', 80.967557804924482)
('i=', 5, 'asset=', 11100, ' functionVal=', 134.56181818181818)
('i=', 6, 'asset=', 26578, ' functionVal=', 762.36454545454546)
('i=', 7, 'asset=', 42950, ' functionVal=', 108.66363636363636)
('i=', 0, 'asset=', 24, ' functionVal=', 113.40026138486799)
('i=', 1, 'asset=', 3149, ' functionVal=', 29.840280442371441)
('i=', 2, 'asset=', 4151, ' functionVal=', 99.242618343614993)
('i=', 3, 'asset=', 5061, ' functionVal=', 52.549474326340842)
('i=', 4, 'asset=', 8347, ' functionVal=', 79.026449405994924)
('i=', 5, 'asset=', 11100, ' functionVal=', 132.61363636363637)
('i=', 6, 'asset=', 26578, ' functionVal=', 752.98363636363638)
('i=', 7, 'asset=', 42950, ' functionVal=', 107.60636363636362)
('i=', 0, 'asset=', 24, ' functionVal=', 110.29699379092985)
('i=', 1, 'asset=', 3149, ' functionVal=', 29.951676053859014)
('i=', 2, 'asset=', 4151, ' functionVal=', 98.989038118746777)
('i=', 3, 'asset=', 5061, ' functionVal=', 52.084576923962274)
('i=', 4, 'asset=', 8347, ' functionVal=', 77.841784366637171)
('i=', 5, 'asset=', 11100, ' functionVal=', 131.91899999999998)
('i=', 6, 'asset=', 26578, ' functionVal=', 738.22818181818184)
('i=', 7, 'asset=', 42950, ' functionVal=', 103.9790909090909)
('i=', 0, 'asset=', 24, ' functionVal=', 112.04791609262649)
('i=', 1, 'asset=', 3149, ' functionVal=', 30.076001349408902)
('i=', 2, 'asset=', 4151, ' functionVal=', 100.20025977871566)
('i=', 3, 'asset=', 5061, ' functionVal=', 52.989355535553557)
('i=', 4, 'asset=', 8347, ' functionVal=', 80.363361251385641)
('i=', 5, 'asset=', 11100, ' functionVal=', 133.1809090909091)
('i=', 6, 'asset=', 26578, ' functionVal=', 748.49727272727273)
('i=', 7, 'asset=', 42950, ' functionVal=', 104.32363636363635)
('i=', 0, 'asset=', 24, ' functionVal=', 111.38678222960348)
('i=', 1, 'asset=', 3149, ' functionVal=', 30.006406172078972)
('i=', 2, 'asset=', 4151, ' functionVal=', 100.40904282860274)
('i=', 3, 'asset=', 5061, ' functionVal=', 52.473018901890192)
('i=', 4, 'asset=', 8347, ' functionVal=', 79.412862869363664)
('i=', 5, 'asset=', 11100, ' functionVal=', 132.92727272727274)
('i=', 6, 'asset=', 26578, ' functionVal=', 743.37727272727273)
('i=', 7, 'asset=', 42950, ' functionVal=', 105.18727272727273)
('i=', 0, 'asset=', 24, ' functionVal=', 114.77906845075206)
('i=', 1, 'asset=', 3149, ' functionVal=', 29.913746107352534)
('i=', 2, 'asset=', 4151, ' functionVal=', 101.50860023635538)
('i=', 3, 'asset=', 5061, ' functionVal=', 53.26517281728173)
('i=', 4, 'asset=', 8347, ' functionVal=', 80.145496422533)
('i=', 5, 'asset=', 11100, ' functionVal=', 135.72181818181815)
('i=', 6, 'asset=', 26578, ' functionVal=', 756.27181818181816)
('i=', 7, 'asset=', 42950, ' functionVal=', 107.68909090909091)
('i=', 0, 'asset=', 24, ' functionVal=', 116.19534451846678)
('i=', 1, 'asset=', 3149, ' functionVal=', 29.78198383779613)
('i=', 2, 'asset=', 4151, ' functionVal=', 101.48719893232847)
('i=', 3, 'asset=', 5061, ' functionVal=', 53.423161116111601)
('i=', 4, 'asset=', 8347, ' functionVal=', 79.801820197292528)
('i=', 5, 'asset=', 11100, ' functionVal=', 136.23090909090908)
('i=', 6, 'asset=', 26578, ' functionVal=', 756.83545454545447)
('i=', 7, 'asset=', 42950, ' functionVal=', 106.42454545454547)
('i=', 0, 'asset=', 24, ' functionVal=', 116.6782474946685)
('i=', 1, 'asset=', 3149, ' functionVal=', 30.135786695407848)
('i=', 2, 'asset=', 4151, ' functionVal=', 102.08248861673732)
('i=', 3, 'asset=', 5061, ' functionVal=', 53.565242124212418)
('i=', 4, 'asset=', 8347, ' functionVal=', 79.295243256558678)
('i=', 5, 'asset=', 11100, ' functionVal=', 136.19636363636363)
('i=', 6, 'asset=', 26578, ' functionVal=', 772.25090909090909)
('i=', 7, 'asset=', 42950, ' functionVal=', 107.38181818181818)
('i=', 0, 'asset=', 24, ' functionVal=', 115.25403495196933)
('i=', 1, 'asset=', 3149, ' functionVal=', 29.986825833991091)
('i=', 2, 'asset=', 4151, ' functionVal=', 102.31130423405034)
('i=', 3, 'asset=', 5061, ' functionVal=', 53.518878487848781)
('i=', 4, 'asset=', 8347, ' functionVal=', 79.620992845065999)
('i=', 5, 'asset=', 11100, ' functionVal=', 135.81636363636363)
('i=', 6, 'asset=', 26578, ' functionVal=', 771.1481818181818)
('i=', 7, 'asset=', 42950, ' functionVal=', 106.93000000000001)
In [10]:
myPipe
Out[10]:
recursive
2016-01-04 00:00:00+00:00 Equity(24 [AAPL]) -2.825087
Equity(3149 [GE]) 24.562026
Equity(5061 [MSFT]) 25.261494
Equity(8347 [XOM]) 6.989117
Equity(11100 [BRK_B]) 2.239989
Equity(16841 [AMZN]) 31.979550
Equity(26578 [GOOG_L]) 22.185577
Equity(42950 [FB]) 18.522523
2016-01-05 00:00:00+00:00 Equity(24 [AAPL]) -3.730652
Equity(3149 [GE]) 20.312938
Equity(5061 [MSFT]) 21.872315
Equity(8347 [XOM]) 4.721686
Equity(11100 [BRK_B]) 0.741622
Equity(16841 [AMZN]) 21.719674
Equity(26578 [GOOG_L]) 17.184517
Equity(42950 [FB]) 12.296474
2016-01-06 00:00:00+00:00 Equity(24 [AAPL]) -5.363874
Equity(3149 [GE]) 20.510385
Equity(5061 [MSFT]) 21.556599
Equity(8347 [XOM]) 5.773704
Equity(11100 [BRK_B]) 0.986255
Equity(16841 [AMZN]) 19.358020
Equity(26578 [GOOG_L]) 16.642716
Equity(42950 [FB]) 11.648701
2016-01-07 00:00:00+00:00 Equity(24 [AAPL]) -7.599260
Equity(3149 [GE]) 17.548204
Equity(5061 [MSFT]) 17.386452
Equity(8347 [XOM]) 2.730717
Equity(11100 [BRK_B]) 1.105034
Equity(16841 [AMZN]) 16.832802
... ... ...
2016-02-25 00:00:00+00:00 Equity(4151 [JNJ]) 3.380403
Equity(5061 [MSFT]) -3.586157
Equity(8347 [XOM]) 1.640147
Equity(11100 [BRK_B]) -3.523249
Equity(26578 [GOOG_L]) -4.678453
Equity(42950 [FB]) -0.751321
2016-02-26 00:00:00+00:00 Equity(24 [AAPL]) -16.726440
Equity(3149 [GE]) -1.819838
Equity(4151 [JNJ]) 4.821102
Equity(5061 [MSFT]) -2.476756
Equity(8347 [XOM]) 2.804673
Equity(11100 [BRK_B]) -2.929518
Equity(26578 [GOOG_L]) -3.665982
Equity(42950 [FB]) 1.546123
2016-02-29 00:00:00+00:00 Equity(24 [AAPL]) -16.951101
Equity(3149 [GE]) -2.474754
Equity(4151 [JNJ]) 3.622082
Equity(5061 [MSFT]) -4.266278
Equity(8347 [XOM]) 3.057884
Equity(11100 [BRK_B]) -3.183906
Equity(26578 [GOOG_L]) -6.136724
Equity(42950 [FB]) 0.482560
2016-03-01 00:00:00+00:00 Equity(24 [AAPL]) -16.141765
Equity(3149 [GE]) -2.857341
Equity(4151 [JNJ]) 2.745245
Equity(5061 [MSFT]) -5.136278
Equity(8347 [XOM]) 0.664407
Equity(11100 [BRK_B]) -1.352093
Equity(26578 [GOOG_L]) -6.991935
Equity(42950 [FB]) 0.000000

320 rows × 1 columns