def initialize(context): pipeline = attach_pipeline(Pipeline(), 'test') vwap = VWAP(window_length=10) pipeline.add(vwap, 'vwap') # Nothing should have prices less than 0. pipeline.set_screen(vwap < 0)
def initialize(context): pipeline = Pipeline() context.vwaps = [] for length in vwaps: name = vwap_key(length) factor = VWAP(window_length=length) context.vwaps.append(factor) pipeline.add(factor, name=name) filter_ = (USEquityPricing.close.latest > 300) pipeline.add(filter_, 'filter') if set_screen: pipeline.set_screen(filter_) attach_pipeline(pipeline, 'test')