def make_pipeline(): dollar_volume = AverageDollarVolume(window_length=30) is_liquid = dollar_volume.top(500) avg_sentiment = AvgSentiment(inputs=[sentdex.sentiment_signal], window_length=10) return Pipeline(columns={'sentiment': avg_sentiment}, screen=is_liquid)
def make_pipeline(): dollar_volume_pipe = AverageDollarVolume(window_length=20) is_liquid_pipe = dollar_volume_pipe.top(1000) impact = alphaone_free.impact_score.latest sentiment = alphaone_free.article_sentiment.latest return Pipeline(columns={ 'impact': impact, 'sentiment': sentiment }, screen=is_liquid_pipe)
def make_pipeline(): dollar_volume = AverageDollarVolume(window_length=20) is_liquid = dollar_volume.top(1000) # impact = alphaone_free.impact_score.latest # sentiment = alphaone_free.article.sentiment.latest # return Pipeline(column={'impact': impact, 'sentiment':sentiment}, screen=is_liquid) avg_sentiment = AvgSentiment(inputs=[sentdex.sentiment_signal], window_length=10) return Pipeline(columns={'sentiment': avg_sentiment}, screen=is_liquid)
def make_pipeline(): dollar_vol = AverageDollarVolume(window_length=20) is_liq = dollar_vol.top(1000) # impact = sentiment.sentiment_signal.latest sentiment_score = sentiment.sentiment_signal.latest return Pipeline( columns={ # 'impact': impact, 'sentiment': sentiment_score }, screen=is_liq )
def make_pipeline(): """ A function to create our dynamic stock selector (pipeline). Documentation on pipeline can be found here: https://www.quantopian.com/help#pipeline-title """ #symbol_filter = StaticSids([sid(43414)]) # exchange = Fundamentals.exchange_id.latest # nyse_filter = exchange.eq('NYS') dollar_volume = AverageDollarVolume(window_length=10) high_dollar_volume = dollar_volume.top(TOP_NUM_STOCKS_BY_DOLLAR_VOLUME) # volume_filter = VolumeFilter( # inputs=[USEquityPricing.volume], # window_length=1 # , # mask=nyse_filter # ) # is_setup = volume_filter & alpha_long_weekly & alpha_long_daily weekly_high = WeeklyHigh(inputs=[USEquityPricing.high], mask=high_dollar_volume) weekly_low = WeeklyLow(inputs=[USEquityPricing.low], mask=high_dollar_volume) weekly_gamma_filter = WeeklyGammaFilter(inputs=[ USEquityPricing.open, USEquityPricing.high, USEquityPricing.low, USEquityPricing.close ], mask=high_dollar_volume) # daily_classifier = DailyClassifier( # inputs=[ # USEquityPricing.open, # USEquityPricing.high, # USEquityPricing.low, # USEquityPricing.close # ], # mask=volume_filter # ) # monthly_high = MonthlyHigh( # inputs=[USEquityPricing.high], # mask=volume_filter # ) # monthly_low = MonthlyLow( # inputs=[USEquityPricing.low], # mask=volume_filter # ) # monthly_classifier = MonthlyClassifier( # inputs=[ # USEquityPricing.open, # USEquityPricing.high, # USEquityPricing.low, # USEquityPricing.close # ], # mask=volume_filter # ) current_inside_month_classifier = CurrentInsideMonthClassifier( inputs=[ USEquityPricing.open, USEquityPricing.high, USEquityPricing.low, USEquityPricing.close ], mask=high_dollar_volume) pipe = Pipeline( screen=(current_inside_month_classifier & weekly_gamma_filter), # screen = symbol_filter, columns={ # 'daily_classifier': daily_classifier, # 'daily_high': USEquityPricing.high.latest, # 'daily_low': USEquityPricing.low.latest, 'weekly_gamma_filter': weekly_gamma_filter, 'weekly_high': weekly_high, 'weekly_low': weekly_low }) return pipe