def compute_factors():
"""Create factor pipeline incl. mean reversion,
filtered by 30d Dollar Volume; capture factor ranks"""
mean_reversion = MeanReversion()
dollar_volume = AverageDollarVolume(window_length=30)
return Pipeline(columns={'longs' : mean_reversion.bottom(N_LONGS),
'shorts' : mean_reversion.top(N_SHORTS),
'ranking': mean_reversion.rank(ascending=False)},
screen=dollar_volume.top(VOL_SCREEN))
def make_pipeline():
"""Sets up the pipeline"""
dollar_volume = AverageDollarVolume(window_length=20)
adv1000 = dollar_volume.top(1000)
fd = Fundamentals(mask=adv1000)
market_cap = fd.cshoq * fd.prccq # this is how to calculate market cap with Computstat fields
book_equity = fd.seqq - fd.PS # this is a quick way to calculate book_equity
book_to_price = book_equity / market_cap
biggest = market_cap.top(500, mask=adv1000)
smallest = market_cap.bottom(500, mask=adv1000)
highpb = book_to_price.top(500, mask=adv1000)
lowpb = book_to_price.bottom(500, mask=adv1000)
momentum = Momentum(mask=adv1000) # momentum
high_momentum = momentum.top(500, mask=adv1000)
low_momentum = momentum.bottom(500, mask=adv1000)
volatility = Volatility(mask=adv1000)
highvol = volatility.top(500, mask=adv1000)
lowvol = volatility.bottom(500, mask=adv1000)
streversal = RSI(window_length=14, mask=adv1000)
high_streversal = streversal.top(500, mask=adv1000)
low_streversal = streversal.bottom(500, mask=adv1000)
universe = biggest | smallest | highpb | lowpb | low_momentum | high_momentum
return Pipeline(
columns={
'returns': Returns(window_length=2),
# 'market_cap': market_cap, # not needed
# 'book_to_price': book_to_price, # not needed
'biggest': biggest,
'smallest': smallest,
'highpb': highpb,
'lowpb': lowpb,
# 'momentum': momentum, # not needed
'low_momentum': low_momentum,
'high_momentum': high_momentum,
# 'volatility': volatility, # not needed
'highvol': highvol,
'lowvol': lowvol,
# 'streversal': streversal, # not needed
'high_streversal': high_streversal,
'low_streversal': low_streversal
},
screen=universe)
def make_universe():
# Set screen
dollar_volume = AverageDollarVolume(window_length=90)
return dollar_volume.top(UNIVERSE)
