def make_pipeline():
base_universe = QTradableStocksUS()
gross_margin = morningstar.operation_ratios.gross_margin.latest
roa = morningstar.operation_ratios.roa.latest
factor_to_analyze = gross_margin.zscore() + roa.zscore()
sector = Sector()
return Pipeline(columns={
'factor to analyze': factor_to_analyze,
'sector': sector
},
screen=base_universe & sector.notnull()
& factor_to_analyze.notnull())
def initialize(context):
# To set a custom benchmark the following function can be called:
# set_benchmark(symbol('IWV'))
# Otherwise the default benchmark will be used (SPY).
# Commission is set to be $0.005 per share and $1 per trade.
set_commission(
us_equities=commission.PerShare(cost=0.005, min_trade_cost=1))
# Exchange code of a firm.
exchange = mstar.share_class_reference.exchange_id.latest
# A filter rule is created that returns True only for
# the stocks from the exchanges listed.
my_exchanges = exchange.element_of(['NYSE', 'NYS', 'NAS', 'ASE'])
# Market capitalisation, sector code and momentum of a firm.
market_cap = MarketCap()
sector = Sector()
umd = Momentum()
# Defining total_equity, operating_income and interest_expense as
# corresponding values in the latest income statement and balance sheet.
total_equity = mstar.balance_sheet.total_equity.latest
operating_income = mstar.income_statement.operating_income.latest
interest_expense = mstar.income_statement.interest_expense.latest
# The trading universe is defined as QTradableStocksUS that falls into
# my_exchanges and has data for umd, total_equity, operating_income,
# interest_expense, market_cap and sector.
universe_exchange = QTradableStocksUS() & umd.notnull(
) & my_exchanges & total_equity.notnull() & market_cap.notnull(
) & sector.notnull() & operating_income.notnull(
) & interest_expense.notnull()
# Small and large market cap groups specified as percentile.
small = (MarketCap(mask=universe_exchange).percentile_between(0, 50))
large = (MarketCap(mask=universe_exchange).percentile_between(50, 100))
# Create a filter that returns True for the assets in the universe
# that belong to the given sector(s).
sec = mstar.asset_classification.morningstar_sector_code.latest
my_sec = sec.element_of([101])
# Here the universe redefined as universe_exchange that belongs
# to the sector(s) in 'my_sec' and falls into either
# small or large market cap group as defined above.
# my_sec should be uncommented in case if a speficic sector is wanted.
'''
Here are the sector codes that might be used:
-1: 'Misc',
101: 'Basic Materials',
102: 'Consumer Cyclical',
103: 'Financial Services',
104: 'Real Estate',
205: 'Consumer Defensive',
206: 'Healthcare',
207: 'Utilities',
308: 'Communication Services',
309: 'Energy',
310: 'Industrials',
311: 'Technology' ,
'''
universe = universe_exchange & small #& my_sec
# Book to market is defined as total_equity divided by the market_cap.
# The value is normalised and ranked in an ascending order.
bm = total_equity / market_cap
bm_weights = bm.rank(ascending=True, mask=universe)
# Operating profitability ratio is defined as operating_income subtracted
# interest_expense divided by the total_equity.
# The value is normalised and ranked in an ascending order.
op = (operating_income - interest_expense) / total_equity
op_weights = op.rank(ascending=True, mask=universe)
# Price momentum values are ranked and normalised in an ascending order.
umd_weights = umd.rank(ascending=True, mask=universe)
# A class JoinFactors is defined that is used to combine the normalised
# scores of the factors defined above.
class JoinFactors(CustomFactor):
#inputs = [factor1, factor2, ...] There can be multiple inputs.
window_length = 1
def compute(self, today, assets, out, *inputs):
array = np.concatenate(inputs, axis=0)
out[:] = np.nansum(array, axis=0)
out[np.all(np.isnan(array), axis=0)] = np.nan
# window_safe declares that scores of the factors are robust to
# pricing adjustments from splits or dividends. In other words,
# the value that will be the same no matter what day you are
# looking back from. This is a required step in order to
# use them as the input to JoinFactors.
bm_weights.window_safe = True
op_weights.window_safe = True
umd_weights.window_safe = True
# The weights of the combined factor. 1, 2, 3 or more factors can be used.
final_weights = JoinFactors(inputs=[bm_weights, op_weights, umd_weights],
mask=universe)
universe = final_weights.notnan()
# The Pipeline object filled with the data defined above is returned.
pipe = Pipeline(
columns={
'bm_weights': bm_weights,
'op_weights': op_weights,
'umd_weights': umd_weights,
'alpha': final_weights,
'exchange': exchange,
'market_cap': market_cap,
'sector': sector,
},
# Screen out all the data points outside the trading universe.
screen=universe)
# The function attach_pipeline is called
# to load the data in defined in the pipeline.
algo.attach_pipeline(pipe, 'pipe')
# Schedule a function, 'do_portfolio_construction', to run once a month
# ten minutes after market is open.
algo.schedule_function(
do_portfolio_construction,
date_rule=algo.date_rules.month_start(),
time_rule=algo.time_rules.market_open(minutes=MINUTES_AFTER_MARKET),
half_days=False,
)