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
