Correct guess! The error "ValueError: setting an array element with a sequence error" is because factors expect a numerical output and the growth grade is a string. The
growth_grade technically is a Classifier (see https://www.quantopian.com/docs/api-reference/pipeline-api-reference#zipline.pipeline.Classifier). The output is a string rather than a number.
However, this isn't a problem. Rather than creating a
CustomFactor one can create a
CustomClassifier. Very similar to the
Previous(CustomFactor) class created above. The only additional items which need to be specified for classifiers are the output datatype and a value to use for 'missing' data. Something like this should do it.
# Specify the lookback length in the window_length parameter. Default is 2.
window_length = 2
# Need to specify the output data type. In this case it's a string which to zipline is just an object
# Also need to specify what to use for a missing value
dtype = np.dtype('O')
missing_value = 'none'
def compute(self, today, assets, out, input_classifier):
out[:] = input_classifier
There's a bit more on
CustomClassifiers in this post https://www.quantopian.com/posts/custom-classifiers-possible
Attached is a notebook which shows it in action. Good luck!
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