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Custom Factor Question

how can I would like to create a custom factor, which calculates the value of a certain percentile for me:

class Quantile_today(CustomFactor):  
    def compute(self, today, assets, out, values,quantile):  
        out[:] = np.percentile(values[-1],quantile)  

I then tried to pass into that Custom factor the following value:

def Q_today():

    return Quantile_today(inputs=[Fundamentals.pe_ratio,50])  

I then get an attribute error:

AttributeError: 'NoneType' object has no attribute 'format'

I would have expected to get the median value of each time stamp across all stocks that were present at that time stamp.
How can I create a custom factor and pass in other inputs, such as which percentile I want? Obviously this is a simplified example to get my point across and in the end I would like to build a more elaborate custom factor.

2 responses

One can pass custom parameters to custom factors by specifying 'param`. Something like this

class ParamTest(CustomFactor):  
    Simple factor which multiplies the input by a fixed input value  
    inputs = [USEquityPricing.close]  
    window_length = 1

    # The following creates a named input parameter  
    # Notice the comma -that's required  
    params = ('param1', )

    def compute(self, today, assets, out, values, param1,):  
        out[:] = param1 * values

my_doubled_price = ParamTest(param1=2)

See the attached notebook for some custom factors which may do what you want. I'd also maybe look at the built in factors for zscore and demean. Those may be something similar.

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Thank you Dan!