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Custom Factors and out variable - Local variable 'out' is assigned to but never used

Hello,
I have created a custom factor but when I run algorithm the IDE complains that out variable is never used although I am returning correct data type and dimension.

class EfficiencyRatio(CustomFactor):  
    inputs = [USEquityPricing.close]  
    window_length = 10  
    def compute(self, today, assets, out, close):  
           er = efficiencyRatio(close)  
           print("ER type and dim: ", type(er), er.ndim)  
           out = er

2011-01-04PRINT('er type and dim: type numpy.ndarray, 1)

Can anyone see what is wrong?

5 responses

Hi Can,

All you need to to is change out --> out[:], that should do it!

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Thanks!

Is this Kaufman' ER? If so you are presamably using True Range not close? Are you having to use loops or have you found a way to vectorize? I have just make a custom factor for a 252 Efficiency Ratio but am going to have to re- think it. It works as it should but the looping is incredibly computationally expensive.

Blast.... Can't edit a post for typos on an android.

Hi Anthony,
Yes, I am using the Kaufman ER. Right now I have not done any optimizations. I am learning the Quantopian framework and have a couple of ideas I want to test with ER. I am looping through the np.array for now but I don't think it's that hard to vectorize if needed, also using close not true range. I read somewhere that the before_trading method has about 30 mins to execute code so for now I don't see any problems but that may change.