Back to Community
Filter pipeline based on first trading date

Hello.

I would like to add a condition on a simple AverageDollarVolume that a security must have started trading more than a year ago (252 days).
I was unable to do it with Custom Filter.

Could anyone help me ?

def my_pipeline(context):  
    pipe = Pipeline()  
    # Create a dollar volume factor.  
    dollar_volume = AverageDollarVolume(window_length=1)  
    pipe.add(dollar_volume, 'dollar_volume')  
    # Pick the top 1% of stocks ranked by dollar volume.  
    high_dollar_volume = dollar_volume.percentile_between(99, 100)  
    pipe.set_screen(high_dollar_volume)  
    return pipe  
1 response

Hi Maxime,

I've created a custom factor which should suit your purposes. Simply specify the window_length for the required age of the equity. I've also attached an example using it. It returns 1 for equities that are old enough and 0 for those that are not.

from quantopian.pipeline import Pipeline, CustomFactor  
from quantopian.pipeline.data.builtin import USEquityPricing  
import numpy as np

class OldEnough(CustomFactor):  
    inputs = [USEquityPricing.close]  
    def compute(self, today, assets, out, close):  
        out[:] = ~np.isnan(close[0])  
Clone Algorithm
11
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5762f9150c96050f852382a1
There was a runtime error.
Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.