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Filter pipeline based on first trading date


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)  
    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 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
Backtest from to with initial capital
Total Returns
Max Drawdown
Benchmark Returns
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.

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