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First Pipeline Try Help on Pipeline creation

Hello,

I have two different ways that I followed from examples and reading the API and Tutorials. I am trying to create a pipeline that filters by average volume and price performance (returns) over the past couple days. Here is the first style I have that filters into boolean True statements and picks stocks that have the filter. I like this because it seems to change the stocks and pick them correctly, but I would like to also sort them by highest performance, etc. So could I still do that using this way? If not the next style I will show is factored into actual numerical values.

Clone Algorithm
7
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: 59b88e9966212150770335fe
There was a runtime error.
2 responses

Here is the second style of code I have written that I saw as an example in the API. It has factors that get added to the pipeline. However the filter doesn't seem to work right, and the stocks never really change from day to day so I'm not sure about that. Let me know which style you think is better.

Clone Algorithm
3
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: 59b88ee2a5e1cb5076f9492d
There was a runtime error.

Hi Chris,

For your first question, you can certainly choose stocks based on the filters you have defined while simultaneously sorting them based on performance. I attached a backtest where the pipeline uses factors, instead of the filters used in your version.

Keep in mind to differentiate these two for the future. In proper pipeline construction, it’s best practice to use your factors as columns and filters as derivatives of your factors. For example, your ‘returns_filter’, which filters your factor ‘returns’ relative to a threshold value of 0.1.

Before diving into your second question, I recommend always writing your pipeline logic in another function such as in make_pipeline() in your first example - that way modifying your pipeline and debugging becomes much easier as you add logic. The pipeline is returning the same set of securities because on line 23, if you switch the inequality to ‘returns > 0.1’ the pipeline output will match expectations. The way you have it now will prevent you from trading securities of higher returns.

For future direction, I would also suggest placing orders using the Optimize API as you continue to work on the algo.

Best,
Robert

Clone Algorithm
4
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: 59bc1ba3520fd95453f9e6fc
There was a runtime error.
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