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Fundamentals from a month ago

How could one access the P/E ratio of a stock as it was a month ago for use with Pipeline and the Optimize module?

2 responses

Hello Tim,

You can get historical values with the pipeline API using a custom factor to query a long enough window of data, and then indexing the data to return the first value on that window. If you haven't built a CustomFactor before, or would like to review some examples, I would recommend you checking out lesson 10 from the Pipeline tutorial.

Here is an example, assuming a month has 21 trading days:

class LastMonthPE( CustomFactor ):  
    inputs = [Fundamentals.pe_ratio]  
    window_length = 21

    def compute(self, today, assets, out, pe):  
        out[:] = pe[0]  

I hope this helps.


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Many thanks, Ernesto, that makes it perfectly clear!