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Help on CustomFactor (SigmaSpike)

Hi all,

I am new to both Quantopian and programming, I am trying to create a 'SigmaSpike' CustomFactor for screening purpose via pipeline where:

SigmaSpike = today's return / yesterday's stdev ( based on daily returns over a 20 day window)

Here is my code excerpt which gives the following error:
AttributeError: 'NoneType' object has no attribute 'domain'

class SigmaSpikes(CustomFactor):  
    inputs = [USEquityPricing.close]  
    window_length = 22  
    def compute(self, today, asset_ids, close):  
        rturn = close.pct_change[1:]  
        ytd_std = np.std(rturn[-2:], ddof = 1)  
        out[:] = rturn[-1] / ytd_std  

Would appreciate if I can be guided on this. Thanks in advance!

4 responses

It seems your 'compute' function has the wrong number of parameters. Instead of this

def compute(self, today, asset_ids, close):  

it should be this. Note the 'out' parameter:

def compute(self, today, asset_ids, out, close):

That may do it?

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@Dan. Thanks for the quick response. Still facing the same error. Is it something to do with the rational of my factor?

Full code :

class SigmaSpikes(CustomFactor):  
    inputs = [USEquityPricing.close]  
    window_length = 22  
    def compute(self, today, asset_ids, out, close):  
        rturn = close.pct_change[1:]  
        ytd_std = np.std(rturn[-2:], ddof = 1)  
        out[:] = rturn[-1] / ytd_std  

def make_pipeline():  
    sigma_spike = SigmaSpikes()  
    sigma_filter = sigma_spike > 2.0 or sigma_spike < -2.0  
    pipe = Pipeline(  
        columns = {  
            'Last Price' : USEquityPricing.close.latest,  
            'Sigma Value' : sigma_filter  
        },  
    )  
result = run_pipeline(make_pipeline(), '2019-07-18', '2019-07-18')  
result.head()  

Try this:

Loading notebook preview...
Notebook previews are currently unavailable.

@Vladimir. Thank you so much!