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Historical Fundamentals Data in Research

Hi all,

I am trying to measure the change in fundamentals from one quarter to another. Using the custom factors example laid out in the pipeline tutorial, I came up with the attached code but I get hit with the below error:

NonWindowSafeInput: Can't compute windowed expression gross_margin_change((Latest((operation_ratios.gross_margin::float64,), window_length=1),), window_length=1) with windowed input Latest((operation_ratios.gross_margin::float64,), window_length=1).

Any ideas on what is wrong with my code? I am a relatively inexperienced coder so I hope that this is a simple fix.

Thanks in advance!

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4 responses

My quick read from the error message is that you're using only a single days' worth of data from fundamentals by setting your window_length to 1. If you want to compare the data quarter over quarter, you'll need to have a longer window length.

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Thanks for the response Josh but I think it might be an issue deeper than that as I get the same error when even I set the window length to 150 (attached). Could it be an issue with my syntax? The error says that I am setting a window length of 1 then 150 (Latest((operation_ratios.gross_margin::float64,), window_length=1),), window_length=150 which makes me think that I am not specifying the timeframe correctly.

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Got this figured out. For anyone else who is looking for some simple syntax when pulling historicals, here you go:

class gross_margin_year(CustomFactor):

    inputs = [morningstar.operation_ratios.gross_margin]

    def compute(self, today, assets, out, inputs):  
        out[:] = inputs[-365]

def make_pipeline():  
    gm_1yr = gross_margin_year(window_length = 365)  

Hope that someone someday finds this useful!

Thanks, this was very helpful