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Pipeline filter on ETF

Hi Guys,

I've been playing around with the Pipeline functionality in Research with an objective to build a momentum strategy solely for ETFs.

One area I seem to be struggling with is being able to filter out non ETF securities.

My approach so far has been to download about 1800 ETFs symbols from etfdb into a CSV and then join against the Pipeline results after the pipeline has been returned with data - which sounds ineffcient.

Also this approach hasn't worked so far as the symbol from morningstar.company_reference.primary_symbol returns 'None' for many of the ETFs - clearly I'm using the wrong field.

Any suggestions on correct approach to filter out before Pipeline returns the data and
on how to pull the Symbol out of Pipeline - for example the index has (2016-08-26 00:00:00+00:00 Equity(2 [AA])

I'm relatively new to Python and Quantopian - attached is the notebook!

Regards Stuart

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3 responses

Did you ever figure out how to make an etf only pipeline?

There are no morningstar fundamentals for ETFs. Have you tried screening for securities that lack morningstar fundamentals?

@Viridian are ETFs the only securities lacking morningstar fundamentals?