I've attached a version of your algorithm where
pipe_output only keeps 100 "long" stocks and 100 "short" stocks. However, the version I wrote simply keeps the first 100 (by name) of each type; you'll probably want to find a less arbitrary way to decide which 200 stocks to trade!
Note: I wrote it this way because the
growth_grade field is categorical, so there are >100 A-rated stocks and >100 F- rated stocks, with no way to decide which stocks in the same category are "better" than others. In a case where your data is continuous instead of categorical, you might want to check out the
.top() filter to limit your pipeline to a certain number of stocks -- take a look at the usage of
.top() in the Creating Custom Factors and Fundamental Data Algorithm examples here. Hope this helps!
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