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Hello guys, I want to know how can create a custom factor on LEAN, the next example is extracted from my Quantopian code:
from quantopian.pipeline import CustomFilter
import numpy as np
from quantopian.pipeline.data import USEquityPricing
class fibopoint(CustomFilter):
inputs = [USEquityPricing.low, USEquityPricing.high, USEquityPricing.close]
window_length = 21
def compute(self, today, assets, out, low, high, close):
dayshigh20 = np.max(high, axis=0)
dayslow20 = np.min(low, axis=0)
mid_price = (high[-1]+low[-1])/2
fiboprice2 = dayshigh20 - (.50*(dayshigh20-dayslow20))
cond = (np.argmax(dayshigh20, axis=0) - np.argmin(dayslow20, axis=0))>0
fibocondition_2 =mid_price >= fiboprice2
result1 = fibocondition_2 & cond & (high[-1]<= (dayshigh20 - (.10*(dayshigh20-dayslow20))))
out[:] = result1Thanks a lot!
Aaron Janeiro Stone
An equivalent to factors should be the Coarse selection for universes:
https://www.quantconnect.com/docs/algorithm-reference/universes#Universes-Coarse-Universe-SelectionAll incoming tickers will pass through the fine/coarse selection filters that you define, leaving you with a universe of all equities meeting your conditions. Prices can be retreived a few different way. For example, self.Securities["{tickername}"].{Close/Open/High/Low}, where {} would be the input of your choosing.
For a list of some interesting fundementals other than price, see:
https://www.quantconnect.com/docs/data-library/fundamentalsRene Ordosgoitia
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