AdvancedPipelineDemo.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [],
   "source": [
    "from quantopian.pipeline import Pipeline, CustomFactor\n",
    "from quantopian.research import run_pipeline\n",
    "from quantopian.pipeline.factors import SimpleMovingAverage\n",
    "from quantopian.pipeline.data.builtin import USEquityPricing\n",
    "from quantopian.pipeline.factors import AverageDollarVolume"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 44,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">2016-01-04 00:00:00+00:00</th>\n",
       "      <th>Equity(2 [ARNC])</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(21 [AAME])</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(24 [AAPL])</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(25 [ARNC_PR])</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(31 [ABAX])</th>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "Empty DataFrame\n",
       "Columns: []\n",
       "Index: [(2016-01-04 00:00:00+00:00, Equity(2 [ARNC])), (2016-01-04 00:00:00+00:00, Equity(21 [AAME])), (2016-01-04 00:00:00+00:00, Equity(24 [AAPL])), (2016-01-04 00:00:00+00:00, Equity(25 [ARNC_PR])), (2016-01-04 00:00:00+00:00, Equity(31 [ABAX]))]"
      ]
     },
     "execution_count": 44,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "pipe = Pipeline()\n",
    "my_pipe = run_pipeline(pipe,'2016-01-01','2017-01-01').head()\n",
    "my_pipe"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 40,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th>price</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th rowspan=\"30\" valign=\"top\">2016-01-04 00:00:00+00:00</th>\n",
       "      <th>Equity(2 [ARNC])</th>\n",
       "      <td>9.860</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(21 [AAME])</th>\n",
       "      <td>4.990</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(24 [AAPL])</th>\n",
       "      <td>105.230</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(25 [ARNC_PR])</th>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(31 [ABAX])</th>\n",
       "      <td>55.690</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(39 [DDC])</th>\n",
       "      <td>10.230</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(41 [ARCB])</th>\n",
       "      <td>21.380</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(52 [ABM])</th>\n",
       "      <td>28.470</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(53 [ABMD])</th>\n",
       "      <td>90.240</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(62 [ABT])</th>\n",
       "      <td>44.910</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(64 [ABX])</th>\n",
       "      <td>7.380</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(66 [AB])</th>\n",
       "      <td>23.860</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(67 [ADSK])</th>\n",
       "      <td>60.920</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(69 [ACAT])</th>\n",
       "      <td>16.379</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(70 [VBF])</th>\n",
       "      <td>17.629</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(76 [TAP])</th>\n",
       "      <td>93.920</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(84 [ACET])</th>\n",
       "      <td>26.980</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(86 [ACG])</th>\n",
       "      <td>7.670</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(88 [ACI])</th>\n",
       "      <td>0.998</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(100 [IEP])</th>\n",
       "      <td>61.300</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(106 [ACU])</th>\n",
       "      <td>17.400</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(110 [ACXM])</th>\n",
       "      <td>20.920</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(112 [ACY])</th>\n",
       "      <td>12.700</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(114 [ADBE])</th>\n",
       "      <td>93.910</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(117 [AEY])</th>\n",
       "      <td>1.810</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(122 [ADI])</th>\n",
       "      <td>55.320</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(128 [ADM])</th>\n",
       "      <td>36.670</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(134 [SXCL])</th>\n",
       "      <td>14.710</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(149 [ADX])</th>\n",
       "      <td>12.820</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(153 [AE])</th>\n",
       "      <td>39.350</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th rowspan=\"30\" valign=\"top\">2017-01-03 00:00:00+00:00</th>\n",
       "      <th>Equity(50534 [HGV])</th>\n",
       "      <td>25.983</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50535 [PK])</th>\n",
       "      <td>30.000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50537 [WRD])</th>\n",
       "      <td>14.610</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50539 [TIG])</th>\n",
       "      <td>14.600</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50540 [TRVG])</th>\n",
       "      <td>11.740</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50541 [KEY_PRI])</th>\n",
       "      <td>26.120</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50542 [JHMD])</th>\n",
       "      <td>24.920</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50543 [COWZ])</th>\n",
       "      <td>24.640</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50544 [KEG])</th>\n",
       "      <td>31.950</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50546 [NURE])</th>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50547 [YTRA])</th>\n",
       "      <td>9.350</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50548 [RXII_W])</th>\n",
       "      <td>0.200</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50549 [BMLP])</th>\n",
       "      <td>52.250</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50550 [WBIY])</th>\n",
       "      <td>24.650</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50552 [FIV])</th>\n",
       "      <td>10.120</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50554 [HEBT])</th>\n",
       "      <td>4.950</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50555 [UUUU_WS])</th>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50556 [SAB])</th>\n",
       "      <td>25.850</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50558 [INFR])</th>\n",
       "      <td>25.250</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50559 [VVPR])</th>\n",
       "      <td>5.500</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50560 [XK])</th>\n",
       "      <td>15.030</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50561 [XE])</th>\n",
       "      <td>15.060</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50562 [XH])</th>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50563 [XM])</th>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50564 [XD])</th>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50565 [XI])</th>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50566 [XU])</th>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50567 [XF])</th>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50568 [XS])</th>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(50569 [OUSM])</th>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>2115083 rows × 1 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                                                     price\n",
       "2016-01-04 00:00:00+00:00 Equity(2 [ARNC])           9.860\n",
       "                          Equity(21 [AAME])          4.990\n",
       "                          Equity(24 [AAPL])        105.230\n",
       "                          Equity(25 [ARNC_PR])         NaN\n",
       "                          Equity(31 [ABAX])         55.690\n",
       "                          Equity(39 [DDC])          10.230\n",
       "                          Equity(41 [ARCB])         21.380\n",
       "                          Equity(52 [ABM])          28.470\n",
       "                          Equity(53 [ABMD])         90.240\n",
       "                          Equity(62 [ABT])          44.910\n",
       "                          Equity(64 [ABX])           7.380\n",
       "                          Equity(66 [AB])           23.860\n",
       "                          Equity(67 [ADSK])         60.920\n",
       "                          Equity(69 [ACAT])         16.379\n",
       "                          Equity(70 [VBF])          17.629\n",
       "                          Equity(76 [TAP])          93.920\n",
       "                          Equity(84 [ACET])         26.980\n",
       "                          Equity(86 [ACG])           7.670\n",
       "                          Equity(88 [ACI])           0.998\n",
       "                          Equity(100 [IEP])         61.300\n",
       "                          Equity(106 [ACU])         17.400\n",
       "                          Equity(110 [ACXM])        20.920\n",
       "                          Equity(112 [ACY])         12.700\n",
       "                          Equity(114 [ADBE])        93.910\n",
       "                          Equity(117 [AEY])          1.810\n",
       "                          Equity(122 [ADI])         55.320\n",
       "                          Equity(128 [ADM])         36.670\n",
       "                          Equity(134 [SXCL])        14.710\n",
       "                          Equity(149 [ADX])         12.820\n",
       "                          Equity(153 [AE])          39.350\n",
       "...                                                    ...\n",
       "2017-01-03 00:00:00+00:00 Equity(50534 [HGV])       25.983\n",
       "                          Equity(50535 [PK])        30.000\n",
       "                          Equity(50537 [WRD])       14.610\n",
       "                          Equity(50539 [TIG])       14.600\n",
       "                          Equity(50540 [TRVG])      11.740\n",
       "                          Equity(50541 [KEY_PRI])   26.120\n",
       "                          Equity(50542 [JHMD])      24.920\n",
       "                          Equity(50543 [COWZ])      24.640\n",
       "                          Equity(50544 [KEG])       31.950\n",
       "                          Equity(50546 [NURE])         NaN\n",
       "                          Equity(50547 [YTRA])       9.350\n",
       "                          Equity(50548 [RXII_W])     0.200\n",
       "                          Equity(50549 [BMLP])      52.250\n",
       "                          Equity(50550 [WBIY])      24.650\n",
       "                          Equity(50552 [FIV])       10.120\n",
       "                          Equity(50554 [HEBT])       4.950\n",
       "                          Equity(50555 [UUUU_WS])      NaN\n",
       "                          Equity(50556 [SAB])       25.850\n",
       "                          Equity(50558 [INFR])      25.250\n",
       "                          Equity(50559 [VVPR])       5.500\n",
       "                          Equity(50560 [XK])        15.030\n",
       "                          Equity(50561 [XE])        15.060\n",
       "                          Equity(50562 [XH])           NaN\n",
       "                          Equity(50563 [XM])           NaN\n",
       "                          Equity(50564 [XD])           NaN\n",
       "                          Equity(50565 [XI])           NaN\n",
       "                          Equity(50566 [XU])           NaN\n",
       "                          Equity(50567 [XF])           NaN\n",
       "                          Equity(50568 [XS])           NaN\n",
       "                          Equity(50569 [OUSM])         NaN\n",
       "\n",
       "[2115083 rows x 1 columns]"
      ]
     },
     "execution_count": 40,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "pipe = Pipeline(columns={'price':USEquityPricing.close.latest})\n",
    "my_pipe = run_pipeline(pipe,'2016-01-01','2017-01-01')\n",
    "my_pipe"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "metadata": {},
   "outputs": [],
   "source": [
    "# FILTERS\n",
    "adv10 = AverageDollarVolume(window_length=10)>1e9\n",
    "top500 = AverageDollarVolume(window_length=10).top(500)\n",
    "\n",
    "# FACTORS\n",
    "sma10 = SimpleMovingAverage(inputs=[USEquityPricing.close],window_length=10,mask=adv10)\n",
    "sma20 = SimpleMovingAverage(inputs=[USEquityPricing.close],window_length=20,mask=adv10)\n",
    "\n",
    "# CLASSIFIERS\n",
    "adv_rank = AverageDollarVolume(window_length=10).rank()\n",
    "adv_quant = AverageDollarVolume(window_length=10).quantiles(10)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "['AnnualizedVolatility',\n",
       " 'Aroon',\n",
       " 'AverageDollarVolume',\n",
       " 'BollingerBands',\n",
       " 'BusinessDaysSincePreviousEvent',\n",
       " 'BusinessDaysUntilNextEvent',\n",
       " 'CustomFactor',\n",
       " 'DailyReturns',\n",
       " 'EWMA',\n",
       " 'EWMSTD',\n",
       " 'ExponentialWeightedMovingAverage',\n",
       " 'ExponentialWeightedMovingStdDev',\n",
       " 'Factor',\n",
       " 'FastStochasticOscillator',\n",
       " 'IchimokuKinkoHyo',\n",
       " 'Latest',\n",
       " 'LinearWeightedMovingAverage',\n",
       " 'MACDSignal',\n",
       " 'MarketCap',\n",
       " 'MaxDrawdown',\n",
       " 'MovingAverageConvergenceDivergenceSignal',\n",
       " 'RSI',\n",
       " 'RateOfChangePercentage',\n",
       " 'RecarrayField',\n",
       " 'Returns',\n",
       " 'RollingLinearRegressionOfReturns',\n",
       " 'RollingPearsonOfReturns',\n",
       " 'RollingSpearmanOfReturns',\n",
       " 'SimpleBeta',\n",
       " 'SimpleMovingAverage',\n",
       " 'TrueRange',\n",
       " 'VWAP',\n",
       " 'WeightedAverageValue',\n",
       " 'morningstar']"
      ]
     },
     "execution_count": 8,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "import quantopian.pipeline.factors as fact\n",
    "dir(fact)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 45,
   "metadata": {},
   "outputs": [],
   "source": [
    "combined_factor = (sma20-sma10)/sma20"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [],
   "source": [
    "class MyFactor(CustomFactor):\n",
    "    inputs = [USEquityPricing.close]\n",
    "    window_length = 10\n",
    "    mask = adv10\n",
    "    def compute(self,today,assets,out,close):\n",
    "        out[:] = close[-1]/close[0]\n",
    "        \n",
    "myF = MyFactor()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [],
   "source": [
    "pipe = Pipeline(columns = {'myfactor':myF},screen=adv10)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 33,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "2.76629710197\n"
     ]
    }
   ],
   "source": [
    "from time import time\n",
    "start = time()\n",
    "res = run_pipeline(pipe,'2016-01-01','2017-01-01')\n",
    "print time()-start"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 34,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th>myfactor</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">2016-01-04 00:00:00+00:00</th>\n",
       "      <th>Equity(24 [AAPL])</th>\n",
       "      <td>0.965413</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(2190 [DIS])</th>\n",
       "      <td>0.937812</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(3149 [GE])</th>\n",
       "      <td>1.018485</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(5061 [MSFT])</th>\n",
       "      <td>0.995512</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Equity(8554 [SPY])</th>\n",
       "      <td>1.001137</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                               myfactor\n",
       "2016-01-04 00:00:00+00:00 Equity(24 [AAPL])    0.965413\n",
       "                          Equity(2190 [DIS])   0.937812\n",
       "                          Equity(3149 [GE])    1.018485\n",
       "                          Equity(5061 [MSFT])  0.995512\n",
       "                          Equity(8554 [SPY])   1.001137"
      ]
     },
     "execution_count": 34,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "res.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 35,
   "metadata": {},
   "outputs": [],
   "source": [
    "dates = res.index.get_level_values(0)\n",
    "assets = res.index.get_level_values(1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 38,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Index([   Equity(24 [AAPL]),   Equity(2190 [DIS]),    Equity(3149 [GE]),\n",
       "        Equity(5061 [MSFT]),   Equity(8554 [SPY]), Equity(16841 [AMZN]),\n",
       "        Equity(19655 [XLE]),  Equity(19920 [QQQ]),  Equity(21519 [IWM]),\n",
       "        Equity(22972 [EFA]),\n",
       "       ...\n",
       "          Equity(24 [AAPL]),    Equity(700 [BAC]),  Equity(5061 [MSFT]),\n",
       "         Equity(8554 [SPY]), Equity(16841 [AMZN]), Equity(19725 [NVDA]),\n",
       "        Equity(19920 [QQQ]),  Equity(21519 [IWM]),  Equity(24705 [EEM]),\n",
       "         Equity(42950 [FB])],\n",
       "      dtype='object', length=4520)"
      ]
     },
     "execution_count": 38,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "assets"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 43,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Index([   Equity(24 [AAPL]),    Equity(700 [BAC]),  Equity(5061 [MSFT]),\n",
      "         Equity(8554 [SPY]), Equity(16841 [AMZN]), Equity(19725 [NVDA]),\n",
      "        Equity(19920 [QQQ]),  Equity(21519 [IWM]),  Equity(24705 [EEM]),\n",
      "         Equity(42950 [FB])],\n",
      "      dtype='object')\n"
     ]
    }
   ],
   "source": [
    "print res.ix[[(dates[-1])]].index.get_level_values(1)\n",
    "\n",
    "#for i in range(len(assets)):\n",
    "#    k = res.ix[[(dates[0],i)]]\n",
    "#    print k"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 21,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "2016-01-04 00:00:00+00:00\n"
     ]
    }
   ],
   "source": [
    "print dates[0]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [],
   "source": [
    "from quantopian.pipeline import Pipeline,CustomFactor\n",
    "from quantopian.research import run_pipeline\n",
    "from quantopian.pipeline.factors import SimpleMovingAverage, AverageDollarVolume\n",
    "from quantopian.pipeline.data.builtin import USEquityPricing\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 69,
   "metadata": {},
   "outputs": [],
   "source": [
    "sma10 = SimpleMovingAverage(inputs=[USEquityPricing.close],window_length=10)\n",
    "adv = AverageDollarVolume(window_length = 10)#.quantiles(100)\n",
    "fact = adv>99"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 70,
   "metadata": {
    "collapsed": true
   },
   "outputs": [],
   "source": [
    "class MyFactor(CustomFactor):\n",
    "    def compute(self,today,assets,out,close):\n",
    "        out[:] = close[-1]/close[0]\n",
    "\n",
    "myF = MyFactor(window_length=10,inputs=[USEquityPricing.close])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 71,
   "metadata": {},
   "outputs": [],
   "source": [
    "ppl = Pipeline(columns={'myf':myF,'sma':sma10},screen = fact)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 67,
   "metadata": {
    "collapsed": true
   },
   "outputs": [],
   "source": [
    "res = run_pipeline(ppl,'2016-01-01','2017-01-01')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 25,
   "metadata": {},
   "outputs": [],
   "source": [
    "## TRADABLE UNIVERSE:\n",
    "from quantopian.pipeline.experimental import QTradableStocksUS\n",
    "from quantopian.pipeline.data.builtin import USEquityPricing\n",
    "from quantopian.pipeline.factors.morningstar import MarketCap\n",
    "from quantopian.pipeline.data import morningstar\n",
    "from quantopian.pipeline.classifiers.morningstar import Sector"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Note: Zscore is cross-asset not along the factor axis.\n",
    "my_factor = morningstar.operation_ratios.roe.latest.zscore()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "metadata": {},
   "outputs": [],
   "source": [
    "price = USEquityPricing.close.latest\n",
    "pipe = Pipeline(\n",
    "        columns={\n",
    "            'Price': price,\n",
    "        },\n",
    "        screen=QTradableStocksUS()\n",
    "    )"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 24,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Price</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>count</th>\n",
       "      <td>41.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>mean</th>\n",
       "      <td>42.564585</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>std</th>\n",
       "      <td>1.157521</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>min</th>\n",
       "      <td>39.741000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>25%</th>\n",
       "      <td>42.025000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>50%</th>\n",
       "      <td>42.870000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>75%</th>\n",
       "      <td>43.570000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>max</th>\n",
       "      <td>44.080000</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "           Price\n",
       "count  41.000000\n",
       "mean   42.564585\n",
       "std     1.157521\n",
       "min    39.741000\n",
       "25%    42.025000\n",
       "50%    42.870000\n",
       "75%    43.570000\n",
       "max    44.080000"
      ]
     },
     "execution_count": 24,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# Pipeline operations\n",
    "## The resulting summary table displays the mean, std, min-max \n",
    "## of daily median in addition to number of assets in this universe:\n",
    "QTU_pipeline = run_pipeline(pipe, '2018-1-1', '2018-3-1', chunksize=252)\n",
    "daily_constituent_count = QTU_pipeline.groupby(level=0).sum()\n",
    "QTU_pipeline.groupby(level=0).median().describe()"
   ]
  },
  {
   "cell_type": "raw",
   "metadata": {},
   "source": [
    "### Portfolio assignment equations\n",
    "long/short: 2*(F-F_hat)/sum(|F-F_hat|).\n",
    "Long only: F/sum(F) for F > 0"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "['adp_empl_sec',\n",
       " 'bundesbank_bbk01_wt5511',\n",
       " 'cboe_rvx',\n",
       " 'cboe_skew',\n",
       " 'cboe_vix',\n",
       " 'cboe_vvix',\n",
       " 'cboe_vxd',\n",
       " 'cboe_vxfxi',\n",
       " 'cboe_vxmt',\n",
       " 'cboe_vxn',\n",
       " 'cboe_vxv',\n",
       " 'cboe_vxxle',\n",
       " 'chris_cme_cl1',\n",
       " 'chris_ice_b1',\n",
       " 'chris_ice_t1',\n",
       " 'currfx_usdeur',\n",
       " 'fred_ccsa',\n",
       " 'fred_dgs10',\n",
       " 'fred_gdp',\n",
       " 'fred_gdpc96',\n",
       " 'fred_gdpdef',\n",
       " 'fred_gnp',\n",
       " 'fred_gnpc96',\n",
       " 'fred_icsa',\n",
       " 'fred_retailsmnsa',\n",
       " 'fred_unrate',\n",
       " 'fred_usdontd156n',\n",
       " 'oda_usa_ngdp_rpch',\n",
       " 'rateinf_inflation_usa',\n",
       " 'ugid_infl_usa',\n",
       " 'yahoo_index_vix']"
      ]
     },
     "execution_count": 9,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "import quantopian.pipeline.data.quandl as quandl\n",
    "dir(quandl)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### Morningstar Fundamentals"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 22,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "['accounts_payable',\n",
       " 'accounts_payable_as_of',\n",
       " 'accounts_receivable',\n",
       " 'accounts_receivable_as_of',\n",
       " 'accrued_interest_receivable',\n",
       " 'accrued_interest_receivable_as_of',\n",
       " 'accrued_investment_income',\n",
       " 'accrued_investment_income_as_of',\n",
       " 'accrued_liabilities_total',\n",
       " 'accrued_liabilities_total_as_of',\n",
       " 'accruedand_deferred_income',\n",
       " 'accruedand_deferred_income_as_of',\n",
       " 'accruedand_deferred_income_current',\n",
       " 'accruedand_deferred_income_current_as_of',\n",
       " 'accruedand_deferred_income_non_current',\n",
       " 'accruedand_deferred_income_non_current_as_of',\n",
       " 'accumulated_depreciation',\n",
       " 'accumulated_depreciation_as_of',\n",
       " 'additional_paid_in_capital',\n",
       " 'additional_paid_in_capital_as_of',\n",
       " 'advance_from_federal_home_loan_banks',\n",
       " 'advance_from_federal_home_loan_banks_as_of',\n",
       " 'advancesfrom_central_banks',\n",
       " 'advancesfrom_central_banks_as_of',\n",
       " 'allowance_for_doubtful_accounts_receivable',\n",
       " 'allowance_for_doubtful_accounts_receivable_as_of',\n",
       " 'allowance_for_loans_and_lease_losses',\n",
       " 'allowance_for_loans_and_lease_losses_as_of',\n",
       " 'allowance_for_notes_receivable',\n",
       " 'allowance_for_notes_receivable_as_of',\n",
       " 'assets_held_for_sale',\n",
       " 'assets_held_for_sale_as_of',\n",
       " 'assets_of_discontinued_operations',\n",
       " 'assets_of_discontinued_operations_as_of',\n",
       " 'available_for_sale_securities',\n",
       " 'available_for_sale_securities_as_of',\n",
       " 'bank_acceptance_executed_and_outstanding',\n",
       " 'bank_acceptance_executed_and_outstanding_as_of',\n",
       " 'bank_indebtedness',\n",
       " 'bank_indebtedness_as_of',\n",
       " 'bank_loan',\n",
       " 'bank_loan_as_of',\n",
       " 'bank_loans_current',\n",
       " 'bank_loans_current_as_of',\n",
       " 'bank_loans_non_current',\n",
       " 'bank_loans_non_current_as_of',\n",
       " 'bank_loans_total',\n",
       " 'bank_loans_total_as_of',\n",
       " 'bank_owned_life_insurance',\n",
       " 'bank_owned_life_insurance_as_of',\n",
       " 'buildings_and_improvements',\n",
       " 'buildings_and_improvements_as_of',\n",
       " 'capital_lease_obligations',\n",
       " 'capital_lease_obligations_as_of',\n",
       " 'capital_stock',\n",
       " 'capital_stock_as_of',\n",
       " 'cash',\n",
       " 'cash_and_cash_equivalents',\n",
       " 'cash_and_cash_equivalents_as_of',\n",
       " 'cash_and_due_from_banks',\n",
       " 'cash_and_due_from_banks_as_of',\n",
       " 'cash_as_of',\n",
       " 'cash_cash_equivalents_and_federal_funds_sold',\n",
       " 'cash_cash_equivalents_and_federal_funds_sold_as_of',\n",
       " 'cash_cash_equivalents_and_marketable_securities',\n",
       " 'cash_cash_equivalents_and_marketable_securities_as_of',\n",
       " 'cash_equivalents',\n",
       " 'cash_equivalents_as_of',\n",
       " 'cash_value_of_life_insurance',\n",
       " 'cash_value_of_life_insurance_as_of',\n",
       " 'cashand_balanceswith_central_banks',\n",
       " 'cashand_balanceswith_central_banks_as_of',\n",
       " 'casualty_claims',\n",
       " 'casualty_claims_as_of',\n",
       " 'ceded_unearned_premiums',\n",
       " 'ceded_unearned_premiums_as_of',\n",
       " 'claims_outstanding',\n",
       " 'claims_outstanding_as_of',\n",
       " 'com_tre_sha_num',\n",
       " 'com_tre_sha_num_as_of',\n",
       " 'commercial_loan',\n",
       " 'commercial_loan_as_of',\n",
       " 'commercial_paper',\n",
       " 'commercial_paper_as_of',\n",
       " 'common_stock',\n",
       " 'common_stock_as_of',\n",
       " 'common_stock_equity',\n",
       " 'common_stock_equity_as_of',\n",
       " 'common_stocks_available_for_sale',\n",
       " 'common_stocks_available_for_sale_as_of',\n",
       " 'common_utility_plant',\n",
       " 'common_utility_plant_as_of',\n",
       " 'construction_grants',\n",
       " 'construction_grants_as_of',\n",
       " 'construction_in_progress',\n",
       " 'construction_in_progress_as_of',\n",
       " 'consumer_loan',\n",
       " 'consumer_loan_as_of',\n",
       " 'convertible_loans_current',\n",
       " 'convertible_loans_current_as_of',\n",
       " 'current_accrued_expenses',\n",
       " 'current_accrued_expenses_as_of',\n",
       " 'current_assets',\n",
       " 'current_assets_as_of',\n",
       " 'current_capital_lease_obligation',\n",
       " 'current_capital_lease_obligation_as_of',\n",
       " 'current_debt',\n",
       " 'current_debt_and_capital_lease_obligation',\n",
       " 'current_debt_and_capital_lease_obligation_as_of',\n",
       " 'current_debt_as_of',\n",
       " 'current_deferred_assets',\n",
       " 'current_deferred_assets_as_of',\n",
       " 'current_deferred_liabilities',\n",
       " 'current_deferred_liabilities_as_of',\n",
       " 'current_deferred_revenue',\n",
       " 'current_deferred_revenue_as_of',\n",
       " 'current_deferred_taxes_assets',\n",
       " 'current_deferred_taxes_assets_as_of',\n",
       " 'current_deferred_taxes_liabilities',\n",
       " 'current_deferred_taxes_liabilities_as_of',\n",
       " 'current_liabilities',\n",
       " 'current_liabilities_as_of',\n",
       " 'current_notes_payable',\n",
       " 'current_notes_payable_as_of',\n",
       " 'current_provisions',\n",
       " 'current_provisions_as_of',\n",
       " 'customer_acceptances',\n",
       " 'customer_acceptances_as_of',\n",
       " 'customer_accounts',\n",
       " 'customer_accounts_as_of',\n",
       " 'debt_securities',\n",
       " 'debt_securities_as_of',\n",
       " 'debt_securitiesin_issue',\n",
       " 'debt_securitiesin_issue_as_of',\n",
       " 'debt_total',\n",
       " 'debt_total_as_of',\n",
       " 'deferred_acquisition_costs',\n",
       " 'deferred_acquisition_costs_as_of',\n",
       " 'deferred_assets',\n",
       " 'deferred_assets_as_of',\n",
       " 'deferred_cost_current',\n",
       " 'deferred_cost_current_as_of',\n",
       " 'deferred_costs',\n",
       " 'deferred_costs_as_of',\n",
       " 'deferred_financing_costs',\n",
       " 'deferred_financing_costs_as_of',\n",
       " 'deferred_policy_acquisition_costs',\n",
       " 'deferred_policy_acquisition_costs_as_of',\n",
       " 'deferred_tax_assets',\n",
       " 'deferred_tax_assets_as_of',\n",
       " 'deferred_tax_liabilities_total',\n",
       " 'deferred_tax_liabilities_total_as_of',\n",
       " 'defined_pension_benefit',\n",
       " 'defined_pension_benefit_as_of',\n",
       " 'deposits_madeunder_assumed_reinsurance_contract',\n",
       " 'deposits_madeunder_assumed_reinsurance_contract_as_of',\n",
       " 'deposits_receivedunder_ceded_insurance_contract',\n",
       " 'deposits_receivedunder_ceded_insurance_contract_as_of',\n",
       " 'depositsby_bank',\n",
       " 'depositsby_bank_as_of',\n",
       " 'derivative_assets',\n",
       " 'derivative_assets_as_of',\n",
       " 'derivative_product_liabilities',\n",
       " 'derivative_product_liabilities_as_of',\n",
       " 'dividends_payable',\n",
       " 'dividends_payable_as_of',\n",
       " 'domain',\n",
       " 'electric_utility_plant',\n",
       " 'electric_utility_plant_as_of',\n",
       " 'employee_benefits',\n",
       " 'employee_benefits_as_of',\n",
       " 'equity_attributable_to_owners_of_parent',\n",
       " 'equity_attributable_to_owners_of_parent_as_of',\n",
       " 'equity_investments',\n",
       " 'equity_investments_as_of',\n",
       " 'equity_shares_investments',\n",
       " 'equity_shares_investments_as_of',\n",
       " 'esop_debt_guarantee',\n",
       " 'esop_debt_guarantee_as_of',\n",
       " 'facilities_and_other',\n",
       " 'facilities_and_other_as_of',\n",
       " 'federal_funds_purchased',\n",
       " 'federal_funds_purchased_and_securities_sold_under_agreement_to_repurchase',\n",
       " 'federal_funds_purchased_and_securities_sold_under_agreement_to_repurchase_as_of',\n",
       " 'federal_funds_purchased_as_of',\n",
       " 'federal_funds_sold',\n",
       " 'federal_funds_sold_and_securities_purchase_under_agreements_to_resell',\n",
       " 'federal_funds_sold_and_securities_purchase_under_agreements_to_resell_as_of',\n",
       " 'federal_funds_sold_as_of',\n",
       " 'federal_home_loan_bank_stock',\n",
       " 'federal_home_loan_bank_stock_as_of',\n",
       " 'finance_lease_receivables_current',\n",
       " 'finance_lease_receivables_current_as_of',\n",
       " 'finance_lease_receivables_non_current',\n",
       " 'finance_lease_receivables_non_current_as_of',\n",
       " 'financial_assets',\n",
       " 'financial_assets_as_of',\n",
       " 'financial_assets_designatedas_fair_value_through_profitor_loss_total',\n",
       " 'financial_assets_designatedas_fair_value_through_profitor_loss_total_as_of',\n",
       " 'financial_instruments_sold_under_agreements_to_repurchase',\n",
       " 'financial_instruments_sold_under_agreements_to_repurchase_as_of',\n",
       " 'financial_liabilities_current',\n",
       " 'financial_liabilities_current_as_of',\n",
       " 'financial_liabilities_designatedas_fair_value_through_profitor_loss_total',\n",
       " 'financial_liabilities_designatedas_fair_value_through_profitor_loss_total_as_of',\n",
       " 'financial_liabilities_measuredat_amortized_cost_total',\n",
       " 'financial_liabilities_measuredat_amortized_cost_total_as_of',\n",
       " 'financial_liabilities_non_current',\n",
       " 'financial_liabilities_non_current_as_of',\n",
       " 'finished_goods',\n",
       " 'finished_goods_as_of',\n",
       " 'fixed_maturities_available_for_sale',\n",
       " 'fixed_maturities_available_for_sale_as_of',\n",
       " 'fixed_maturities_held_to_maturity',\n",
       " 'fixed_maturities_held_to_maturity_as_of',\n",
       " 'fixed_maturities_trading',\n",
       " 'fixed_maturities_trading_as_of',\n",
       " 'fixed_maturity_investments',\n",
       " 'fixed_maturity_investments_as_of',\n",
       " 'flight_fleet_vehicle_and_related_equipments',\n",
       " 'flight_fleet_vehicle_and_related_equipments_as_of',\n",
       " 'foreclosed_assets',\n",
       " 'foreclosed_assets_as_of',\n",
       " 'foreign_component',\n",
       " 'foreign_component_as_of',\n",
       " 'foreign_currency_translation_adjustments',\n",
       " 'foreign_currency_translation_adjustments_as_of',\n",
       " 'fuel_and_natural_gas',\n",
       " 'fuel_and_natural_gas_as_of',\n",
       " 'future_policy_benefits',\n",
       " 'future_policy_benefits_as_of',\n",
       " 'gains_losses_not_affecting_retained_earnings',\n",
       " 'gains_losses_not_affecting_retained_earnings_as_of',\n",
       " 'general_partnership_capital',\n",
       " 'general_partnership_capital_as_of',\n",
       " 'goodwill',\n",
       " 'goodwill_and_other_intangible_assets',\n",
       " 'goodwill_and_other_intangible_assets_as_of',\n",
       " 'goodwill_as_of',\n",
       " 'gross_accounts_receivable',\n",
       " 'gross_accounts_receivable_as_of',\n",
       " 'gross_loan',\n",
       " 'gross_loan_as_of',\n",
       " 'gross_notes_receivable',\n",
       " 'gross_notes_receivable_as_of',\n",
       " 'gross_ppe',\n",
       " 'gross_ppe_as_of',\n",
       " 'guaranteed_investment_contract',\n",
       " 'guaranteed_investment_contract_as_of',\n",
       " 'hedging_assets_current',\n",
       " 'hedging_assets_current_as_of',\n",
       " 'hedging_assets_non_current',\n",
       " 'hedging_assets_non_current_as_of',\n",
       " 'hedging_liabilities_current',\n",
       " 'hedging_liabilities_current_as_of',\n",
       " 'hedging_liabilities_non_current',\n",
       " 'hedging_liabilities_non_current_as_of',\n",
       " 'held_to_maturity_securities',\n",
       " 'held_to_maturity_securities_as_of',\n",
       " 'income_tax_payable',\n",
       " 'income_tax_payable_as_of',\n",
       " 'insurance_contract_assets',\n",
       " 'insurance_contract_assets_as_of',\n",
       " 'insurance_contract_liabilities',\n",
       " 'insurance_contract_liabilities_as_of',\n",
       " 'insurance_funds_non_current',\n",
       " 'insurance_funds_non_current_as_of',\n",
       " 'insurance_payables',\n",
       " 'insurance_payables_as_of',\n",
       " 'insurance_receivables',\n",
       " 'insurance_receivables_as_of',\n",
       " 'interest_bearing_borrowings_current',\n",
       " 'interest_bearing_borrowings_current_as_of',\n",
       " 'interest_bearing_borrowings_non_current',\n",
       " 'interest_bearing_borrowings_non_current_as_of',\n",
       " 'interest_bearing_borrowings_total',\n",
       " 'interest_bearing_borrowings_total_as_of',\n",
       " 'interest_bearing_deposits_assets',\n",
       " 'interest_bearing_deposits_assets_as_of',\n",
       " 'interest_bearing_deposits_liabilities',\n",
       " 'interest_bearing_deposits_liabilities_as_of',\n",
       " 'interest_payable',\n",
       " 'interest_payable_as_of',\n",
       " 'inventories_adjustments_allowances',\n",
       " 'inventories_adjustments_allowances_as_of',\n",
       " 'inventory',\n",
       " 'inventory_as_of',\n",
       " 'invested_capital',\n",
       " 'invested_capital_as_of',\n",
       " 'investment_contract_liabilities',\n",
       " 'investment_contract_liabilities_as_of',\n",
       " 'investment_properties',\n",
       " 'investment_properties_as_of',\n",
       " 'investment_tax_credits',\n",
       " 'investment_tax_credits_as_of',\n",
       " 'investmentin_financial_assets',\n",
       " 'investmentin_financial_assets_as_of',\n",
       " 'investments_and_advances',\n",
       " 'investments_and_advances_as_of',\n",
       " 'investments_in_affiliates_subsidiaries_associates_and_joint_ventures',\n",
       " 'investments_in_affiliates_subsidiaries_associates_and_joint_ventures_as_of',\n",
       " 'investments_in_other_ventures_under_equity_method',\n",
       " 'investments_in_other_ventures_under_equity_method_as_of',\n",
       " 'investments_in_variable_interest_entity',\n",
       " 'investments_in_variable_interest_entity_as_of',\n",
       " 'investmentsin_associatesat_cost',\n",
       " 'investmentsin_associatesat_cost_as_of',\n",
       " 'investmentsin_joint_venturesat_cost',\n",
       " 'investmentsin_joint_venturesat_cost_as_of',\n",
       " 'investmentsin_subsidiariesat_cost',\n",
       " 'investmentsin_subsidiariesat_cost_as_of',\n",
       " 'land_and_improvements',\n",
       " 'land_and_improvements_as_of',\n",
       " 'leases',\n",
       " 'leases_as_of',\n",
       " 'liabilities_heldfor_sale_current',\n",
       " 'liabilities_heldfor_sale_current_as_of',\n",
       " 'liabilities_heldfor_sale_non_current',\n",
       " 'liabilities_heldfor_sale_non_current_as_of',\n",
       " 'liabilities_heldfor_sale_total',\n",
       " 'liabilities_heldfor_sale_total_as_of',\n",
       " 'liabilities_of_discontinued_operations',\n",
       " 'liabilities_of_discontinued_operations_as_of',\n",
       " 'limited_partnership',\n",
       " 'limited_partnership_as_of',\n",
       " 'limited_partnership_capital',\n",
       " 'limited_partnership_capital_as_of',\n",
       " 'line_of_credit',\n",
       " 'line_of_credit_as_of',\n",
       " 'loan_capital',\n",
       " 'loan_capital_as_of',\n",
       " 'loans_held_for_sale',\n",
       " 'loans_held_for_sale_as_of',\n",
       " 'loans_receivable',\n",
       " 'loans_receivable_as_of',\n",
       " 'loansand_advancesto_bank',\n",
       " 'loansand_advancesto_bank_as_of',\n",
       " 'loansand_advancesto_customer',\n",
       " 'loansand_advancesto_customer_as_of',\n",
       " 'long_term_capital_lease_obligation',\n",
       " 'long_term_capital_lease_obligation_as_of',\n",
       " 'long_term_contracts',\n",
       " 'long_term_contracts_as_of',\n",
       " 'long_term_debt',\n",
       " 'long_term_debt_and_capital_lease_obligation',\n",
       " 'long_term_debt_and_capital_lease_obligation_as_of',\n",
       " 'long_term_debt_as_of',\n",
       " 'long_term_investments',\n",
       " 'long_term_investments_as_of',\n",
       " 'long_term_provisions',\n",
       " 'long_term_provisions_as_of',\n",
       " 'machinery_furniture_equipment',\n",
       " 'machinery_furniture_equipment_as_of',\n",
       " 'materials_and_supplies',\n",
       " 'materials_and_supplies_as_of',\n",
       " 'mineral_properties',\n",
       " 'mineral_properties_as_of',\n",
       " 'minimum_pension_liabilities',\n",
       " 'minimum_pension_liabilities_as_of',\n",
       " 'minority_interest',\n",
       " 'minority_interest_as_of',\n",
       " 'money_market_investments',\n",
       " 'money_market_investments_as_of',\n",
       " 'mortgage_and_consumerloans',\n",
       " 'mortgage_and_consumerloans_as_of',\n",
       " 'mortgage_loan',\n",
       " 'mortgage_loan_as_of',\n",
       " 'natural_gas_fuel_and_other',\n",
       " 'natural_gas_fuel_and_other_as_of',\n",
       " 'natural_resource_assets',\n",
       " 'natural_resource_assets_as_of',\n",
       " 'ndim',\n",
       " 'net_assets',\n",
       " 'net_assets_as_of',\n",
       " 'net_debt',\n",
       " 'net_debt_as_of',\n",
       " 'net_loan',\n",
       " 'net_loan_as_of',\n",
       " 'net_other_unrealized_gain_loss',\n",
       " 'net_other_unrealized_gain_loss_as_of',\n",
       " 'net_ppe',\n",
       " 'net_ppe_as_of',\n",
       " 'net_tangible_assets',\n",
       " 'net_tangible_assets_as_of',\n",
       " 'net_unrealized_gain_loss_foreign_currency',\n",
       " 'net_unrealized_gain_loss_foreign_currency_as_of',\n",
       " 'net_unrealized_gain_loss_investments',\n",
       " 'net_unrealized_gain_loss_investments_as_of',\n",
       " 'net_utility_plant',\n",
       " 'net_utility_plant_as_of',\n",
       " 'non_current_accounts_receivable',\n",
       " 'non_current_accounts_receivable_as_of',\n",
       " 'non_current_accrued_expenses',\n",
       " 'non_current_accrued_expenses_as_of',\n",
       " 'non_current_deferred_assets',\n",
       " 'non_current_deferred_assets_as_of',\n",
       " 'non_current_deferred_liabilities',\n",
       " 'non_current_deferred_liabilities_as_of',\n",
       " 'non_current_deferred_revenue',\n",
       " 'non_current_deferred_revenue_as_of',\n",
       " 'non_current_deferred_taxes_assets',\n",
       " 'non_current_deferred_taxes_assets_as_of',\n",
       " 'non_current_deferred_taxes_liabilities',\n",
       " 'non_current_deferred_taxes_liabilities_as_of',\n",
       " 'non_current_note_receivables',\n",
       " 'non_current_note_receivables_as_of',\n",
       " 'non_current_pension_and_other_postretirement_benefit_plans',\n",
       " 'non_current_pension_and_other_postretirement_benefit_plans_as_of',\n",
       " 'non_current_prepaid_assets',\n",
       " 'non_current_prepaid_assets_as_of',\n",
       " 'non_interest_bearing_borrowings_current',\n",
       " 'non_interest_bearing_borrowings_current_as_of',\n",
       " 'non_interest_bearing_borrowings_non_current',\n",
       " 'non_interest_bearing_borrowings_non_current_as_of',\n",
       " 'non_interest_bearing_deposits',\n",
       " 'non_interest_bearing_deposits_as_of',\n",
       " 'notes_receivable',\n",
       " 'notes_receivable_as_of',\n",
       " 'ordinary_shares_number',\n",
       " 'ordinary_shares_number_as_of',\n",
       " 'other_assets',\n",
       " 'other_assets_as_of',\n",
       " 'other_capital_stock',\n",
       " 'other_capital_stock_as_of',\n",
       " 'other_current_assets',\n",
       " 'other_current_assets_as_of',\n",
       " 'other_current_borrowings',\n",
       " 'other_current_borrowings_as_of',\n",
       " 'other_current_liabilities',\n",
       " 'other_current_liabilities_as_of',\n",
       " 'other_deferred_costs',\n",
       " 'other_deferred_costs_as_of',\n",
       " 'other_deposits',\n",
       " 'other_deposits_as_of',\n",
       " 'other_equity_adjustments',\n",
       " 'other_equity_adjustments_as_of',\n",
       " 'other_equity_interest',\n",
       " 'other_equity_interest_as_of',\n",
       " 'other_intangible_assets',\n",
       " 'other_intangible_assets_as_of',\n",
       " 'other_interest_earning_assets',\n",
       " 'other_interest_earning_assets_as_of',\n",
       " 'other_inventories',\n",
       " 'other_inventories_as_of',\n",
       " 'other_invested_assets',\n",
       " 'other_invested_assets_as_of',\n",
       " 'other_liabilities',\n",
       " 'other_liabilities_as_of',\n",
       " 'other_loan_assets',\n",
       " 'other_loan_assets_as_of',\n",
       " 'other_loans_current',\n",
       " 'other_loans_current_as_of',\n",
       " 'other_loans_non_current',\n",
       " 'other_loans_non_current_as_of',\n",
       " 'other_loans_total',\n",
       " 'other_loans_total_as_of',\n",
       " 'other_non_current_assets',\n",
       " 'other_non_current_assets_as_of',\n",
       " 'other_non_current_liabilities',\n",
       " 'other_non_current_liabilities_as_of',\n",
       " 'other_payable',\n",
       " 'other_payable_as_of',\n",
       " 'other_properties',\n",
       " 'other_properties_as_of',\n",
       " 'other_real_estate_owned',\n",
       " 'other_real_estate_owned_as_of',\n",
       " 'other_receivables',\n",
       " 'other_receivables_as_of',\n",
       " 'other_reserves',\n",
       " 'other_reserves_as_of',\n",
       " 'other_short_term_investments',\n",
       " 'other_short_term_investments_as_of',\n",
       " 'participating_policyholder_equity',\n",
       " 'participating_policyholder_equity_as_of',\n",
       " 'patents',\n",
       " 'patents_as_of',\n",
       " 'payables',\n",
       " 'payables_and_accrued_expenses',\n",
       " 'payables_and_accrued_expenses_as_of',\n",
       " 'payables_as_of',\n",
       " 'paymentof_bills',\n",
       " 'paymentof_bills_as_of',\n",
       " 'pension_and_other_postretirement_benefit_plans_total',\n",
       " 'pension_and_other_postretirement_benefit_plans_total_as_of',\n",
       " 'pensionand_other_post_retirement_benefit_plans_current',\n",
       " 'pensionand_other_post_retirement_benefit_plans_current_as_of',\n",
       " 'placementwith_banksand_other_financial_institutions',\n",
       " 'placementwith_banksand_other_financial_institutions_as_of',\n",
       " 'policy_loans',\n",
       " 'policy_loans_as_of',\n",
       " 'policy_reserves_benefits',\n",
       " 'policy_reserves_benefits_as_of',\n",
       " 'policyholder_funds',\n",
       " 'policyholder_funds_as_of',\n",
       " 'pre_tre_sha_num',\n",
       " 'pre_tre_sha_num_as_of',\n",
       " 'preferred_securities_outside_stock_equity',\n",
       " 'preferred_securities_outside_stock_equity_as_of',\n",
       " 'preferred_shares_number',\n",
       " 'preferred_shares_number_as_of',\n",
       " 'preferred_stock',\n",
       " 'preferred_stock_as_of',\n",
       " 'preferred_stock_equity',\n",
       " 'preferred_stock_equity_as_of',\n",
       " 'preferred_stock_of_subsidiary',\n",
       " 'preferred_stock_of_subsidiary_as_of',\n",
       " 'preferred_stocks_available_for_sale',\n",
       " 'preferred_stocks_available_for_sale_as_of',\n",
       " 'premiums_receivable',\n",
       " 'premiums_receivable_as_of',\n",
       " 'prepaid_assets',\n",
       " 'prepaid_assets_as_of',\n",
       " 'prepaid_reinsurance_premiums',\n",
       " 'prepaid_reinsurance_premiums_as_of',\n",
       " 'properties',\n",
       " 'properties_as_of',\n",
       " 'provisions_total',\n",
       " 'provisions_total_as_of',\n",
       " 'purchased_components',\n",
       " 'purchased_components_as_of',\n",
       " 'raw_materials',\n",
       " 'raw_materials_as_of',\n",
       " 'real_estate',\n",
       " 'real_estate_and_real_estate_joint_ventures_held_for_investment',\n",
       " 'real_estate_and_real_estate_joint_ventures_held_for_investment_as_of',\n",
       " 'real_estate_as_of',\n",
       " 'real_estate_held_for_sale',\n",
       " 'real_estate_held_for_sale_as_of',\n",
       " 'receivables',\n",
       " 'receivables_adjustments_allowances',\n",
       " 'receivables_adjustments_allowances_as_of',\n",
       " 'receivables_as_of',\n",
       " 'redeemable_preferred_stock',\n",
       " 'redeemable_preferred_stock_as_of',\n",
       " 'regulatory_assets',\n",
       " 'regulatory_assets_as_of',\n",
       " 'regulatory_liabilities',\n",
       " 'regulatory_liabilities_as_of',\n",
       " 'reinsurance_assets',\n",
       " 'reinsurance_assets_as_of',\n",
       " 'reinsurance_balances_payable',\n",
       " 'reinsurance_balances_payable_as_of',\n",
       " 'reinsurance_receivables',\n",
       " 'reinsurance_receivables_as_of',\n",
       " 'reinsurance_recoverable',\n",
       " 'reinsurance_recoverable_as_of',\n",
       " 'reinsurance_recoverable_for_paid_losses',\n",
       " 'reinsurance_recoverable_for_paid_losses_as_of',\n",
       " 'reinsurance_recoverable_for_unpaid_losses',\n",
       " 'reinsurance_recoverable_for_unpaid_losses_as_of',\n",
       " 'reinsurance_shareof_insurance_contract',\n",
       " 'reinsurance_shareof_insurance_contract_as_of',\n",
       " 'restricted_cash',\n",
       " 'restricted_cash_and_cash_equivalents',\n",
       " 'restricted_cash_and_cash_equivalents_as_of',\n",
       " 'restricted_cash_and_investments',\n",
       " 'restricted_cash_and_investments_as_of',\n",
       " 'restricted_cash_as_of',\n",
       " 'restricted_common_stock',\n",
       " 'restricted_common_stock_as_of',\n",
       " 'restricted_investments',\n",
       " 'restricted_investments_as_of',\n",
       " 'retained_earnings',\n",
       " 'retained_earnings_as_of',\n",
       " 'securities_and_investments',\n",
       " 'securities_and_investments_as_of',\n",
       " 'securities_lending_collateral',\n",
       " 'securities_lending_collateral_as_of',\n",
       " 'securities_lending_payable',\n",
       " 'securities_lending_payable_as_of',\n",
       " 'securities_loaned',\n",
       " 'securities_loaned_as_of',\n",
       " 'security_agree_to_be_resell',\n",
       " 'security_agree_to_be_resell_as_of',\n",
       " 'security_borrowed',\n",
       " 'security_borrowed_as_of',\n",
       " 'security_sold_not_yet_repurchased',\n",
       " 'security_sold_not_yet_repurchased_as_of',\n",
       " 'separate_account_assets',\n",
       " 'separate_account_assets_as_of',\n",
       " 'separate_account_business',\n",
       " 'separate_account_business_as_of',\n",
       " 'share_issued',\n",
       " 'share_issued_as_of',\n",
       " 'short_term_investments_available_for_sale',\n",
       " 'short_term_investments_available_for_sale_as_of',\n",
       " 'short_term_investments_held_to_maturity',\n",
       " 'short_term_investments_held_to_maturity_as_of',\n",
       " 'short_term_investments_trading',\n",
       " 'short_term_investments_trading_as_of',\n",
       " 'stockholders_equity',\n",
       " 'stockholders_equity_as_of',\n",
       " 'student_loan',\n",
       " 'student_loan_as_of',\n",
       " 'subordinated_liabilities',\n",
       " 'subordinated_liabilities_as_of',\n",
       " 'tangible_book_value',\n",
       " 'tangible_book_value_as_of',\n",
       " 'tax_assets_total',\n",
       " 'tax_assets_total_as_of',\n",
       " 'taxes_assets_current',\n",
       " 'taxes_assets_current_as_of',\n",
       " 'taxes_receivable',\n",
       " 'taxes_receivable_as_of',\n",
       " 'time_deposits_placed',\n",
       " 'time_deposits_placed_as_of',\n",
       " 'total_assets',\n",
       " 'total_assets_as_of',\n",
       " 'total_capitalization',\n",
       " 'total_capitalization_as_of',\n",
       " 'total_debt',\n",
       " 'total_debt_as_of',\n",
       " 'total_deferred_credits_and_other_non_current_liabilities',\n",
       " 'total_deferred_credits_and_other_non_current_liabilities_as_of',\n",
       " 'total_deposits',\n",
       " 'total_deposits_as_of',\n",
       " 'total_equity',\n",
       " 'total_equity_as_of',\n",
       " 'total_equity_gross_minority_interest',\n",
       " 'total_equity_gross_minority_interest_as_of',\n",
       " 'total_investments',\n",
       " 'total_investments_as_of',\n",
       " 'total_liabilities',\n",
       " 'total_liabilities_as_of',\n",
       " 'total_liabilities_net_minority_interest',\n",
       " 'total_liabilities_net_minority_interest_as_of',\n",
       " 'total_non_current_assets',\n",
       " 'total_non_current_assets_as_of',\n",
       " 'total_non_current_liabilities',\n",
       " 'total_non_current_liabilities_as_of',\n",
       " 'total_non_current_liabilities_net_minority_interest',\n",
       " 'total_non_current_liabilities_net_minority_interest_as_of',\n",
       " 'total_partnership_capital',\n",
       " 'total_partnership_capital_as_of',\n",
       " 'total_tax_payable',\n",
       " 'total_tax_payable_as_of',\n",
       " 'tradeand_other_payables_non_current',\n",
       " 'tradeand_other_payables_non_current_as_of',\n",
       " 'trading_and_other_receivable',\n",
       " 'trading_and_other_receivable_as_of',\n",
       " 'trading_assets',\n",
       " 'trading_assets_as_of',\n",
       " 'trading_liabilities',\n",
       " 'trading_liabilities_as_of',\n",
       " 'trading_securities',\n",
       " 'trading_securities_as_of',\n",
       " 'tradingand_financial_liabilities',\n",
       " 'tradingand_financial_liabilities_as_of',\n",
       " 'treasury_shares_number',\n",
       " 'treasury_shares_number_as_of',\n",
       " 'treasury_stock',\n",
       " 'treasury_stock_as_of',\n",
       " 'unbilled_receivables',\n",
       " 'unbilled_receivables_as_of',\n",
       " 'unclassified_current_assets',\n",
       " 'unclassified_current_assets_as_of',\n",
       " 'unearned_income',\n",
       " 'unearned_income_as_of',\n",
       " 'unearned_premiums',\n",
       " 'unearned_premiums_as_of',\n",
       " 'unpaid_loss_and_loss_reserve',\n",
       " 'unpaid_loss_and_loss_reserve_as_of',\n",
       " 'unrealized_gain_loss',\n",
       " 'unrealized_gain_loss_as_of',\n",
       " 'water_production',\n",
       " 'water_production_as_of',\n",
       " 'work_in_process',\n",
       " 'work_in_process_as_of',\n",
       " 'working_capital',\n",
       " 'working_capital_as_of']"
      ]
     },
     "execution_count": 22,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "dir(morningstar)\n",
    "dir(morningstar.balance_sheet)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
 ],
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   "name": "python2"
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