diff --git a/zipline/pipeline/factors/technical.py b/zipline/pipeline/factors/technical.py index dbc93531..32d2d7a2 100644 --- a/zipline/pipeline/factors/technical.py +++ b/zipline/pipeline/factors/technical.py @@ -26,10 +26,11 @@ from .factor import CustomFactor class RSI(CustomFactor, SingleInputMixin): """ - Factor computing rolling relative-strength index on a DataSet. + Relative Strength Index - Default Input: USEquityPricing.close - Default Window Length: 14 + **Default Inputs**: [USEquityPricing.close] + + **Default Window Length**: 14 """ window_length = 14 inputs = (USEquityPricing.close,) @@ -48,7 +49,11 @@ class RSI(CustomFactor, SingleInputMixin): class SimpleMovingAverage(CustomFactor, SingleInputMixin): """ - Factor computing moving averages on a DataSet. + Average Value of an arbitrary column + + **Default Inputs**: None + + **Default Window Length**: None """ # numpy's nan functions throw warnings when passed an array containing only # nans, but they still returns the desired value (nan), so we ignore the @@ -62,6 +67,10 @@ class SimpleMovingAverage(CustomFactor, SingleInputMixin): class WeightedAverageValue(CustomFactor): """ Helper for VWAP-like computations. + + **Default Inputs:** None + + **Default Window Length:** None """ def compute(self, today, assets, out, base, weight): out[:] = nansum(base * weight, axis=0) / nansum(weight, axis=0) @@ -69,14 +78,22 @@ class WeightedAverageValue(CustomFactor): class VWAP(WeightedAverageValue): """ - Volume-weighted average price + Volume Weighted Average Price + + **Default Inputs:** [USEquityPricing.close, USEquityPricing.volume] + + **Default Window Length:** None """ inputs = (USEquityPricing.close, USEquityPricing.volume) class MaxDrawdown(CustomFactor, SingleInputMixin): """ - Max Drawdown over a window + Max Drawdown + + **Default Inputs:** None + + **Default Window Length:** None """ ctx = ignore_nanwarnings()