MORNINGSTAR_INDUSTRY_GROUP_CODES_after_Nov2019 = {10110: 'Agricultural Inputs',
10120: 'Building Materials',
10130: 'Chemicals,Specialty Chemicals',
10140: 'Lumber & Wood Production,Paper & Paper Products',
10150: 'Aluminum,Copper,Other Industrial Metals & Mining,Gold,Silver,Other Precious Metals & Mining',
10160: 'Coking Coal,Steel',
10200: 'Auto & Truck Dealerships,Auto Manufacturers,Auto Parts,Recreational Vehicles',
10220: 'Furnishings, Fixtures & Appliances',
10230: 'Residential Construction',
10240: 'Textile Manufacturing,Apparel Manufacturing,Footwear & Accessories',
10250: 'Packaging & Containers',
10260: 'Personal Services',
10270: 'Restaurants',
10280: 'Apparel Retail,Department Stores,Home Improvement Retail,Luxury Goods,Internet Retail,Specialty Retail',
10290: 'Gambling,Leisure,Lodging,Resorts & Casinos,Travel Services',
10310: 'Asset Management',
10320: 'Banks—Diversified,Banks—Regional,Mortgage Finance',
10330: 'Capital Markets,Financial Data & Stock Exchanges',
10340: 'Insurance—Life,Insurance—Property & Casualty,Insurance—Reinsurance,Insurance—Specialty,Insurance Brokers,Insurance—Diversified',
10350: 'Shell Companies,Financial Conglomerates',
10360: 'Credit Services',
10410: 'Real Estate—Development,Real Estate Services,Real Estate—Diversified',
10420: 'REIT—Healthcare Facilities,REIT—Hotel & Motel,REIT—Industrial,REIT—Office,REIT—Residential,REIT—Retail,REIT—Mortgage,REIT—Specialty,REIT—Diversified',
20510: 'Beverages—Brewers,Beverages—Wineries & Distilleries',
20520: 'Beverages—Non-Alcoholic',
20525: 'Confectioners,Farm Products,Household & Personal Products,Packaged Foods',
20540: 'Education & Training Services',
20550: 'Discount Stores,Food Distribution,Grocery Stores',
20560: 'Tobacco',
20610: 'Biotechnology',
20620: 'Drug Manufacturers—General,Drug Manufacturers—Specialty & Generic',
20630: 'Healthcare Plans',
20645: 'Medical Care Facilities,Pharmaceutical Retailers,Health Information Services',
20650: 'Medical Devices,Medical Instruments & Supplies',
20660: 'Diagnostics & Research',
20670: 'Medical Distribution',
20710: 'Utilities—Independent Power Producers,Utilities—Renewable',
20720: 'Utilities—Regulated Water,Utilities—Regulated Electric,Utilities—Regulated Gas,Utilities—Diversified',
30810: 'Telecom Services',
30820: 'Advertising Agencies,Publishing,Broadcasting,Entertainment',
30830: 'Internet Content & Information,Electronic Gaming & Multimedia',
30910: 'Oil & Gas Drilling,Oil & Gas E&P,Oil & Gas Integrated,Oil & Gas Midstream,Oil & Gas Refining & Marketing,Oil & Gas Equipment & Services',
30920: 'Thermal Coal,Uranium',
31010: 'Aerospace & Defense',
31020: 'Specialty Business Services,Consulting Services,Rental & Leasing Services,Security & Protection Services,Staffing & Employment Services',
31030: 'Conglomerates',
31040: 'Engineering & Construction,Infrastructure Operations,Building Products & Equipment',
31050: 'Farm & Heavy Construction Machinery',
31060: 'Industrial Distribution',
31070: 'Business Equipment & Supplies,Specialty Industrial Machinery,Metal Fabrication,Pollution & Treatment Controls,Tools & Accessories,Electrical Equipment & Parts',
31080: 'Airports & Air Services,Airlines,Railroads,Marine Shipping,Trucking,Integrated Freight & Logistics',
31090: 'Waste Management',
31110: 'Information Technology Services,Software—Application,Software—Infrastructure',
31120: 'Communication Equipment,Computer Hardware,Consumer Electronics,Electronic Components,Electronics & Computer Distribution,Scientific & Technical Instruments',
31130: 'Semiconductor Equipment & Materials,Semiconductors,Solar'}import numpy as np
from quantopian.pipeline import Pipeline
from quantopian.pipeline.data.morningstar import Fundamentals
from quantopian.research import run_pipeline
from quantopian.pipeline.filters import QTradableStocksUS
from quantopian.pipeline.data import USEquityPricing
from quantopian.pipeline.factors import Returns
def make_pipeline():
base_universe = QTradableStocksUS()
close_price = USEquityPricing.close.latest
morningstar_industry_group_code = Fundamentals.morningstar_industry_group_code.latest
prev_change = Returns(inputs = [USEquityPricing.close], window_length=2)
pipe = Pipeline(
columns={
'morningstar_industry_group_code':morningstar_industry_group_code,
'close_price':close_price,
"prev_change": prev_change,
},
screen=base_universe,
)
return pipe
df = run_pipeline(make_pipeline(), '2020-01-01', '2020-05-22')
df["sector_name"] = df["morningstar_industry_group_code"].replace(MORNINGSTAR_INDUSTRY_GROUP_CODES_after_Nov2019)
df.head()Pipeline Execution Time: 1.14 Seconds
| close_price | morningstar_industry_group_code | prev_change | sector_name | ||
|---|---|---|---|---|---|
| 2020-01-02 00:00:00+00:00 | Equity(2 [HWM]) | 30.76 | 31070 | -0.003563 | Business Equipment & Supplies,Specialty Indust... |
| Equity(24 [AAPL]) | 293.41 | 31120 | 0.006045 | Communication Equipment,Computer Hardware,Cons... | |
| Equity(41 [ARCB]) | 27.60 | 31080 | 0.013216 | Airports & Air Services,Airlines,Railroads,Mar... | |
| Equity(52 [ABM]) | 37.71 | 31020 | -0.013215 | Specialty Business Services,Consulting Service... | |
| Equity(53 [ABMD]) | 170.58 | 20650 | 0.020093 | Medical Devices,Medical Instruments & Supplies |
df.groupby("sector_name")["prev_change"].sum().sort_values().plot(kind="bar")
