I have a pipeline that has a complex CustomFactor. I am trying to reduce the time it takes to run by using a mask but the mask always has True values. i.e. It doesn't filter out values. The total stocks I start with are ~8000 but if the mask works, my Custom Factor should only execute on about 200. That will increase performance. I am more than happy to implement this if you can point me in the right direction.
Example:
def make_pipeline():
rsi = RSI()
custom = CustomFactor(mask=(rsi > 70)) # should ideally provide a subset to run on
return Pipeline({
'column': columns
})
I have a pipeline that has a complex CustomFactor. I am trying to reduce the time it takes to run by using a mask but the mask always has True values. i.e. It doesn't filter out values. The total stocks I start with are ~8000 but if the mask works, my Custom Factor should only execute on about 200. That will increase performance. I am more than happy to implement this if you can point me in the right direction.
Example: