ENH: add Factor.clip method

tests/pipeline/test_factor.py

@@ -1328,6 +1328,36 @@ def test_quantile_helpers(self):
         self.assertIs(f.deciles(mask=m), f.quantiles(bins=10, mask=m))
         self.assertIsNot(f.deciles(), f.deciles(mask=m))
 
+    @parameter_space(seed=[1, 2, 3])
+    def test_clip(self, seed):
+        rand = np.random.RandomState(seed)
+        shape = (5, 5)
+        original_min = -10
+        original_max = +10
+        input_array = rand.uniform(
+            original_min,
+            original_max,
+            size=shape,
+        )
+        min_, max_ = np.percentile(input_array, [25, 75])
+        self.assertGreater(min_, original_min)
+        self.assertLess(max_, original_max)
+
+        f = F()
+
+        self.check_terms(
+            terms={
+                'clip': f.clip(min_, max_)
+            },
+            initial_workspace={
+                f: input_array,
+            },
+            expected={
+                'clip': np.clip(input_array, min_, max_),
+            },
+            mask=self.build_mask(self.ones_mask(shape=shape)),
+        )
+
 
 class ReprTestCase(TestCase):
     """

zipline/pipeline/factors/basic.py

@@ -4,6 +4,7 @@
 from numpy import (
     arange,
     average,
+    clip,
     copyto,
     exp,
     fmax,
@@ -526,3 +527,40 @@ def compute(self, today, assets, out, classifier_values):
 # Convenience aliases
 EWMA = ExponentialWeightedMovingAverage
 EWMSTD = ExponentialWeightedMovingStdDev
+
+
+class Clip(CustomFactor):
+    """
+    Clip (limit) the values in a factor.
+
+    Given an interval, values outside the interval are clipped to the interval
+    edges. For example, if an interval of ``[0, 1]`` is specified, values
+    smaller than 0 become 0, and values larger than 1 become 1.
+
+    **Default Window Length:** 1
+
+    Parameters
+    ----------
+    min_bound : float
+        The minimum value to use.
+    max_bound : float
+        The maximum value to use.
+
+    Notes
+    -----
+    To only clip values on one side, ``-np.inf` and ``np.inf`` may be passed.
+    For example, to only clip the maximum value but not clip a minimum value:
+
+    .. code-block::
+
+       Clip(inputs=[factor], min_bound=-np.inf, max_bound=user_provided_max)
+
+    See Also
+    --------
+    numpy.clip
+    """
+    window_length = 1
+    params = ('min_bound', 'max_bound')
+
+    def compute(self, today, assets, out, values, min_bound, max_bound):
+        clip(values[-1], min_bound, max_bound, out=out)

zipline/pipeline/factors/factor.py

@@ -1301,6 +1301,45 @@ def isfinite(self):
         """
         return (-inf < self) & (self < inf)
 
+    def clip(self, min_bound, max_bound, mask=NotSpecified):
+        """
+        Clip (limit) the values in a factor.
+
+        Given an interval, values outside the interval are clipped to the
+        interval edges. For example, if an interval of ``[0, 1]`` is specified,
+        values smaller than 0 become 0, and values larger than 1 become 1.
+
+        Parameters
+        ----------
+        min_bound : float
+            The minimum value to use.
+        max_bound : float
+            The maximum value to use.
+        mask : zipline.pipeline.Filter, optional
+            A Filter representing assets to consider when clipping.
+
+        Notes
+        -----
+        To only clip values on one side, ``-np.inf` and ``np.inf`` may be
+        passed.  For example, to only clip the maximum value but not clip a
+        minimum value:
+
+        .. code-block::
+
+           factor.clip(min_bound=-np.inf, max_bound=user_provided_max)
+
+        See Also
+        --------
+        numpy.clip
+        """
+        from .basic import Clip
+
+        return Clip(
+            inputs=[self],
+            min_bound=min_bound,
+            max_bound=max_bound,
+        )
+
     @classmethod
     def _principal_computable_term_type(cls):
         return Factor