Create our pipeline.

def make_pipeline(context):
    """
    Create our pipeline.
    """

    # Filter for primary share equities. IsPrimaryShare is a built-in filter.
    primary_share = IsPrimaryShare()

    # Not when-issued equities.
    not_wi = ~IEXCompany.symbol.latest.endswith('.WI')

    # Equities without LP in their name, .matches does a match using a regular
    # expression
    not_lp_name = ~IEXCompany.companyName.latest.matches('.* L[. ]?P.?$')

    # Equities whose most recent Morningstar market cap is not null have
    # fundamental data and therefore are not ETFs.
    have_market_cap = IEXKeyStats.marketcap.latest >= 1

    # At least a certain price
    price = USEquityPricing.close.latest
    AtLeastPrice = (price >= context.MyLeastPrice)
    AtMostPrice = (price <= context.MyMostPrice)

    # Filter for stocks that pass all of our previous filters.
    tradeable_stocks = (
        primary_share
        & not_wi
        & not_lp_name
        & have_market_cap
        & AtLeastPrice
        & AtMostPrice
    )

    LowVar = 6
    HighVar = 40

    log.info(
        '''
Algorithm initialized variables:
 context.MaxCandidates %s
 LowVar %s
 HighVar %s''' %
        (context.MaxCandidates, LowVar, HighVar))

    # High dollar volume filter.
    base_universe = AverageDollarVolume(
        window_length=20,
        mask=tradeable_stocks
    ).percentile_between(LowVar, HighVar)

    # Short close price average.
    ShortAvg = SimpleMovingAverage(
        inputs=[USEquityPricing.close],
        window_length=3,
        mask=base_universe
    )

    # Long close price average.
    LongAvg = SimpleMovingAverage(
        inputs=[USEquityPricing.close],
        window_length=45,
        mask=base_universe
    )

    percent_difference = (ShortAvg - LongAvg) / LongAvg

    # Filter to select securities to long.
    stocks_worst = percent_difference.bottom(context.MaxCandidates)
    securities_to_trade = (stocks_worst)

    return Pipeline(
        columns={
            'stocks_worst': stocks_worst
        },
        screen=(securities_to_trade),
    )