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Beginner troubles with fundamentals.
Diego Sancho
posted Aug 10, 2018

Hi everyone.

I've just started using quantopian and I have some troubles with fundamental data. My goal was to use different of these fundamentals (like roe or roa...) to get a list of interesting companies in which we can invest.

So the thing is that I don't quite know how to use the fundamentals listed here : https://www.quantopian.com/help/fundamentals#fundamentals-overview

Do I have to use the "custom factor" to introduce it in a pipeline ? If someone can guide me a bit it would be great !

Thanks !

7 responses
Mathieu M
Aug 10, 2018

Hi,

It depends whether you just need the latest value of the fundamental or you need to access previous fundamental's data.

In the first case, simply use:

Fundamentals.operation_ratios.roa.latest

In the second, you will have to build a customfactor

Joakim Arvidsson (Cream Mongoose)
Aug 10, 2018

Hi Diego,

If you do:

from quantopian.pipeline.data import Fundamentals

You can then ‘tab’ your way to something like:

roa = Fundamentals.roa.latest

Have a look at the documentation, I find it quite useful.

Diego Sancho
Aug 10, 2018

Do I need to import some module/package to use this "Fundamentals.operation_ratios.roa.latest" ?

Thanks !!!

Joakim Arvidsson (Cream Mongoose)
Aug 10, 2018

Yes you do. See my above response.

Diego Sancho
Aug 10, 2018

oh thanks I wrote my anwer before reading yours !

Anyway thank you to both of you. I manage to do something quite useful for my first algorithm in quantopian !

Daniel Cascio (Blue Robin)
Aug 14, 2018

HI Diego,

Here's a sample algo to get you started.

Shankar Pachari
Feb 24, 2019

@Blue Robin I am trying to build an algorithm that uses multiple factors (p/e, RoA, debt, p/b, etc). I ran this algorithm to get a starting template - but I get this error.

Can anyone please help?

TypeError: MaximizeAlpha() expected a value with dtype 'float64' or 'int64' for argument 'alphas', but got 'object' instead.  
There was a runtime error on line 229.

Is there a current example of using multiple fundamental factors?

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