Building an Intrinsic Value Calculator

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Building an Intrinsic Value Calculator

posted Dec 23, 2019

Seeking Help Research Value Pipeline Fundamentals

I want to build an intrinsic value filter. The method of my calculation is simple and straight-forward:

Extract fundamentals data from all Equities from Morningstar for the past 12 quarters (3 years) - mainly free cash flow, revenues, long term debt, interest payable, total stockholder equity, etc
Calculate the intrinsic value of each equity using either the dividend yield method or DCF - based on the annualized growth rates exhibited in past 3 years
Compare the intrinsic value of stock with that of the current stock price. If the intrinsic value > current stock price ; then it should flag it is a BUY

The problem I am facing is to get the past 12 quarters data. How can I efficiently run my pipeline such that it only extracts fundamentals data from the past 12 quarters ? - I attempted to solve this problem by running separate dataframes and different points in the past 12 quarters - the problem I find with this is that firstly there are too many dataframes; and secondly its cumbersome to match the equity level data in each data frame (for example looking for the fundamentals of AAPL in each dataframe)

Does anyone have a better solution to this problem - or someone has already attempted to do this ? Thanks for the help in advance

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.