Many of our funded authors have relied upon price driven strategies. As we continue to evaluate and add algorithms to our portfolio, we will be especially interested in new strategies that take advantage of a broader range of fundamental factors.
CapEx Vol
Cash flow volatility is a fairly well studied metric that is often considered a proxy for uncertainty at a firm level. In this template algorithm we've extended that idea to see if firms with relatively more volatile capital expenditures (e.g. spending on things like new buildings, plants, equipment, etc) are also more unpredictable and, by extension, riskier and more likely to underperform firms with lower relative capex volatility. For a bit more academic detail take a look at this SSRN paper.
As we look to expand the set of algorithms receiving allocations over the next few months we expect to give preference to new ideas that take advantage of a broader range of fundamental factors.
To get started, clone this algorithm, improve it with your own ideas, and submit it to the Quantopian Daily Contest.
N.B. As implemented here, this algo doesn't fully meet all of the criteria for entry in the daily contest so we're leaving that as an "exercise for the reader".
Fundamental Sample Strategies Library
To see all of our fundamental sample strategies, please visit our new library post. We will be adding more templates in the future, so keep an eye on the "Algo Template" tag in the Quantopian forums: https://www.quantopian.com/posts/tag/Algo-Template/newest.
