Changes to how you use earnings calendar data

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Changes to how you use earnings calendar data

edited

Using Data Q Updates

Hi all,

Recently we announced new, built-in factors that make use of earnings calendar data.

Today, we shipped a change to production that changes how you use this feature. Specifically, we’ve modified the namespaces for importing these factors to make them more intuitive in the long run.

Previously, an import statement for these earnings calendar factors was:

from quantopian.pipeline.data.eventvestor.factors import (BusinessDaysUntilNextEarnings, BusinessDaysSincePreviousEarnings)

This has changed to:

from quantopian.pipeline.factors.eventvestor import (BusinessDaysUntilNextEarnings, BusinessDaysSincePreviousEarnings)

We’ve made every effort to update documentation, sample algorithms and forum posts that use these import statements. However, if you’ve previously cloned or written an algorithm with the older import statement, you will get an import error if you don’t change to the new required import statement.

Check out some of the previous forum posts (now updated) using this data:

Here are a few examples using this data:

Post earnings announcement drift strategy w/ Estimize - linked to https://www.quantopian.com/posts/post-earnings-drift-trading-strategy-with-estimize-pead
Avoiding earnings announcements in your algorithms - linked to https://www.quantopian.com/posts/dont-trade-earnings-reports-a-simple-risk-avoidance-trading-strategy
Tech sector rebalance w/ SPY hedge - https://www.quantopian.com/posts/tech-sector-strategy-with-spy-hedge-and-earnings-call-avoidance
Webinar with Dr. Jess Stauth on earnings announcements volatility - https://www.youtube.com/watch?v=6_ett4fersc

Let us know if you have any questions.

Thanks
Josh

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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.

About Quantopian

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.