Hey everybody,
I was thinking of performing a clustering analysis of all the S&P 500 stocks, so that I could find stocks having the same properties, which will help me identify the stocks that I need to trade with using the pairs trading strategy. I want to know is there any way that I could get the historical data for all S&P 500 stocks having information like the valuation ratios in addition to the prices on Quantopian.
Any help is appreciated :)
Quantopian doesn't have the S&P 500 stocks as a list, but you could try their Q500US/Q1500US built-in universes (see https://www.quantopian.com/help#built-in-filters ) along with Morningstar fundamentals (see the help page and https://www.quantopian.com/help/fundamentals ).
Thanks for your reply Grant.
Is there any way I can just store the fundamental data into a dataframe? I want to use this dataframe for performing a k means clustering.
I'm pretty sure something along those lines should be doable, but I'm not so familiar with fundamentals/pipeline. Maybe someone else can post an example?
If you go into My Code --> Notebooks, and click on Tutorials and Documentation, you'll see one that starts you on loading corporate fundamentals into research.
I also recommend checking out the Lectures in general, and the "Case Study: Traditional Value Factor" in particular to see how the data can be used.
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