Seems I need to open another thread to discuss the data problem I met. I wrote a notebook to draw the median of some fundamental factors for Q1500US during 2006-01-01 and 2017-12-31.
I check just four factors: earning_yield, -ev_to_ebitda, revenue_growth, roe. I also draw the trend of SPY for comparing.
Medians are hard to influenced by the outliers , but there is a spike for -ev_to_ebitda during 2017-04-28 to 2017-05-12. I assume this is due to some data bugs.
I can get conclusion that the fundamental data before 2014-Mar were not updated daily since the graphs show coarse-grained curves before that date.
The medians of "revenue_growth" and "roe" fluctuate periodically beside the main trend. I assume this is due to the filling of financial statement.
@Dan Whitnable @Blue Seahawk
