Hi,
I am interested Equities and build a model according to that. Just wondering whether you provide the following on say S&P 500 stocks.
¤ Earnings Yield (EBIT / enterprise value). ¤ Return on Capital (EBIT / (net fixed assets + working capital)
Joyanta
Hello Joyanta, Welcome to Quantopian!
We don't have fundamental data of that type available yet from our internal database, but we do have access to it through import. The import isn't as convenient, but it works pretty well. Until we get it into our internal database, you'll have to identify an external source. That sounds like the kind of data you can get from yahoo finance or something similar. Then you can import it using Fetcher, and test against it.
Here's the documentation on our importer: https://www.quantopian.com/help#overview-fetcher
Here's an example of the importer in action:https://www.quantopian.com/posts/trading-earnings-surprises-with-estimize-data
I suspect it will be able to find other interested people in the community to help out once you get started a bit.
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.
Hi Joyanta,
Finding a history of the figures you need might be a bit tricky. As far as I know, Yahoo, Google and other services only have current values for anything besides prices. Quandl does have some history for the EBIT and EV, but they are annual. For example, here's Alcoa's EV - http://www.quandl.com/OFDP-Open-Financial-Data-Project/DMDRN_AA_EV-Alcoa-Inc-AA-Enterprise-Value
Are there any currently online sources you like for these values? If you can get the data to csv, you can use it on quantopian.
thanks,
fawce
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.
When I started looking for historical financial records I came across YCharts. They have a $50/month (and up) subscription service but the most recent 5 years of data is free. You would need to build your own CSV files.
Nice, I should have thought of YCharts!
They actually has csv export for all their data, if you buy the pro version. You can't download anything in a free trial, you have to actually be a full user. Once you have the csv, if you put it in Dropbox or S3 or anywhere else you can reach with http, you can run the data in your simulations.
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.
It looks like some financials are not available free (such as EV / EBIT).
For the free values (such as EPS) you could copy the last 5 years (of quarterly info) into a CSV file.
Thanks you guys. I will use YCharts (might just scrape the data). For earlier data I will just pay.
Thanks again.
Joyanta
I too would definitely love to see a Quantopian screen and backtest built on fundamental data. Particularly, I am looking for a way to evaluate Shiller's 10 year adjusted PE ratio (CAPE10), according to a blog post that I just wrote. Zack's Research Wizard and Portfolio123 look good, but are expensive for the paid service.
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.
