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FCF Q1500 Universe
Daniel Cascio (Blue Robin)
posted
Seeking Help Getting Started Using Data Collaboration Request Pipeline

Hi All,

Attached is my backtest on a Free Cash Flow algo which goes long & short the top 10 quantile. The strategy seems to hold up well until recently versus S&P 500.

I wanted to share my results with the community in hopes of finding some collaboration or spark new ideas to add to this strategy.

Some food for thought, I have considered implementing the following into the code but ran into a road block with my limited Python experience.

Feel free to rip the algo apart if I did something wrong or just doesn't make sense as I encourage constructive criticism.

1) MACD Crossover > 0 Buy < 0 sell

2) Volume MA > Buy <Sell

3) Market Cap Increasing Buy or Decrease sell

4) Eliminate Finacials and Real Estate ??

5) Combine FCF Yield (Last 12 Months) with Price Index (12 Months) --> (Price index 12 months is calculated as the current share price / share price 12 months ago)

3 responses
Daniel Cascio (Blue Robin)

Any feedback from the Community?

Robert Petteruti

Hi Daniel,

Nice work so far on your algorithm! I strongly recommend using the most recent iteration of the Quantopian tradable universe, the QTradableStocksUS, as a filter in your strategy's pipeline. Unlike the Q500US() and Q1500US(), the QTradableStocksUS has no size cutoff.

I cloned and updated your strategy to use the QTradableStocksUS instead of the Q1500US().

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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.

Daniel Cascio (Blue Robin)

Awesome, thank you for taking a look through and the vote a confidence that I am somewhat on the right track.

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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.