I am confused as to what is the best practice for implementing fundamental screens in QT2.
Here is what i want to do. Every N months, do a fundamental screen and get a list of stocks, invest in those and discard any that don't match the screen. Is there a simple example using pipeline? Should i be using pipeline for this?
Hi Chris,
Pipeline would indeed be recommended to write an algorithm as you describe. Here you can find some example algorithms using Pipeline.
If you want to set a screen using fundamental data, you would import BoundColumns from quantopian.pipeline.data.morningstar for use to construct a filter. Here is an example of a pipeline screening based on diluted EPS growth:
from quantopian.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline import Pipeline
from quantopian.pipeline.data.builtin import USEquityPricing
from quantopian.pipeline.data import morningstar
def initialize(context):
attach_pipeline(my_pipeline(context), 'my_pipeline')
def my_pipeline(context):
return Pipeline(
columns={
'close': USEquityPricing.close.latest
},
screen=(morningstar.earnings_ratios.diluted_eps_growth.latest > 0)
)
def before_trading_start(context, data):
context.data = pipeline_output('my_pipeline')
log.info(context.data) The full list of fundamental data fields can be found here.
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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.