Fundamental Data Analysis of Q500US Returns - Heatmap

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Fundamental Data Analysis of Q500US Returns - Heatmap

edited Nov 14, 2018

Hello Quantopians. This is the second post of my series of posts for my Investment Strategies class at University. The task this time is to build a Heatmap analyzing the cross relationship between two factors and their average (overnight) returns through a period of time. For my analysis I chose the price earning ratio in relation with the market cap and their average overnight returns for the period from October, 2017 until October 2018.

(PS: there is something wrong with the way i am calculating overnight returns, it would be really appreciated if someone could help with that)

Update on 14 November : i tried to solve some of the problems i had in the last notebook. i was calculating the overnight return using two separate pipelines and the results i got seemed to be wrong. I used the get pricing function now and it looks like that i got better results but i am still not 100% sure if the way i calculated the overnight returns are right since the length of the open and close prices that i get is different. You can find the old notebook is in the comment section below.

Please feel free to comment, correct any mistakes or make any suggestions.
Thank you.

1 response

Old notebook

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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.