Growth Rate with Factor

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Growth Rate with Factor

posted Mar 26, 2017

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I'm trying to determine the growth rate for two EPS values: the current quarter vs the same quarter a year ago. The challenge that I'm finding is that depending if the earnings are positive or negative, the sign on the growth rate is not correct. I would normally just use a conditional statement and apply a negative sign correctly, but this is all captured in factors and I haven't been able to figure out how to conditionally change the sign. I tried "np.where" but got errors.

The standard percentage growth formula is obviously:

growth = (Current - Previous) / Previous

However if EPS go from -$1 a share to $5 a share then it would be:

growth = -6 = (5 -- 1)/-1.

So in this case, the growth is -6, but it had positive growth. I'm trying to make my algorithm distinguish between negative growth and positive growth. (This seems like a fairly newbie question)

I've attached a notebook to hopefully make it easier for someone to help.

Thanks!
--Brian

3 responses

You may want to consider a separate custom factor to calculate eps growth. Divide by the absolute value of 'previous'. Something like this....

class EPS_Growth(CustomFactor):  
    inputs = [morningstar.income_statement.net_income_from_continuing_and_discontinued_operation, morningstar.valuation.shares_outstanding]  
    window_length = cTRADING_DAYS_YEAR  


    def compute(self, today, assets, out, income, shares):  
        current_eps = income[-1] / shares[-1]  
        year_ago_eps = income[0] / shares[0]  
        out[:] = (current_eps - year_ago_eps) / np.absolute(year_ago_eps)

See attached notebook with this in action. Specifically note ABX about 10 rows down in the resulting dataframe. The earnings go from negative to positive. The custom factor therefore shows a positive growth (which is what you were looking for).

I noticed FLWS, for example, ballooned in some weeks/quarters. But the period shifted around. Timeshift might be worth checking out.

Dan, thank you so much for this! I was stuck on this for hours and hours.

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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.