Hello,
I've been working through a backtesting strategy that is driven primarily by company fundamentals. Is there a way to select a set of companies based upon how fundamental data has changed on a YoY basis? For example, select companies whose EPS have grown X% YoY or Revenue that has grown QoQ?
I've played with the get_fundamentals function, but it appears to only be the current time bar in the backtest. (Ex: EPS data as of the current time bar)
Thanks for any help!
Hi Brian,
Historical fundamental data for algorithms is a widely-requested feature, but unfortunately it is not one that exists yet.
It is possible to get fundamental data from the past by accessing it through Pipeline under the morningstar namespace. However, I cannot recommend using Pipeline to do year-on-year fundamentals comparisons, because accessing fundamental data over such long periods of time is incredibly slow. We're working on the speed, and hopefully using fundamentals through Pipeline will be faster in the near future.
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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.
