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How do you do accurate and current filtering based EV_TO_EBITDA
Saravanan Shanmugham
posted
Seeking Help Using Data Value

The current get_fundamentals() API can filter only based on the stored values.
These are not accurate or current on any particular day.

The Enterprise Value(EV) is not current for the day and needs to be calculated based on the last closing price.

Values like EBITDA also seem to monthly, so I have to query for the last "4q" and sum them before I can calculate annual EBITDA

Then calculate EV_TO_EBITDA.

Then filter across all the stocks.

Not sure how to do this.

I would like to do it in the before_trading_start(context, data), API.

But the "data" object in this API does not have price information for all the stocks. Only the dollar-volume universe.

Or does it?

The last time checked on this wa about a year ago and was told that this under development.

How do I do this?

1 response
Josh Payne

Sarvi, things are progressing significantly on the development front. We previously announced this effort: https://www.quantopian.com/posts/how-to-build-a-stat-arb-strategy-on-quantopian

which will include fundamentals data in the construct when it is released. It's currently in the test phase. With that feature, I think you'll be able to more easily do what you are wanting.

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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.