How to code CustomFactor using historical fundamentals?

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How to code CustomFactor using historical fundamentals?

posted Aug 1, 2016

Seeking Help Getting Started Research Value Pipeline

Hi quant experts,
I'm frustrated to the point of considering giving up on Quantopian.
I'm having trouble creating a CustomFactor using historical fundamental factors.
I'm trying to do something simple as calculating the average 5-year gross margin or 1-year ago TTM ROA.
I searched the forums but all I could find is questionable hacks.
It would be awesome if anyone can guide me on the matter.
Thank you so much,
Tal.

3 responses

This is really the pain in the ass and people here seem more fond of tech factor

It's not too difficult getting fundamentals. See attached notebook. With the any big data sets, it may take longer to retrieve the data (sometimes beyond the timeout of an algorithm), and the data will have a lot of messiness (more than the simpler technicals but which is true for just about any real life big data). It can be more complicated working with fundamentals because the data is more complicated. It's true that some nice things like TTM data isn't built in but the data and tools ARE there.

Dan Whitnable greate thx!!!!

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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.