How to grab just the top 10, or top 100 stocks within a percentile?

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How to grab just the top 10, or top 100 stocks within a percentile?

posted Apr 21, 2017

I have an algo that calculates the top 10th percentile by calculating the fundamental market cap / book value. The I'm using is:

pf['cap_book'] = (now_fund.market_cap / now_fund.tangible_book_value).apply(lambda x: np.log(x))  
cap_book_5 = np.percentile(pf.cap_book, 10)

Next I use:
pf = pf[pf.cap_book < cap_book_5] To select those stocks that are within the top 10th percentile. What I want to do is filter this more. If there is 100 stocks that fall into the top 10th percentile, I want to just select the top 10. Essentially if the calculated cap_book is < top 10 of the 10th percentile. What is the easiest way to do that?

1 response

Try this. Might need to remove the np & reference the factor object you are using

cap_book_5 = np.bottom(10)

Some documentation in line with text here - http://www.zipline.io/_modules/zipline/pipeline/factors/factor.html

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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.