Is there a way to identify the stock's annual earnings announcement date in Quantopian? I am working with a Piotroski model, and for the accurate functioning of the model, it is important that the strongest stocks are bought around the earnings announcement. I have stumbled upon a Piotroski model code here on quantopian in the forums as well as in the basic fundamentals tutorial, but those models do not look at annual earnings, they simply compare the financial statements of the stock at a point in time (irrespective whether that turns out to be annual announcement or a quarterly one, plus there is a lag between the announcement and when the code actually looks at the fundamentals) versus that point in time a year ago.
You may want to check out Quantopian Data there are a bunch of data sets there you can play with and if you find some signal generating quality even purchase. Of interest to you might be the Earnings Calendar data set and/or the Earnings Releases data set. The data isn't in the backtester yet but is available in Research, which might be a better place to explore the data before you buy. Of course you always have the option of running a Zipline instance in Research if you just can't wait for the data to make it into the back tester.
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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.
A quick follow up on this: we've released new pipeline factors for use in algos that provide the earnings announcement dates. Here's a thread where we've started to use it: https://www.quantopian.com/posts/reduce-volatility-and-increase-sharpe-by-accounting-for-earnings-announcements
More information at that Earnings Calendar data page link from above: https://www.quantopian.com/data/eventvestor/earnings_calendar
Also, check out the standard docs: https://www.quantopian.com/help#importing-datasets and https://www.quantopian.com/help#built-in-data-factors
Disclaimer
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.
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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.