It seems like this platform is completely geared toward technical analysis of single stocks - I'm more interested in algorithms based on fundamentals over time - is this data available? Are there plans to make it easier to write this sort of algorithm?
Hello Peter,
This https://www.quantopian.com/posts/using-the-fetcher-with-quandl may give you some ideas on importing fundamentals from Quandl.
P.
Peter B - thanks for the question. We have a tool called fetcher, which allows the import of any time-series data into your algorithm. We also have set_universe, which lets you choose a cross-section of securities based on a dollar-volume ranking that updates quarterly. With those two combined, you can do cross-sectional selection of stocks using fundamental data.
One limitation is that you can not yet choose your universe using fetcher data, so you have to overlay the fundamentals on a dollar volume universe. We plan to make it easy to set your universe using fetcher data.
thanks,
fawce
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Thanks for the answers - I'm looking at them now - one further question though - it seems that the model for an algo relies on picking a universe of stocks before hand - I don't believe you have any way to change that universe over time? It'd be great to be able to change stocks in the universe over time so that if fundamentals crossed some threshold you could add some stock to the current tradable pool.
Actually I may have misunderstood the universe stuff - is it possible to write my own universe class that can map to whatever fundamental data I want? It seems this would allow updating of the tradable pool over time.
Peter,
Not yet. We did write the universe feature in a way that allows extension, but there is work we need to do to enable that from the algo script. For now, you have to choose the tradeable universe on dollar volume and refine from there.
thanks,
fawce
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.
The universe stuff would appear to be useful, however this means that the stocks it picks won't be known ahead of time, so fetching data from quandl can't be done in initialise. Ideally I'd just like to start with a random sampling of securities, but of course this isn't supported with the sid() function (https://www.quantopian.com/posts/sid-error)
Is there a good example algo using both a universe and data from quandl?
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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.