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James Montier Trinity of Risk Short Strategy

Can anyone implement this short-selling strategy using pipeline? I'm not sure how I'd get 6y average earnings (I tried using the SimpleMovingAverage factor but it returned NaN).

http://www.stockopedia.com/screens/james-montier-trinity-of-risk-screen-158/

This screen uses the following criteria:

P/6y Avg Earnings > 16
EPS > 2 * EPS 6y Avg
Altman Z Score (1) < 1.8
Sector not in F inancials, Utilities,

Results are sorted by:
Altman Z Score (1) in ascending order

And limited to the first 100 Results

3 responses

Is anyone able to implement this?
Or know how to get the 6 year average earnings?

Using
http://pandas.pydata.org/pandas-docs/stable/computation.html
and
https://www.quantopian.com/posts/finding-the-best-moving-averages-now-with-2012-testing-period#58837826ea1653455b3e2ec3

We derive the attached notebook, with the key line being :

X=data.price.rolling(window=6*252).mean() # 6-year rolling window

alan

Did you ever figure this out? I would like to know if you found a way to implement the Altman Z score