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Long-only Piatovski 2007-2020

Code cloned from Praveen Bhushan (https://www.quantopian.com/posts/piotroskis-f-score-algorithm)

Evaluating long-only top-10 Piatovski F-score stocks portfolio for the period from 2007 to 2020.

3 responses

The algorithm can now add up to 20 new stocks in the portfolio through rebalance. Leverage limited.

Sorted by
- EV > 0
- MarCap > 1 bln USD
Improved leverage limiting function

Short Pitrovski/Long S&P