Millenial money customised algo

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Millenial money customised algo

posted Feb 23, 2017

Getting Started Momentum Collaboration Request Value

This is an algorithm I am using for live trading. It is inspired by Patrick O'Shaughnessy's "Millennial Money" picking strategy. For a base I have used a code already inspired by the strategy [1]

This algorithms features are as follows:
1. Stakeholder yield < 5%. Stakeholder yield = Cash from financing 12m / Market Cap Q1
2. ROIC > 25% | ROIC = operating_income / (invested_capital - cash)
3. CFO > Net Income (Earnings Quality)
4. EV/FCF < 15 (Value)
5. 6M Relative Strength top three-quarters of the market.
6M Relative Strength = 6M Stock Total Return / 6M Total Return S&P500 (Momentum)
6. Positions are kept at least for 2 quarters
7. implemented 15% stop loss; if the stock hits stop loss it cannot be repurchased for a half year
8. market cap > 30m

As quantopian does work only on USA equities, and I can only trade UK stocks (on LSE), I have developed python scripts which automatically download and evaluate fundamentals from Morningstar and ADVFN. I may share these scripts later on

[1] https://www.quantopian.com/posts/patrick-oshaughnessys-millennial-money-value-investing-algorithm-number-fundamentals

2 responses

It even performs well during the financial crisis with max drop down -44.9%. I also made the algo slightly faster as I do not cache all previously queried stocks anymore.

Andres Carrillo

Hi, I've tried to clone the algorithm to do my own backtests, but the get_fundamentals function is not available anymore and I don't know how to use the Pipeline API. Would you be able to provide some assistance on migrating the functions? Thanks!

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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.