Lots of questions below, even if you can just answer one I would be forever grateful!!
My overall strategy: short parabolics (need to figure at what percentage increase leads to the greatest percent decrease and what fundamentals affect this decrease)
I am trying to build a top gain scanner that will be able to tell me stocks that increased for example +300% within a 20 day period from for example 2010 - 2012 and then also decreased of 40% within 20 days of the high of that +300% run up.
I also need a breakdown of which sector they were in, the average net income for the past 3 years prior to their gain ( the mean for each year) and the average market cap during that time period.
I got this far but keep getting this error (google searches of error haven't helped) -
TypeError: zipline.pipeline.term.getitem() expected a value of type zipline.assets._assets.Asset for argument 'key', but got tuple instead.
Would it also be possible to create some sort of distribution graph showing the average for market cap/net income (year 1,2 and 3) at each 5% interval of drawdown from the high of the parabolic ( ex. stocks that increase +300% and decrease 5% or less during 20 day period after high of parabolic have a mean market cap of 2.2 billion , 6-10% drawdown 1.4 billion, 36 -40% drawdown 70 million) I also would want the same thing of breakdown per sector
I also need to create a similar distribution graph looking at the average max drawdown over a 20 day period from the high of the parabolic on a 100% interval based on the max % increase within the 20 days before the high of the parabolic. (ex. stocks that increase 0-100% within a 20 day period have a max drawdown on average of 20%, stocks that increase 101- 200% have a max drawdown average of 35%, 1001-1100 max drawdown 65%)
Is it also possible for quantopian to search through all of morningstars fundamentals and find if there is any correlation with stocks that increase for example +300% and decrease 40% within a 40 day period
Finally does morningstar track float (it is one of the more important indicators regarding parabolics)
Thanks so much for any help you can offer!
