Questions about averaging EPS data and more.

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Questions about averaging EPS data and more.

Satshabad Khalsa

edited

Seeking Help Getting Started Pipeline

Hi, I'd like to create an algorithm such that:

Every month do:
Filter universe to 1B market cap or larger.
Find normalized_diluted_eps averaged over 3 years for each stock.
Filter out any stocks for which that 3 year avg eps is negative.
Find price/(3 year avg of normalized_diluted_eps ) for each stock. Lets call that earnings_to_price.
Find the sum of all earnings_to_price. Call that eps_total.
For each stock find earnings_to_price/eps_total. Call that weight.
Then for each stock buy or sell until the weight percentage of our money is in that stock.

Questions:
Is it possible to find normalized_diluted_eps avgeraged over 3 years with the pipeline? If so what does window_length need to be? Is window_length always measured in days?

Using the pipeline I know that it's set up at the beginning of every day right? Is there a way to set it up at start of each month instead?

Is there anything about this algorithm that seems hard to do? Something else I'm missing?

I've attached the algorithm so far.

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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.