Hi,
I'm having trouble setting up a SQLAlchemy code that would reference a fundamental metric from the past. For example, say I want to buy stocks whose average earnings-per-share (EPS) in the last 4 quarters are greater than the average EPS of the preceding 4 quarters. How would I use the get_fundamentals function to filter stocks like that?
Thank you very much in advance.
Right now you'd have to save each current value as you encounter it. So you'd have to wait 8 quarters until you had enough history. I imagine they'll add the ability to reference historical fundamentals at some point.
Hi guys,
Here's an algorithm that creates a "history" of fundamental data by creating a Pandas Panel with the dates as the index that you can reference data from
Give it a shot and let me know if you have any questions
Seong
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@Seong: Sorry for reviving this old thread, but why do you convert the context.fundamental_dict into a Pandas Panel? You can also reference the data by context.fundamental_dict[date][stock]['whatever'], so what kind of advantage does context.fundamental_data = pd.Panel(context.fundamental_dict) provide?
Is this still the best way to compare fundamental data to a previous period? Does the new Pipeline API allow a more intuitive way of applying this functionality?
Regards,
Mark
Hey guys, I implemented a very similar strategy in this thread. I'll share the backtest here as well for convenience. Let me know if you have any questions!
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.
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.
