Seeking help: how to find market PE?

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Seeking help: how to find market PE?

edited Jun 15, 2020

I was trying to find a market PE by using SPY's PE ratio. (Q500US would be nicer but not working and sid(8554) not working either)
The algo then pick stocks with its stock_PE > market_PE using the eval and return a boolean to pipeline.

def make_pipeline():  
    base_universe = Q500US()  
    market_pe = Fundamentals.pe_ratio(input = symbol('SPY'), window_length = 1)  
    stock_pe = Fundamentals.pe_ratio.latest  
    eval = stock_pe > marekt_pe

    return Pipeline(  
              columns={  
                'eval': eval  
              },screen=(base_universe)  
          )

It come back with symbol not defined.
Checked the tutorials and browsed over the posts in forum, didn't seem to find a solution.

Question: how to get the market PE?

2 responses

Tentor Testivis

ETFs like SPY usually don't have fundamental data. You can use a custom factor to calculate the mean PE ratio of all Q500 constituants:

class MarketPE(CustomFactor):  
    inputs = [Fundamentals.pe_ratio]  
    window_length = 1

    def compute(self, today, assets, out, pe_ratio):  
        out[:] = np.nanmean(pe_ratio)


def make_pipeline():  
    base_universe = Q500US()  
    market_pe = MarketPE(mask=base_universe)  
    stock_pe = Fundamentals.pe_ratio.latest  
    eval_ = stock_pe > market_pe # 'eval' is a builtin name in python, best not to use such names as variable

    return Pipeline(  
              columns={  
                'eval_': eval_  
              },screen=(base_universe)  
          )

@Tentor Testivis, Thanks you!

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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.