This algorithm is my interpretation of Tuulberg Index algorithm, which has been refined over the years. The Index is run by a former Economics teacher Heinar Tuulberg together with his students in a crowd sourced way. Everybody who has access to the analysis also contributes and executes real trade orders. Also, students receive scholarship from their successful transactions. They've outperformed the local stock index over 500% since 2005! You can find more information about it here http://www.tuulberg.ee/
This is a very basic implementation of that algorithm and there are many coefficients included there that have been optimised over time by expert opinnion. My attempt here is to formalise the logic a bit more and improve those coefficients and the model logic in general by more quantitative means.
The biggest shortcoming at the moment is that Quantopian is limited to annual fundamentals. Current implementation is based on yearly financial statements, which significantly misses the time of misprising. Quantopian is working on allowing most recent quarterly financials to be included as well. You can see the status of Trailing Twelve Months (TTM) fundamentals in https://www.quantopian.com/posts/ttm-any-progress
My intent is to get some of those students in Tuulberg Index interested in computer programming and algorithmic trading. Any feedback and ideas for improvement are very welcome!
