Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Two questions about simple fundamentals algorithm
Alan Baer
posted

Learning the fundamentals API, here's a simple algorithm that buys companies with a high R&D to enterprise value ratio, and holds them for 70 trading days.

  1. I suspect the results aren't really real. (In general, research shows that high R&D spend results in under-performing stocks, at least in the short term.) Any reason to think otherwise?
  2. I'm having trouble understanding what's going on with the leverage. The algorithm both checks for open orders and tries to look at liquidity, only buying stocks that have traded at reasonable total dollar volumes in the days before the re-balancing. But the leverage rises to about 2, and never settles much below 1.5. (It should settle back to 1.) The reason is that there are some stocks that are never completely sold - the list of holdings keeps increasing. Why is this ... and how do I fix it?

Thanks for the help!

Alan

1 response
Gavin Heale

I am not sure what is going on but I set 

context.number_stocks = 1

And it seemed to buy more than 100K on the very first transaction which certainly seems to be a bad sign.

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

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.