"experimentation, learning"
Curious what the 900+ Morningstar fundamentals would do and whether any might stand out to then be vetted further later for any potential sustainable viability, I ran them all one at a time with the code above in a brief backtest like this:
def make_pipeline(c):
return Pipeline(
m = VolumeMin(window_length=42).top(400) & Sector().notnull() & Q1500US() # mask
screen = m,
columns = {
'sector': Sector(mask=m),
'a': Fundamentals. ebitda .latest,
})
The code goes long higher values and short lower values.
The numbers shown are returns per dollar invested (neutralizing because invested is unavoidably not always the same).
For those that were initially very negative returns, they were run again like -Fundamentals.other_operating_expenses.latest with the minus sign, flipping long & short in Optimize, and those are indicated with minus signs here.
The code automatically only processes stocks with pipeline values and at some point I began excluding fundamentals where only a handful of stocks were receiving investments. Before that, some of them snuck through and they can tend to be those showing higher returns.
Around 500 returned numerical values (factors, not filters or classifiers) in pipeline and/or invested in enough stocks that I didn't screen them out (besides the ones that eeked through earlier).
10.2 buy_back_yield
9.6 interest_coverage
9.3 normalized_income
9.0 pretax_income
8.9 cfo_per_share
8.9 net_income_from_continuing_operations
8.7 net_income_from_continuing_operation_net_minority_interest
8.5 net_income_continuous_operations
8.5 net_income_from_continuing_and_discontinued_operation
8.5 operating_income
8.5 size_score
8.4 market_cap
8.4 sales_per_share
8.3 net_income_including_noncontrolling_interests
8.3 net_income_common_stockholders
8.3 roa
8.3 tax_provision
7.8 operating_revenue
7.7 ebitda
7.6 ebit
7.6 tangible_bv_per_share3_yr_avg
7.5 total_non_current_liabilities
7.3 share_class_level_shares_outstanding
7.3 stockholders_equity
7.3 total_equity
7.3 total_liabilities_net_minority_interest
7.3 total_revenue
7.2 gross_profit
7.2 total_equity_gross_minority_interest
7.2 total_non_current_liabilities_net_minority_interest
7.1 cash_equivalents
7.1 tangible_bv_per_share5_yr_avg
7.0 -repurchase_of_capital_stock
7.0 cost_of_revenue
7.0 research_and_development
6.9 -common_stock_dividend_paid
6.9 enterprise_value
6.9 current_liabilities
6.9 common_stock_equity
6.9 other_gain_loss_from_disposition_of_discontinued_operations
6.9 sale_of_investment
6.9 tax_rate_for_calcs
6.9 total_liabilities
6.8 -common_stock_payments
6.8 earning_yield
6.8 operating_cash_flow
6.8 preferred_stock_issuance
6.7 change_in_loss_and_loss_adjustment_expense_reserves
6.7 beginning_cash_position
6.7 interest_income_from_loans_and_lease
6.7 reconciled_cost_of_revenue
6.5 interest_income_from_leases
6.5 total_assets
6.4 total_non_current_assets
6.4 total_yield
6.3 interest_expense_non_operating
6.3 interestand_similar_income
6.3 total_expenses
6.2 work_in_process
6.1 fcf_per_share
6.1 cash_flow_from_continuing_operating_activities
6.1 leases
6.0 gain_loss_on_sale_of_ppe
6.0 current_assets
6.0 classesof_cash_receiptsfrom_operating_activities
6.0 cash_and_cash_equivalents
6.0 non_interest_income
6.0 sale_of_intangibles
5.9 gross_ppe
5.9 normalized_net_profit_margin
5.9 restricted_cash_and_cash_equivalents
5.8 foreign_sales
5.8 patents
5.8 payables_and_accrued_expenses
5.8 tangible_book_value_per_share
5.7 -total_debt_equity_ratio
5.6 com_tre_sha_num
5.6 interest_income_non_operating
5.6 pretax_margin
5.6 total_employee_number
5.5 foreign_exchange_trading_gains
5.5 ebitda_margin
5.5 provision_for_loan_lease_and_other_losses
5.5 reconciled_depreciation
5.4 ebit_margin
5.4 interest_income_after_provision_for_loan_loss
5.4 retained_earnings
5.4 sustainable_growth_rate
5.3 -net_income_extraordinary
5.3 earningsfrom_equity_interest_net_of_tax
5.3 current_capital_lease_obligation
5.3 share_issued
5.3 shares_outstanding
5.2 invested_capital
5.2 machinery_furniture_equipment
5.2 securities_activities
5.2 selling_general_and_administration
5.2 total_capitalization
5.2 accrued_interest_receivable
5.1 current_accrued_expenses
5.1 interest_income
5.0 forward_earning_yield
5.0 cash_and_due_from_banks
5.0 book_value_per_share
5.0 long_term_debt
5.0 long_term_debt_and_capital_lease_obligation
5.0 working_capital
4.9 income_tax_paid_supplemental_data
4.9 ordinary_shares_number
4.9 receivable_turnover
4.9 total_debt
4.8 free_cash_flow
4.8 current_notes_payable
4.8 investments_and_advances
4.8 other_receivables
4.8 roe
4.7 interest_income_from_loans
4.7 land_and_improvements
4.7 net_occupancy_expense
4.7 non_interest_expense
4.7 other_customer_services
4.6 net_debt
4.6 net_ppe
4.6 other_special_charges
4.6 proceeds_from_issuance_of_warrants
4.6 treasury_shares_number
4.5 capital_lease_obligations
4.5 operating_expense
4.5 proceeds_from_stock_option_exercised
4.4 domestic_sales
4.4 common_stock_issuance
4.4 payout_ratio
4.4 realized_capital_gain
4.3 construction_in_progress
4.3 common_stock
4.3 common_equity_to_assets
4.3 roic
4.2 foreclosed_assets
4.2 end_cash_position
4.2 non_current_deferred_taxes_liabilities
4.2 operation_margin
4.1 receivables
4.1 unrealized_gain_loss_on_investment_securities
4.0 non_operating_income
4.0 otherunder_preferred_stock_dividend
4.0 preferred_stock_dividend_paid
3.9 general_and_administrative_expense
3.9 change_in_interest_payable
3.9 change_in_accrued_expense
3.9 cash_cash_equivalents_and_marketable_securities
3.9 buildings_and_improvements
3.9 net_preferred_stock_issuance
3.9 other_interest_expense
3.9 other_non_current_assets
3.9 payables
3.9 property_liability_insurance_claims
3.9 taxes_receivable
3.8 minimum_pension_liabilities
3.8 payment_turnover
3.7 inventory
3.7 sale_of_long_term_investments
3.7 treasury_stock
3.7 accounts_payable
3.6 tangible_book_value
3.6 available_for_sale_securities
3.5 fcf_yield
3.5 deferred_tax_assets
3.5 cash_from_discontinued_financing_activities
3.5 capital_stock
3.5 sale_of_short_term_investments
3.5 amortization_of_securities
3.4 current_debt_and_capital_lease_obligation
3.4 current_debt
3.4 net_margin
3.4 special_charge
3.4 accounts_receivable
3.3 change_in_payables_and_accrued_expense
3.3 cash_cash_equivalents_and_federal_funds_sold
3.3 marketing_expense
3.3 minority_interests
3.3 net_tangible_assets
3.3 preferred_shares_number
3.2 finished_goods
3.2 long_term_capital_lease_obligation
3.2 non_current_deferred_liabilities
3.2 other_operating_revenue
3.2 other_intangible_assets
3.2 preferred_stock_of_subsidiary
3.1 interest_income_from_other_money_market_investments
3.1 interest_expense
3.1 other_interest_income
3.1 trust_feesby_commissions
3.0 ev_to_ebitda
3.0 other_short_term_investments
3.0 sales_per_employee
2.9 gains_loss_on_disposal_of_discontinued_operations
2.9 other_impairment_of_capital_assets
2.9 other_income_expense
2.9 interest_paid_supplemental_data
2.8 current_deferred_taxes_liabilities
2.8 change_in_income_tax_payable
2.8 change_in_accrued_investment_income
2.8 notes_receivable
2.8 promotion_and_advertising
2.7 fees
2.7 deferred_acquisition_costs
2.7 ps_ratio
2.7 separate_account_business
2.7 working_capital_per_share5_yr_avg
2.6 gains_losses_not_affecting_retained_earnings
2.6 other_properties
2.5 cash_from_discontinued_operating_activities
2.5 selling_and_marketing_expense
2.5 short_term_debt_issuance
2.4 fees_and_commissions
2.4 inventory_turnover
2.4 accrued_preferred_stock_dividends
2.3 extraordinary_items
2.3 equipment
2.3 deferred_tax
2.3 other_non_interest_expense
2.2 federal_funds_sold
2.2 current_deferred_liabilities
2.1 gross_loan
2.1 equity_per_share_growth
2.1 line_of_credit
2.1 other_non_interest_income
2.1 other_liabilities
2.1 sales_of_fixed_maturity_securities
2.0 net_other_unrealized_gain_loss
1.9 gain_on_sale_of_business
1.9 loans_receivable
1.9 prepaid_assets
1.9 restricted_cash
1.9 raw_materials
1.8 interest_income_from_securities
1.8 loans_held_for_sale
1.8 pb_ratio
1.7 goodwill
1.7 earnings_from_equity_interest
1.7 current_deferred_assets
1.7 interest_expense_for_deposit
1.7 pension_and_employee_benefit_expense
1.7 securities_and_investments
1.6 current_deferred_taxes_assets
1.6 change_in_account_payable
1.6 cash_return
1.6 non_current_deferred_taxes_assets
1.6 net_unrealized_gain_loss_investments
1.6 policy_acquisition_expense
1.5 deferred_assets
1.5 consumer_loan
1.5 insurance_and_claims
1.4 current_deferred_revenue
1.4 net_income_from_other_gains_losses
1.4 other_current_liabilities
1.4 peg_payback
1.4 trading_liabilities
1.3 deferred_costs
1.3 cf_yield
1.3 interest_income_from_investment_securities
1.3 misc_other_special_charges
1.3 other_non_cash_items
1.3 assets_turnover
1.2 change_in_other_current_assets
1.2 loans_held_for_resell
1.2 net_income_discontinuous_operations
1.2 other_assets
1.2 preferred_stock
1.2 additional_paid_in_capital
1.1 calls_maturities_of_maturity_securities
1.1 income_tax_payable
1.1 insurance_and_premiums
1.1 net_short_term_debt_issuance
1.1 redeemable_preferred_stock
1.0 investment_tax_credits
1.0 net_operating_interest_income_expense
0.9 total_tax_payable
0.9 deferred_income_tax
0.9 goodwill_and_other_intangible_assets
0.9 change_in_deferred_charges
0.9 net_other_investing_changes
0.9 change_in_tax_payable
0.8 net_intangibles_purchase_and_sale
0.8 long_term_debt_issuance
0.8 non_current_deferred_assets
0.7 growth_score
0.7 other_non_current_liabilities
0.7 decreasein_interest_bearing_depositsin_bank
0.7 interest_payable
0.7 non_current_accounts_receivable
0.7 securities_amortization
0.7 working_capital_per_share3_yr_avg
0.6 pcf_ratio
0.6 investments_in_affiliates_subsidiaries_associates_and_joint_ventures
0.6 long_term_investments
0.6 commercial_loan
0.5 interest_income_from_trading_account_securities
0.5 net_loan
0.5 non_current_accrued_expenses
0.5 pe_ratio
0.5 proceeds_from_loans
0.4 impairmentof_capital_assets_income
0.4 classesof_cash_payments
0.4 interest_paid_direct
0.4 net_business_purchase_and_sale
0.4 other_taxes
0.4 interest_expense_for_long_term_debt
0.4 value_score
0.3 earnings_losses_from_equity_investments
0.3 changes_in_cash
0.3 peg_ratio
0.3 customer_acceptances
0.3 net_interest_income
0.3 net_utility_plant
0.3 credit_card
0.2 gain_losson_saleof_assets
0.2 mortgage_loan
0.2 preferred_stock_equity
0.1 change_in_payable
0.0 change_in_prepaid_assets
0.0 gain_on_sale_of_security
0.0 cash_flowsfromusedin_operating_activities_direct
0.0 style_score
-0.1 interest_expense_for_long_term_debt_and_capital_securities
-0.1 interest_bearing_deposits_liabilities
-0.1 working_capital_per_share
-0.2 unrealized_gain_loss
-0.2 gain_loss_on_investment_securities
-0.2 fee_revenue_and_other_income
-0.2 preferred_securities_outside_stock_equity
-0.2 principle_investment_gain_loss
-0.2 commercial_paper
-0.3 inventories_adjustments_allowances
-0.3 investment_banking_profit
-0.3 loss_adjustment_expense
-0.3 service_charge_on_depositor_accounts
-0.4 foreign_currency_translation_adjustments
-0.4 fix_assets_turonver
-0.5 interest_income_from_federal_funds_sold_and_securities_purchase_under_agreements_to_resell
-0.6 book_value_yield
-0.6 fcf_ratio
-0.6 increasein_interest_bearing_depositsin_bank
-0.6 purchased_components
-0.6 unearned_income
-0.6 trading_gain_loss
-0.7 commission_expenses
-0.7 deferred_financing_costs
-0.7 excess_tax_benefit_from_stock_based_compensation
-0.7 change_in_working_capital
-0.7 interest_expense_for_short_term_debt
-0.7 long_term_debt_payments
-0.7 other_current_borrowings
-0.7 allowance_for_loans_and_lease_losses
-0.7 total_unusual_items
-0.7 total_unusual_items_excluding_goodwill
-0.8 gross_margin
-0.8 increase_decrease_in_deposit
-0.9 professional_expense_and_contract_services_expense
-0.9 quick_ratio
-0.9 change_in_other_current_liabilities
-0.9 occupancy_and_equipment
-1.0 acquisition_expense
-1.0 gainon_extinguishmentof_debt
-1.0 net_other_financing_charges
-1.0 sale_of_business
-1.1 trailing_dividend_yield
-1.1 investments_in_other_ventures_under_equity_method
-1.2 net_investment_purchase_and_sale
-1.2 net_issuance_payments_of_debt
-1.2 net_non_operating_interest_income_expense
-1.2 receivables_adjustments_allowances
-1.2 sale_of_ppe
-1.3 esop_debt_guarantee
-1.3 nace
-1.3 total_deposits
-1.4 change_in_inventory
-1.4 net_ppe_purchase_and_sale
-1.4 principle_transaction_revenue
-1.4 short_term_debt_payments
-1.5 cash_conversion_cycle
-1.5 financial_instruments_sold_under_agreements_to_repurchase
-1.6 effect_of_exchange_rate_changes
-1.6 defined_pension_benefit
-1.6 held_to_maturity_securities
-1.6 net_income_cont_ops_growth
-1.6 purchase_of_fixed_maturity_securities
-1.6 realized_gain_loss_on_sale_of_loans_and_lease
-1.7 gain_loss_on_sale_of_business
-1.7 federal_funds_purchased_and_securities_sold_under_agreement_to_repurchase
-1.7 change_in_federal_funds_and_securities_sold_for_repurchase
-1.7 payment_for_loans
-1.7 tax_rate
-1.8 gainon_saleof_loans
-1.8 forward_dividend_yield
-1.8 change_in_other_working_capital
-1.8 purchase_of_business
-1.9 dps_growth
-1.9 cash_flow_from_continuing_financing_activities
-1.9 net_income_growth
-1.9 non_current_pension_and_other_postretirement_benefit_plans
-1.9 purchase_of_intangibles
-2.0 employee_benefits
-2.0 diluted_eps_growth
-2.0 changes_in_account_receivables
-2.0 non_current_note_receivables
-2.0 repayment_of_debt
-2.2 fiscal_year_end
-2.2 derivative_assets
-2.2 current_ratio
-2.2 investing_cash_flow
-2.2 materials_and_supplies
-2.2 total_premiums_earned
-2.2 trading_securities
-2.3 future_policy_benefits
-2.3 long_term_provisions
-2.3 sales_yield
-2.3 tax_effect_of_unusual_items
-2.4 other_equity_adjustments
-2.5 debtto_assets
-2.5 non_operating_expenses
-2.6 cash_flow_from_continuing_investing_activities
-2.6 interest_expense_operating
-2.6 purchase_of_ppe
-2.6 separate_account_assets
-2.7 gas_revenue
-2.7 days_in_inventory
-2.7 interest_expense_for_federal_funds_sold_and_securities_purchase_under_agreements_to_resell
-2.7 preferred_stock_dividends
-2.7 special_income
-2.8 fuel_and_natural_gas
-2.8 change_in_receivables
-2.8 non_interest_bearing_deposits
-2.8 trading_assets
-3.0 interest_income_from_interest_bearing_deposits
-3.0 net_long_term_debt_issuance
-3.0 operating_gains_losses
-3.2 earning_loss_of_equity_investments
-3.2 long_term_debt_total_capital_ratio
-3.2 non_current_deferred_revenue
-3.2 total_money_market_investments
-3.2 asset_impairment_charge
-3.3 money_market_investments
-3.4 financing_cash_flow
-3.4 purchase_of_short_term_investments
-3.5 interest_income_from_deposits
-3.5 operation_income_growth
-3.6 federal_funds_sold_and_securities_purchase_under_agreements_to_resell
-3.6 common_utility_plant
-3.6 operation_revenue_growth3_month_avg
-3.7 federal_funds_purchased
-3.7 purchase_of_long_term_investments
-3.8 diluted_cont_eps_growth
-3.8 interest_income_operating
-3.8 non_current_prepaid_assets
-3.8 net_realized_gain_loss_on_investments
-3.8 restructuring_and_mergern_acquisition
-3.8 special_income_charges
-3.9 net_investment_income
-4.0 fixed_maturity_investments
-4.0 deferred_policy_acquisition_costs
-4.0 long_term_debt_equity_ratio
-4.0 non_recurring_operation_expense
-4.1 days_in_payment
-4.1 mineral_properties
-4.2 financial_leverage
-4.3 capital_expenditure
-4.3 revenue_growth
-4.8 cash_dividends_paid
-4.8 flight_fleet_vehicle_and_related_equipments
-4.9 cap_ex_reported
-4.9 forward_pe_ratio
-4.9 maintenance_and_repairs
-5.0 exploration_development_and_mineral_property_lease_expenses
-5.0 change_in_loans
-5.0 purchase_of_investment
-5.0 total_debt_equity_ratio
-5.1 days_in_sales
-5.2 gain_on_sale_of_ppe
-5.3 derivative_product_liabilities
-5.3 salaries_and_wages
-5.6 credit_losses_provision
-5.6 net_common_stock_issuance
-5.7 fuel_and_purchase_power
-5.9 fuel
-6.0 fixed_maturities_available_for_sale
-6.0 cash_flow_from_discontinued_operation
-6.0 total_deferred_credits_and_other_non_current_liabilities
-6.0 accrued_investment_income
-6.6 cash_from_discontinued_investing_activities
-6.6 accumulated_depreciation
-7.0 common_stock_dividend_paid
-7.0 net_foreign_currency_exchange_gain_loss
-7.2 common_stock_payments
-7.3 repurchase_of_capital_stock
-8.1 net_income_extraordinary
-9.3 financial_assets
-10.8 other_operating_expenses
Everyone is aware that a limited run is not gospel but gathering information should not be frowned upon as it contains some value beyond trying to use psychic powers or random guessing.
