Hi Quantopians,
As a follow-up to the long-short value template here's the simpler long-only version, including the famous 200-day simple moving average trend filter. The code also shows how to easily implement a composite fundamentals score using different metrics. (see lines 90+)
This code template is in part inspired by digging through "What Works on Wall Street, Fourth Edition" by J. O'Shaughnessy (and some of the related implementations here on Quantopian) and getting mixed results reproducing the exact outcomes. The three metrics I'm using here are pretty arbitrary and I'd be glad to hear from you: which ratios do a great job for long-only value investing?
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Previous quantapolis.com templates:
* Volatility Selling w/ Constant Proportion Portfolio Insurance
* SPY constant volatility w/ dynamic leverage
* Value Example (long-short)