Whats the most effective way to implement fundamental data since the frequency is updated in a much longer time frame?

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Whats the most effective way to implement fundamental data since the frequency is updated in a much longer time frame?

posted

Thanks

4 responses

Use Alphalens to evaluate fundamental data.

Joakim Arvidsson (Cream Mongoose)

You can divide some Fundamentals by MarketCap (or latest price for per-share data), which should update daily.

Thanks Joakim! good point!

Adjusting some Fundamentals by daily-updating data as Joakim suggested is probably the simplest method, though the caveat would be that this assumes the fundamentals are staying constant until the next quarter/year/update (so it's best to only do this for fundamentals that aren't very volatile). The most effective way may be to impute values using a model that you would build.

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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.