Current Ratio
(Current assets / current liabilities)
An algorithm that trades stocks with the highest current ratio values weekly.
Starting capital: $10,000
Max leverage: 1
Jan 2, 2006 - Sep 1, 2020
Drawdown: -70.61%
import quantopian.algorithm as algo from quantopian.pipeline import Pipeline from quantopian.pipeline.filters import Q3000US from quantopian.pipeline.data.morningstar import Fundamentals as ms import quantopian.optimize as opt import numpy as np import pandas as pd def initialize(context): context.FINE_FILTER = 5 context.stock_weights = pd.Series() algo.attach_pipeline(make_pipeline(context), 'pipeline') schedule_function( stocks_weights, date_rules.week_start(), time_rules.market_open() ) schedule_function( trade, date_rules.week_start(), time_rules.market_open() ) def make_pipeline(context): univ = Q3000US() factor = ms.current_ratio.latest.rank(mask=univ, ascending=False) top = factor.top(context.FINE_FILTER) pipe = Pipeline( columns={'top': top}, screen=univ) return pipe def stocks_weights(context, data): df = algo.pipeline_output('pipeline') rule = 'top' stocks_to_hold = df.query(rule).index stock_weight = 1.0 / context.FINE_FILTER context.stocks_weights = pd.Series(index=stocks_to_hold, data=stock_weight) def trade(context, data): target_weights = opt.TargetWeights(context.stocks_weights) constraints = [] constraints.append(opt.MaxGrossExposure(1.0)) order_optimal_portfolio( objective=target_weights, constraints=constraints )
Net Income Growth
(((Net income current - net income from previous quarter) / net income current) * 100)
An algorithm that trades stocks with the highest percentages of net income growth weekly.
Starting capital: $10,000
Max leverage: 1
Jan 2, 2006 - Sep 1, 2020
Drawdown: -72.47%
factor = ms.net_income_growth.latest.rank(mask=univ, ascending=False)
Net Margin
(Net income / revenue)
An algorithm that trades stocks with the highest net margin values weekly.
Starting capital: $10,000
Max leverage: 1
Jan 2, 2006 - Sep 1, 2020
Drawdown: -84.68%
factor = ms.net_margin.latest.rank(mask=univ, ascending=False)
Operation Revenue Growth, Three Month Average
(((Operation revenue current - operation revenue from previous quarter) / operation revenue current) * 100)
An algorithm that trades stocks with the highest percentages of operation revenue growth weekly.
Starting capital: $10,000
Max leverage: 1
Jan 2, 2006 - Sep 1, 2020
Drawdown: -86.73%
factor = ms.operation_revenue_growth3_month_avg.latest.rank(mask=univ, ascending=False)
Quick Ratio
(Liquidity / liabilities)
An algorithm that trades stocks with the highest quick ratio values weekly.
Starting capital: $10,000
Max leverage: 1
Jan 2, 2006 - Sep 1, 2020
Drawdown: -58.24%
factor = ms.quick_ratio.latest.rank(mask=univ, ascending=False)
Revenue Growth
(((Revenue current - revenue from previous quarter) / revenue current) * 100)
An algorithm that trades stocks with the highest percentages of revenue growth weekly.
Starting capital: $10,000
Max leverage: 1
Jan 2, 2006 - Sep 1, 2020
Drawdown: -87.44%
factor = ms.revenue_growth.latest.rank(mask=univ, ascending=False)
Return on Assets (ROA)
(Net income / total assets)
An algorithm that trades stocks with the highest return on assets (ROA) values weekly.
Starting capital: $10,000
Max leverage: 1
Jan 2, 2006 - Sep 1, 2020
Drawdown: -85.02%
factor = ms.roa.latest.rank(mask=univ, ascending=False)
Return on Equity (ROE)
(Net income / total common equity)
An algorithm that trades stocks with the highest return on equity (ROE) values weekly.
Starting capital: $10,000
Max leverage: 1
Jan 2, 2006 - Sep 1, 2020
Drawdown: -87.77%
factor = ms.roe.latest.rank(mask=univ, ascending=False)
Return on Invested Capital (ROIC)
(Net income / (total equity + total debt and capital lease obligation))
An algorithm that trades stocks with the highest return on invested capital (ROIC) values weekly.
Starting capital: $10,000
Max leverage: 1
Jan 2, 2006 - Sep 1, 2020
Drawdown: -72.09%
factor = ms.roic.latest.rank(mask=univ, ascending=False)
Total Debt to Equity Ratio
(Total debt / common equity)
An algorithm that trades stocks with the lowest debt to equity ratio values weekly.
Starting capital: $10,000
Max leverage: 1
Jan 2, 2006 - Sep 1, 2020
Drawdown: -31.12%
def make_pipeline(context): univ = Q3000US() debt_eq_low = ms.total_debt_equity_ratio.latest < 0.5 #debt_eq_hi = ms.total_debt_equity_ratio.latest > 0.5 factor = ms.total_debt_equity_ratio.latest.rank(mask=debt_eq_low, ascending=True) #factor = ms.total_debt_equity_ratio.latest.rank(mask=debt_eq_hi, ascending=False) top = factor.top(context.FINE_FILTER) pipe = Pipeline( columns={'top': top}, screen=univ) return pipe
1. Current Ratio Investopedia
2. Net Income Growth Investopedia
3. Net Margin Investopedia
4. Operation Revenue Growth Investopedia
5. Quick Ratio Investopedia
6. Revenue Investopedia
7. Return on Assets (ROA) Investopedia
8. Return on Equity (ROE) Investopedia
9. Return on Invested Capital (ROIC) Investopedia
10. Debt to Equity Ratio Investopedia
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