Many of our funded authors have relied upon price driven strategies. As we continue to evaluate and add algorithms to our portfolio, we will be especially interested in new strategies that take advantage of a broader range of fundamental factors.
The ratio of a company’s debt to its total assets is a measure of the amount of leverage taken on by a company. Higher values (above 1) indicate that a company has more liabilities than assets (aka you owe more than you own), while lower values (below 1) indicate that a company has more equity than debt. In this template, we’ve taken advantage of this measure to test the idea that companies with relatively lower levels of Debt to Total Assets are likely to outperform companies with relatively higher levels of Debt to Total Assets. Read more here.
As we look to expand the set of algorithms receiving allocations over the next few months we expect to give preference to new ideas that take advantage of a broader range of fundamental factors.
To get started, clone this algorithm, improve it with your own ideas, and submit it to the Quantopian Daily Contest.
N.B. As implemented here, this algo doesn't fully meet all of the criteria for entry in the daily contest so we're leaving that as an "exercise for the reader".
To see all of our fundamental sample strategies, please visit our new library post. We will be adding more templates in the future, so keep an eye on the "Algo Template" tag in the Quantopian forums: https://www.quantopian.com/posts/tag/Algo-Template/newest.