I am trying to implement a strategy using the pe ratio of a stock compared to the average pe ratio of stocks in the same sector. How would I find the average pe of a sector?
My code is currently:
universe = monthly_top_volume & base_universe # Alpha Generation # ---------------- # Compute Z-scores of free cash flow yield and earnings yield. # Both of these are fundamental value measures. vr = mstar.valuation_ratios #fcf_zscore = vr.fcf_yield.latest.zscore(mask=universe) #yield_zscore = vr.earning_yield.latest.zscore(mask=universe) pe = vr.pe_ratio sent_factor = sentdex.sentiment_signal.latest **sector_pe = mstar.asset_classification.morningstar_sector_code.vr.pe_ratio.latest(mask=universe)** score = compute_score(pe, sector_pe, sent_factor)