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.
Free cash flow (FCF) is a measure of how much cash a company has on hand after all expenses are extracted. High FCF indicates that larger amounts of cash are available to the company for reinvestment. By dividing by a company’s enterprise value (EV), we can compute a ratio that shows how cash is generated per unit of the value of a company. In this implementation, we can test the idea that companies with a relatively higher ratio of FCF/EV are likely to outperform companies with relatively lower levels of FCF/EV. 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.