We have added a huge new data source to Quantopian today: Morningstar Corporate Fundamentals. With this data, you can now create a whole new class of algorithmic strategies.
"Fundamentals" refers to financial metrics reported by companies on a quarterly and annual basis. Working with Morningstar, Quantopian has integrated 12 years of historical data for over 670 financial metrics across more than 8,000 stocks. Measures provided include raw values such as revenue and earnings, as well as convenient pre-computed values and ratios such as market capitalization, earnings per share (EPS), price-to-earnings ratio (PE) and many, many more.
Fundamentals are available to you programmatically within the backtester. We think you’ll be excited to not only pursue new investment strategies, but also do so without the tedium of having to procure, cleanse, and align the data. We’ve done the heavy lifting for you, mapping Morningstar's company identifiers with Quantopian's existing market data set and providing convenient 'knowledge date' indexing to avoid look-ahead bias. We can’t imagine an easier way to work with fundamentals and we can't wait to see how the community utilizes this content!
Currently, we only make fundamental data available in the backtester. We'll add it to live trading in the near future. In the meantime, we want you to try out the data and tell us about your experience with it. We expect there are some data issues that need to be resolved, and it's prudent to find those problems while backtesting. We're hoping this community can help us improve the usage and quality of fundamental data in Quantopian.
For the time being we can provide this data for free. We are not certain that we will be able to economically support that forever. We have two offers that you can use to lock in free access for a while:
- Every registered user of Quantopian, as of January 1, will be guaranteed 6 months complimentary access to this data in Quantopian. So if you've been lurking here for a while, now is the time to register. And if you have friends who are fundamental investors, let them know!
- Share your coolest fundamentals based algorithm to the forums before January 1 for a chance to win an additional 12 months of free access. Justin Lent, Quantopian's new director of fund development will review submissions and selecting the best sample algos to be highlighted on Quantopian's blog in January. Tag your entry with #Fundamentals in the post title so we'll be sure not to miss it!
Ready to get started with fundamentals? Clone the algo below or read our detailed documentation in the help section.
|Returns||1 Month||3 Month||6 Month||12 Month|
|Alpha||1 Month||3 Month||6 Month||12 Month|
|Beta||1 Month||3 Month||6 Month||12 Month|
|Sharpe||1 Month||3 Month||6 Month||12 Month|
|Sortino||1 Month||3 Month||6 Month||12 Month|
|Volatility||1 Month||3 Month||6 Month||12 Month|
|Max Drawdown||1 Month||3 Month||6 Month||12 Month|