Back to Community
How to code CustomFactor using historical fundamentals?

Hi quant experts,
I'm frustrated to the point of considering giving up on Quantopian.
I'm having trouble creating a CustomFactor using historical fundamental factors.
I'm trying to do something simple as calculating the average 5-year gross margin or 1-year ago TTM ROA.
I searched the forums but all I could find is questionable hacks.
It would be awesome if anyone can guide me on the matter.
Thank you so much,
Tal.

3 responses

This is really the pain in the ass and people here seem more fond of tech factor

It's not too difficult getting fundamentals. See attached notebook. With the any big data sets, it may take longer to retrieve the data (sometimes beyond the timeout of an algorithm), and the data will have a lot of messiness (more than the simpler technicals but which is true for just about any real life big data). It can be more complicated working with fundamentals because the data is more complicated. It's true that some nice things like TTM data isn't built in but the data and tools ARE there.

Loading notebook preview...
Notebook previews are currently unavailable.

Dan Whitnable greate thx!!!!