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.
This is a valuation metric. We expect companies that generate more revenue per dollar of market cap to generate outsized returns compared to a company of comparable size that generates less revenue. Our factor is calculated as the sale of revenue from goods and services over the last twelve months divided by market cap. We would naturally expect larger companies to generate more raw sales revenue than smaller companies, so we try to remove that from the equation and get at pure value.
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 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 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.