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Using #Fundamentals to identify uptrending volatile small caps

The premise is that where there is risk there will be return. This long-only algo looks to buy at most 2 small cap (market_cap < $2B) stocks per day that have both positive free_cash_flow and basic_eps. Selections must also be trading in the $9 to $20 range, are trending up in the past 30 days and have the highest 30-day volatility. Exit logic is via trailing stop orders or profit taker limit orders. Uses statsmodel.api linear regression to identify trend with set_commission model set to approximate IB retail rates. Positive cash balance always maintained.

If you are looking for tutoring, python programming, linux or cloud technical assistance, or custom algorithms for quantopian or zipline, please feel free to contact me via http://quant-coder.prokopyshen.com/ContactMe .

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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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
# Backtest ID: 54a48c131a78061c2abd0562
We have migrated this algorithm to work with a new version of the Quantopian API. The code is different than the original version, but the investment rationale of the algorithm has not changed. We've put everything you need to know here on one page.
There was a runtime error.
3 responses

Shouldn't the benchmark be a small cap index?

Benchmarked against IWM.

Clone Algorithm
84
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
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
# Backtest ID: 5589b2425365c7126de6eb41
There was a runtime error.

Kinda disturbing that the squiggly lines are completely different...? EDIT: just noticed the original backtest was from 2014. I guess a lot has changed since then.