Quant Mashup - Relative Value

A Poor Man's Magic Formula [Relative Value]

Here's a python script I made to rank stocks according to their return on equity and trailing EV/EBITDA. I have named it the poor mans magic formula because all of the fundamental data is scraped from yahoo finance. Yahoo are friendly enough to provide this data for 'free' but have(...)

Trend Following Via Slope [Relative Value]

Linear regression slope is another tool one can use to sidestep potentially sticky situations. The following algorithms hold a full position in SPY but liquidate whenever the slope of closing prices turn negative. Starting Capital of $100,000 and backtest period from 2/2003 and 11/2015. Strategy End(...)

Momentum & Value in Quantopian [Relative Value]

This post looks at the results of adding additional value & quality factors to the previous momentum model mentioned here. Instead of purchasing stocks on momentum alone; I added a combined value score which aggregates stock rankings per valuation multiples such ROIC, EV/EBITDA, EV/FCF and so(...)

Weighted Momentum in Quantopian [Relative Value]

Yesterday Quantopian rolled out an update which added a few very nice features. All you really need to know is that you can now design your own custom filters and the 500 stock universe limit has been lifted. The following model uses these new additions to rank and buy 50 stocks according to their(...)