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Joseph Greenblatt's Magic Formula

I'm new to QuantConnect, and I want to get some practice using C# and programming/coding basic strategies. How would I do something like Joseph Greenblatt's Magic Formula?

From what I understand, I would need to run through all the securities in an exchange, add them to a data structure should they meet a certain market cap / trading volume requirement, then rank them separately in another data structure based on their P/E ratio and their ROI. Then, I would have the algorithm purchase the top 10 ranked securities in the data structure. Is that correct? This sounds very inefficient.

I'm very new to C# and QuantConnect and would appreciate any advice and tips.

 

Thanks

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Hi Mark,

With QuantConnect API, it is very easy and efficient to implement Joseph Greenblatt's Magic Formula! 

We have a "Universe Selection" funcionality where you can select rank and select stocks based on fundamental data.

The following example is similar to Joseph Greenblatt's Magic Formula: we rank our coarse universe (by default US equities, but you can define others) by dollar value and select the top 5, then we rank these by its P/E ratio and take the top 2. Finally, we allocate 50% of our money on each security.
 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


I'll take a look into this. Thank you!

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Hi Alex,

Does this mean that the Morningstar data is integrated?

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Hi Stephen,

Almost there!
As soon as it is done, Jared will make an announcement for the community.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hi Alexandre,

Is there any way for calculating market capitalization, for which we need the out standing shares??

Thanks in advance! 

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Please checkout our database for the Morningstart Fundamentals data that are currently availbale.

At this moment, it does not have information on outstanding shares.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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