Joseph Greenblatt's Magic Formula by Michael Ark

Michael Ark INVESTOR

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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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Michael Ark

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Alexandre Catarino

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.

Michael Ark

63 ,

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

Stephen Oehler

8.1k ,

Hi Alex,

Does this mean that the Morningstar data is integrated?

Alexandre Catarino

Hi Stephen,

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

Nithin vasireddy

143 ,

Hi Alexandre,

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

Thanks in advance!

Alexandre Catarino

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

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

Michael Ark INVESTOR

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