Altman Z Score in Python

I created an Altman Z Score function in Python. I am sure their is a better way to do it, but you need Market Cap based off current stock price, so I derived it in a rather hacky way. Feel free to improve and use! The backtest is simply to show the Z score works, so take the rest with a grain of salt.



Update Backtest

This is no longer working for me. Do you have an updated version by any chance?


I'm very much a struggling beginner but removing the leading 0 from month and day of start date and end date

and from searching other posts here in the forum regarding this or similar code you need to change the line(s)

self._changes = SecurityChanges.None to self._changes = Noneand do the same in the other two lines where self._changes is referenced.After that a backtest will run for me but hopefully others more experienced and wise can confirm if those changes are valid and all that is required

Thanks, Peter. You're definitely on the right track. While those changes will fix the compile time errors, there are a few runtime errors complaining about the TotalLiabilities.

I've tried to change the algorithm (see attached backtest) but the fine universe selection filters everything out (so no trades happen). My guess is line 60


is incorrect. Anyone know the best way to get the outstanding liabilities of an equity?


Update Backtest


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