Hi All,
Sorry to ask a noob question, but I am trying to use fine fundamental to sort small cap stocks like in the tutorial link at the bottom. I'm new to C# and just can't seem to get the code right for the the for loop/sort function in the below python example.
This is snippet of code I am struggling with. It is the for loop I can't get working
def FineSelectionFunction(self, fine):
if self.yearly_rebalance:
fine = [x for x in fine if (x.ValuationRatios.PERatio > 0)
and (x.EarningReports.BasicAverageShares.ThreeMonths > 0)
and (x.EarningReports.BasicEPS.TwelveMonths > 0)]
##THE BELOW FOR LOOP I CANT CONVERT PROPERLY##
for i in fine:
i.MarketCap = float(i.EarningReports.BasicAverageShares.ThreeMonths * (i.EarningReports.BasicEPS.TwelveMonths*i.ValuationRatios.PERatio))
sorted_market_cap = sorted(fine, key=lambda x: x.MarketCap)
self.filtered_fine = [i.Symbol for i in sorted_market_cap[:20]]
self.yearly_rebalance = False
return self.filtered_fine
else:
return []
This is the code I currently have: note it is incomplete
public IEnumerable<Symbol> FineSelectionFunction(IEnumerable<FineFundamental> fine)
{
// return list of symbols
var fineStocks = (from f in fine
//where f => f.ValuationRatios.PERatio > 0 && f.EarningReports.BasicAverageShares.ThreeMonths > 0 && f.EarningReports.BasicEPS.TwelveMonths > 0
where f.ValuationRatios.PERatio > 0 && f.EarningReports.BasicAverageShares.ThreeMonths > 0 && f.EarningReports.BasicEPS.TwelveMonths > 0
orderby f.ValuationRatios.PERatio ascending
//select f.Symbol).Take(10);
select f.Symbol);
I would appreciate a kind sir to help a noob out please :)
James Hart
For reference: this is the tutorial link the initial code came from:
https://www.quantconnect.com/tutorials/strategy-library/small-capitalization-stocks-premium-anomalyLink Liang
Hi James,
I believe the problem is MarketCap is not a pre-defined property of FineFundamental object. In python you can add a new property to object, but it’s not doable in C#. Therefore we have to use something else to achieve the same result.
Here is my attempt using the “let” clause to calculate and store the market cap value for each FineFundamental object. Hope it helps!
public IEnumerable<Symbol> FineSelectionFunction(IEnumerable<FineFundamental> fine) { if (_yearly_rebalance){ _yearly_rebalance = false; return (from f in fine where f.ValuationRatios.PERatio > 0 && f.EarningReports.BasicAverageShares.ThreeMonths > 0 && f.EarningReports.BasicEPS.TwelveMonths > 0 let marketCap = (float) (f.EarningReports.BasicAverageShares.ThreeMonths * f.EarningReports.BasicEPS.TwelveMonths * f.ValuationRatios.PERatio) orderby marketCap select f.Symbol).Take(20); } else{ return new List<Symbol>(); } }
James Hart
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