In her book "The Relaxed Way to Wealth" - which surprisingly was never translated into English - Susanne Levermann published her very succesful investment strategy, which is based on 13 fundamental factors: 

24518_1554785680.jpg

Each equity in the universe is scored based on this table and once a month the portfolio is rebalanced by exchanging equities with a score smaller than 4 by equities with a score greater than 4.

Since portfolios that are based on this strategy still seem to be doing well, I tried to replicate it on Quantconnect and ran into the following problems:

  • Including the analyst opinions would require some of the latest NLP provided by google or other cloud services
  • Equity Ratio doesn't seem to be available in Fundamentals, so I took 1/FinancialLeverage, because leverage seems to be the inverse of equity ratio
  • Reaction to quarter numbers does not seem to be available in Fundamentals
One could start to improvise based on the available fundamentals, of course - I just think it is better to first try to replicate a succesful strategy as closely as possible, before starting to experiment.  Here is what I got so far:  def Score(self):
score = 0
#1 One year RoE >20%: +1 ; <10%: -1
if self.symbol.Fundamentals.OperationRatios.ROE.OneYear > 0.2:
score = score + 1
elif self.symbol.Fundamentals.OperationRatios.ROE.OneYear < 0.1:
score = score - 1
#2 EBIT One Year >12%: +1 ; <6%: -1
if self.symbol.Fundamentals.OperationRatios.EBITMargin.OneYear > 0.12:
score = score + 1
elif self.symbol.Fundamentals.OperationRatios.EBITMargin.OneYear < 0.06:
score = score - 1
#3 Equity Ratio one year >25%: +1 ; <15%: -1
if 1/self.symbol.Fundamentals.OperationRatios.FinancialLeverage.OneYear>0.25:
score = score + 1
elif 1/self.symbol.Fundamentals.OperationRatios.FinancialLeverage.OneYear<0.15:
score = score - 1
#4 P/E one Year <12: +1 ; >16: -1
if self.symbol.Fundamentals.ValuationRatios.PERatio.OneYear<12:
score = score +1
elif self.symbol.Fundamentals.ValuationRatios.PERatio.OneYear>16:
score = score - 1
#5 P/E five years <13: +1 ; >17: -1
if self.symbol.Fundamentals.ValuationRatios.PERatio.FiveYear<13:
score = score +1
elif self.symbol.Fundamentals.ValuationRatios.PERatio.FiveYear>17:
score = score - 1
#6 Analyst Opinions
#7 Real price reaction in % on quarterly EPS report >1%: +1 ; <-1%: -1
#8 Current FQ Est EPS% change >5%: +1 ; <-5%: -1
if self.symbol.FundamentalsValuationRatios.ForwardEarningYield > 0.05:
score = score+1
if self.symbol.FundamentalsValuationRatios.ForwardEarningYield < -0.05:
score = score-1
#9 6 months price change >5%: +1 ; <-5%: -1
if self.Return(self.sixMonthsInDays) > 0.05:
score = score+1
elif self.Return(self.sixMonthsInDays)<-0.05:
score = score-1
#10 12 months price change >5%: +1 ; <-5%: -1
if self.Return(self.twelveMonthsInDays) > 0.05:
score = score+1
elif self.Return(self.twelveMonthsInDays)<-0.05:
score = score-1
#11 EPS growth: Change of current to next FY Est EPS >5%: +1; <-5%: -1
if self.symbol.Fundamentals.ValuationRatios.SecondYearEstimatedEPSGrowth > 0.05:
score = score+1
elif elf.symbol.Fundamentals.ValuationRatios.SecondYearEstimatedEPSGrowth < -0.05:
score = score-1
#12 Momentum: if 6 months price change > 5% and 12 month price change < -5%: 1
# if 6 months price change < -5% and 12 month price change > 5%: -1
if self.Return(self.sixMonthsInDays) > 0.05 and self.Return(self.twelveMonthsInDays)<-0.05:
score = score+1
elif self.Return(self.sixMonthsInDays) <0.05 and self.Return(self.twelveMonthsInDays)>0.05:
score = score+1
#13 Reversal: if better than benachmark: 1 ; if worse than benchmark -1

I'd appreciate any help in fixing the issues.