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Algo: Fundamental Factor Long Universe Template Using Morningstar Asset Classification Groupings

This is my implementation of the Fundamental Factor Long Strategy using Morningstar Asset Classification for grouping stocks prior to evaluation. It only makes buy/sell decisions based on valuation ranking. When a stock enter's the top 2 we buy and when it falls out of the top 2, we sell.

For many valuations like P/E Ratio, it's important to compare companies with other companies in its sector. With the new asset classifications, we can split the companies up into 148 categories and then apply any ordering required to make our calculations. The rest is the standard Fundamental Factor Long Strategy. 

https://www.quantconnect.com/tutorials/strategy-library/fundamental-factor-long-short-strategy

Use at your own risk. I'm not very good at Linq and some of those statements gave me more trouble than they should. I can't vouch 100% for their accuracy.

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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 Eric,

Thanks for sharing with 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.


Update Backtest





0

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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