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Data discrepencies in Fundamnetal Factor Analysis in Research

Hello and new to QuantConnect.

I have created my own factor strategy in python and am looking at QuantConnect to see if I could back test and then live trade that strategy on this platform.

I was excited to see the Fundamental Factor Analysis in the Research module as it turns out to be similar in many ways to my algo.

However, when trying to work through the notebook I am coming across a discrepenciy I cannot understand.

The initial symbol set provided is 97 stocks. This gets immediately used in getFundamental() to retrieve in this case "ValuationRatios.PERatio" data.

Once the call for data is complete, there is a new DataFrame called 'data.

The symbols are in the column index. When reviewing the columns index. I noticed a stock missing in the new index.

This cause me to compare the new column index against the original symbols list. There is a vast difference between the two as 18 of the returned stocks are different.

The attached notebook has all the details down to the markdown cell "End".

Any insight as to why there getFundamental() is returning different stocks would be greatly appreciated.

 

 

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Hi Neil,

Welcome to QuantConnect!

Those different tickers represent the same stocks. Tickers often change when the company rebrands, or if they merge with another security. At QuantConnect, we distinguish the concepts of tickers and symbols and use symbols as a way to identify an asset uniquely. For instance, the ticker pair "CVX" and "CHV" both represent Chevron stocks. The stock changed its ticker Oct. 10, 2001, from "CVX" to "CHV". Please check out this documentation section for more information on how we identify security at QuantConnect.

I hope this helps!

Xin

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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.


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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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