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Hi!
I have questions about two timeseries available in QuantConnect, namely:
fine.ValuationRatios.FirstYearEstimatedEPSGrowth
and
fine.ValuationRatios.SecondYearEstimatedEPSGrowth
Do those data represents %growth in EPS estimates? According to documentation, we would need to substract 1 to get the actual %growth rate as for instance :
fine.ValuationRatios.SecondYearEstimatedEPSGrowth =(EPS Growth Ratio: (Estimated EPS Year 2) / (Estimated EPS Year 1)
I have difficulties to find any match between those data and data available in other financial data providers (e.g. Bloomberg or Reuters). I know there would be no exact match (Morningstar may have different EPS estimates), but also trend on the largest stocks does not match at all.
It would be great if someone could present a raw data and the calculation for AAPL or any other large cap stock (I mean to present Estimated EPS Year 2 and Estimated EPS Year 1 and fine.ValuationRatios.SecondYearEstimatedEPSGrowth value.
Thank you in advane for all help!
Yuxin Guan
Hello Janusz,
We have access to FirstYearEstimatedEPSGrowth and SecondYearEstimatedEPSGrowth from Morningstar®, but we don’t know the parameters used to calculate them, like “Estimated EPS Year 1” and “Estimated EPS Year 2”.
According to the equation Morningstar® uses to calculate SecondYearEstimatedEPSGrowth, EPS Growth Ratio: (Estimated EPS Year 2) / (Estimated EPS Year 1), yes the “growth ratio” should be “(Estimated EPS Year 2) / (Estimated EPS Year 1) – 1”.
You may consult Morningstar® if you have any question about the calculation of their data.
Thank you!
Best,
Yuxin Guan
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Greg Kendall
Here is a fun fact. If you take the ForwardPERatio and divide by the PEGRatio you should get the Long-term Average Earning Growth Rate according to the way morningstar does things.
ForwardPERatio = self.GetFundamental(symbols, "ValuationRatios.ForwardPERatio", start_time, end_time)
PEGRatio = self.GetFundamental(symbols, "ValuationRatios.PEGRatio", start_time, end_time)
LTEarningsGrowth = ForwardPERatio / PEGRatio
ref:
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Greg Kendall
Just a second note: The note above this relates to the original question. Basically, trying to figure out what Morning Star is actually providing and how they derive their data and for what periods (seems poorly documented by Morning star). I'm not sure what morning star means by Long-term in this case. Is it five years or ten or? I guess we could contact morning star for more info. I don't know how difficult contacting morning star is. Has anyone tried? Do they have better documentation online somewhere?
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Greg Kendall
I found this from morning star the appears to describe one data time of their forward eps data:
Earnings Growth Forward Estimate 1 YearAn average of the estimated short-term earnings growth for the companies in the portfolio. We first obtain Wall Street’s consensus earnings estimates for each stock’s next-reported fiscal year. Comparing that earnings estimate with the most recently reported actual earnings yields a one-year estimated growth rate. Morningstar computes this rate for each stock and then computes the weighted average for the whole portfolio of stocks.
Benefits
Allows users to gauge the growth potential of a portfolio’s underlying companies. This enables users to view the portfolio’s valuation (such as P/E ratio, P/B ratio, and P/Cash Flow) within context. This forward earnings-growth can also be compared with the trailing Three-year Earnings-Growth rate to determine if there is any change.
Origin
The Wall Street consensus earnings estimates are obtained from Zacks Investment Research, Inc. The computation of the growth rate and the portfolio averages are done by Morningstar. One-year forward earnings growth estimates are recalculated every month based on month-end equity share prices.
For the Pros
The actual calculation for each stock in the portfolio is:
Rate = [(Next reported annual earnings-per-share consensus estimate/Last reported annual earnings-per-share) x 100] – 100
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HanByul P
Hi Jing Wu, Just a quick question: Why is this algo waiting for a month and starting to run from a second month? Is it for warming up? Can we modify this algorithm to run from the first month? Just remove the flags? Please let me know. Thank you.
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Weiheng Liang
Thank Jing.
market cap = Shares Outstanding * Price = Shares Outstanding * (Earnings Per Share * PE ratio)
That's what I was waiting for. It's a huge improvement for my algo.
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Xi Liu
Hi Jing Wu,
1. I ran the Algo, and found the exit function(when current SPY price is lower than last N-day moving average price, then liquidate all the open positions and buy TLT.) doesn't work all the time. The exit function doesn't work, making it performs bad on crisis.
The momentum strategy has relatively higher volitility. I think one of the drawback of momentum strategy is failing to act quickly to close a bad position. I'm considering to add a Stop Market Order of the portfolio composite seperately. However, I'm new to do an alogo with python, after reading the Documentation and browing the internet, I only learned how to add StopMarket order while making market order, like this:
self.MarketOrder(self.baba, 300)
self._stopMarketTicket = self.StopMarketOrder(self.baba, -300, slice['BABA'].Close * Decimal(0.95), "stop market")
This algo's code seems complex to me, I can't find the place to get the price and deploy the StopMarket order.
Can you give me some instructions on this problem?
2. I want to test the algo with leverage, for example, 1.5 leverage then I modify LINE 96:
weight = 0.99/len(chosen_df)
for symbol in chosen_df.index:
self.AddEquity(symbol)
self.SetHoldings(symbol, weight)
I change 0.99 to 1.5, but it doesn't work. Do you know how to set the weight here?
Thank you a lot.
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Jon Quant
I have sprinkled a bunch of debug lines in the code just to analyze the behavior and I have noticed that if I set the following dates:
SetStartDate(2004, 1, 1); SetEndDate(2004, 4, 1);...the value for the "symbols" variable in "FineSelectionFunction" gets assigned on 01/03/2004 only to be used by the "rebalance" function a month later, 02/02/2004. This tells me that the rebalance is operating on a fine "symbols" list that is a month old. Is this intentional?
One other behavior that I have noticed is that the "CoarseSelectionFunction" and "FineSelectionFunction" never gets called on the "MonthStart" day. In my example date window, it never gets called on 01/02/2004. Is the "MonthStart" schedule somehow interfering with the Coarse and Fine events?
Thanks!
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Jing Wu
Hi Xi Liu,
You can use self.StopMarketOrder() everywhere in your algortihm. For the stop price, you can use
"self.Securities["BABA"].Close" * Decimal(0.95) instead of "slice['BABA'].Close * Decimal(0.95)" because you can only get the slice data in OnData() method.
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HanByul P
Hi Jing Wu, I cloned your new method (for Market Cap) algo and ran for 2015 to March 1st of 2018. I found that the leverage went up to 500% (5x) in the early 2016 and came down to 300% (3x) in the end of this backtest period. You set the maximum weight to 0.99x as below. I guess something should be fixed. Can you take a look and fix the leverage control (e.g. maximum 2.0x)? Thank you.
weight = 0.99/len(chosen_df)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.
Ton86
Hi Jing Wu,
I ran this today 4/2/2018 and was looking for the trade signals to occur by 10am PST since that seems to be the time the trades occur in the backtesting. Do we need to wait until end of first day of the month or should the signals be there by 10am PST, or another time?
When setting this up for trading live what types of alterations might need to be made? Is there a page/link that describes this or is this something support helps with after creating a live account?
Thank you!
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Ton86
Jing Wu,
Also seeing errors like this:
Backtest Handled Error: The order quantity for TLT cannot be calculated: the price of the security is zero.Doesn't look like April 2018 TLT trade is getting executed because of it. Could it be that the algo is looking at the first of the month for the price but isn't seeing it because the first falls on a weekend?
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.
Yulong Jiang
Hi, Jing, I am new to QuantConnect so a little confused on your code.
it seems that you do everything on Intialize() and pass on OnData(), does it mean Initialize() will run many times instead of just setting the initialial condition?
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Michael Manus
nope only once
everything?? settings holdings are in rebalance ....
check the bootcamp(-tab) in the algorithm lab
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Wei Chian Ong
I'm a little bit confused by the code snippet below. We check the moving average exit gate, and if it shuts, we loop through each position, if it's not TLT (bonds), then we exit the position. That makes sense.
if self.Securities[self.spy].Price < spy_hist.mean(): for symbol in self.Portfolio.Keys: if symbol.Value != "TLT": self.Liquidate()But, when we use self.Liquidate() and don't specify a security, doesn't it just liquidate every single position in the portfolio? Why bother to loop through the Portfolio keys at all, if we are just going to liquidate everything anyway? In my head it seems that self.Liquidate(symbol) or self.Liquidate(symbol.Value) would make more sense. Can someone tell me what I am missing?
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Weiheng Liang
Wei Chian Ong, what the code Liquidate() will do is possibly more tricky than you imagined. I suggest you check the code inside ideally debug carefully by using VS.
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.
Wei Chian Ong
Thanks for the reply. I've had a look at your previous post regarding the self.Liquidate() method, and my question probably doesn't run as deep as the intricacies of dark pools and slippage in actual trading. It's more of a question regarding the coding itself. The documentation and this forum post and reply seem to indicate that using self.Liquidate() without a security specified, will liquidate all positions, and I was having trouble understanding why we bother looping through each symbol in the portfolio and checking if it's not treasury bond ETF, if we go ahead and liquidate everything anyway, would it not make more sense to use self.Liquidate() with the actual position we are currently looping through?
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.
Weiheng Liang
I was not meaning dark pools. I was just saying we should look inside the detail codes of Liquidate() in VS if there is something confused.
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.
Wei Chian Ong
I'm not familiar with how to use visual studio (I assume that's what VS stands for), so I'll have to try it using log or debug calls.
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.
Nick Jensen
I cloned this algorithm and received an error "Invalid Token" on the self.SetStartDate function, so am unable to run or backtest. Is anyone receiving this same error? Is there an easy fix?
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Wei Chian Ong
I think I kept getting the same Nick and I wasn't sure why either. I deleted the code for the self.SetStartDate and self.SetEndDate and then re-typed them manually in case it was a whitespace issue or something (probably a very inefficient way to do that anyway). Same problem, but I repeated that several times and eventually it worked. Not a very scientific response to your question .......
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.
Jared Broad
The invalid token is from python 2.7 to python 3.6 upgrade. Since python 3.6 numbers can't be prefixed with 0 -- e.g. "01"
If you cloned an old backtest it can have dates with 2001, 01, 01 etc.
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.
Leng Dieb
I am trying the codes for the test on paper live server but it does not seem to generate any trade. Could you please advise anything need to be changed to run live for the paper trading?
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.
Tocht
Any updates?
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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