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Aug 23rd, 2016
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Python 0.81 KB | None | 0 0
  1. def make_pipeline():
  2.  
  3.     #Stock universe
  4.     market_cap_filter = morningstar.valuation.market_cap.latest.percentile_between(90, 100)
  5.     value = morningstar.valuation_ratios.pb_ratio.latest.percentile_between(80, 100)
  6.     gross_profit = morningstar.income_statement.gross_profit.latest
  7.     total_assets = morningstar.balance_sheet.total_assets.latest
  8.     gross_profitability = (gross_profit / total_assets).percentile_between(80, 100)
  9.    
  10.     securities = (market_cap_filter & tradeable_stocks & value & gross_profitability)
  11.  
  12.     return Pipeline(
  13.         columns={
  14.           'tradeable':  tradeable_stocks,
  15.           'market_cap': morningstar.valuation.market_cap.latest,
  16.           'p/b ratio in top 20%':  value,
  17.           'gross_profitability': gross_profitability
  18.         },
  19.         screen = securities
  20.     )
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