Recently I've read some books about quantative approach to fundamental investing: - What works on Wall Street - James O'Shaughnessy - Quantitative Value - Wesley Gray, Tobias Carlisle - Quantitative Strategies - Richard Tortoriello Basically, their research methodology, can be summarized as, we have a set of indicators: - value (E/P, EBIT/TEV, S/P, ...) - momentum (RSI, ...) - quality (Piotroski score,...) - growth (PEG, ...) We rank stocks and assign to deciles. We decide how often we rebalance portfolio (rather low frequency) and which strategy to apply. We calculate return,cagr, sharpe etc. for every decile/strategy.
I'm looking for free/open-source framework/library to reproduce similar research. I can't use yahoo data (non-yahoo stock exchange), so I need to load my own data. I consider to use python pandas for this, but maybe a better solution exists. Unfortunately, I've only found libraries for pair trading and technical analysis for single stock.