I want to write a quantitative stock trading program based on fundamental analysis. It would crunch through prices, financial reports to look for value stocks. It can support backtesting of strategy with historical data to maximize annual return and sharpe ratio.

All the studies, libraries or codes on quantitative trading that I can find are based on some form of technical analysis or arbitrage. Why isn't there any fundamental analysis trading algorithm? given that it is a cornerstone of investing.

If you know any example of such algorithm, please share with me.


closed as off-topic by John, olaker Mar 21 '14 at 17:59

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  • "Questions seeking assistance in developing a trading strategy are off-topic as they are unlikely to be useful to other readers." – John, olaker
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  • $\begingroup$ What is "pricing data"? Can you more precisely defined "fundamental analysis". Usually this means trying to estimate a value of a company through means such as DCF or comparables then making a long-term investment decision over the horizon of, say, a few months to a few years. If that's what you mean, then I would say that these kind of funds do already exist in large number (those that rely on a quantitative strategy based on this stuff). $\endgroup$ – user2763361 Mar 20 '14 at 15:03
  • $\begingroup$ You are right about the definition of FA. pricing data -> prices. $\endgroup$ – kakarukeys Mar 21 '14 at 0:09
  • $\begingroup$ I don't see how the question is not useful to others. $\endgroup$ – kakarukeys Mar 22 '14 at 0:41

There are no "fundamental algos" analogous to "technical algos". Instead, quantitative useof fundamental data assumes applying multifactor models to predicting returns and other intrument parameters. That models vary from "academical" (like Fama-French 3-factor or Chen, Roll, Ross) to proprietary models of guys from industry: MSCI Barra, Bloomberg, CSFB, Morgan Stanley, Salomon Smith Barney are in the "open access", to some extent.


Most of what you see on the web is done by amateurs. Many professionals do use 10K and 10Q information in so-called "quant" strategies, but electronic stores of this information don't come free. As a consequence, you don't see a lot on the web about using fundamentals in model-driven investment strategies.

Compustat/CapitalIQ is the most well-known fundamental data source. FactSet and Bloomberg clean and modify Compustat data before passing it on to their customers.

  • $\begingroup$ Could you point me to an example algo where I can study? I already have a data source. $\endgroup$ – kakarukeys Mar 21 '14 at 0:10
  • $\begingroup$ @kararukeys Your best bet is to start without any algos and just learn the basics of fundamental investing. Only after you are good at this should you try to make it algorithmic. The other way around doesn't make any sense. $\endgroup$ – user2763361 Mar 21 '14 at 1:28
  • $\begingroup$ I am already past that. The question is about how to apply FA in quant strategy. $\endgroup$ – kakarukeys Mar 21 '14 at 3:01
  • 1
    $\begingroup$ Here is an example: quantopian.com/posts/… $\endgroup$ – fawce Dec 10 '14 at 21:58

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