Company Fundamentals as Model Input

Alphathon
#1

Hello Alphien Community,


I have a question concerning rules on Input data, specifically for outperforming spx:


I am aware of the macro and financial indicators which we can use to feed our model. But are we also able to utilize company fundamental data or should the strategy be solely based on prices and vola?


Thanks and regards!

#2

Hello,


Yes, we do not have company fundamental data for this competition. You can only use the specified macro and financial indicators, together with the bb live (adjusted index) field in getHistoryData for your model.


Hope this answers your question

#3

To add on, you can use the function getTickersSP500 to get the list of your tradable stock universe and getTickersSP500Data for the macro and financial indicators. Examples of how to use them are in the introductory notebooks for the competition.


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UBS Quant Hackathon 2020 - First Round - Outperform the S&P 500