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def Current_Ratio_Signal(stock_object):
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return stock_object['CurrentAssets'] / stock_object['CurrentLiabilities']
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def Quick_Ratio_Signal(stock_object):
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return (stock_object['CurrentAssets'] - stock_object['Inventory'])\
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/ stock_object['CurrentLiabilities']
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def Cash_Ratio_Signal(stock_object):
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return stock_object['CashAndCashEquivalents'] / stock_object['CurrentLiabilities']
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def DefensiveInterval_Ratio_Signal(stock_object):
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return (stock_object['CashAndCashEquivalents'] + stock_object['Receivables']) \
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/ stock_object['CurrentLiabilities']
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def CashConverstionCycle_Signal(stock_object):
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DIO = DaysInventoryOutstanding_Signal(stock_object)
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DSO = DaysSalesOutstanding_Signal(stock_object)
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DPO = DaysPayableOutstanding_Signal(stock_object)
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return DIO + DSO - DPO
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######################## Profitability Ratios ##################################
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def GrossProfitMargin_Signal(stock_object):
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return stock_object['GrossProfit'] / stock_object['TotalRevenue']
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def OperatingProfitMargin_Signal(stock_object):
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return stock_object['OperatingIncome'] / stock_object['TotalRevenue']
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def PreTaxMargin_Signal(stock_object):
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return (stock_object['EBIT'] - stock_object['InterestExpense']) / stock_object['TotalRevenue']
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def NetIncomeMargin_Signal(stock_object):
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return stock_object['NetIncome'] / stock_object['TotalRevenue']
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def ReturnOnAssets_Signal(stock_object):
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return stock_object['NetIncome'] / stock_object['TotalAssets']
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def OperatingReturnOnAssets_Signal(stock_object):
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return stock_object['OperatingIncome'] / stock_object['TotalAssets']
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def ReturnOnEquity_Signal(stock_object):
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return stock_object['NetIncome'] / stock_object['TotalEquityGrossMinorityInterest']
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def OperatingReturnOnEquity_Signal(stock_object):
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return stock_object['OperatingIncome'] / stock_object['TotalEquityGrossMinorityInterest']
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def ReturnOnCommonEquity_Signal(stock_object):
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return stock_object['DilutedNIAvailtoComStockholders'] / stock_object['CommonStockEquity']
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######################### Solvency Ratios ###################################
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def Debt_to_Assets_Signal(stock_object):
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return stock_object['TotalDebt'] / stock_object['TotalAssets']
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def Debt_to_Capital_Signal(stock_object):
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return stock_object['TotalDebt'] / ( stock_object['TotalDebt'] + stock_object['TotalEquityGrossMinorityInterest'] )
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def Debt_to_Equity_Signal(stock_object):
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return stock_object['TotalDebt'] / stock_object['TotalEquityGrossMinorityInterest']
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def FinancialLeverage_Signal(stock_object):
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return stock_object['TotalAssets'] / stock_object['TotalEquityGrossMinorityInterest']
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def InterestCoverage_Signal(stock_object):
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return stock_object['EBIT'] / stock_object['InterestExpense']
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def FixedCharge_Signal(stock_object):
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return ( stock_object['EBIT'] + stock_object['Leases'] ) / \
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( stock_object['InterestExpense'] + stock_object['Leases'] )
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########################### Insider Flow #####################################
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def Insider_Flow_Signal(stock_obj, window=90, hl = 45):
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insider_trade_df = stock_obj.insider_trading_data
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insider_trade_df['Sign'] = insider_trade_df['Transaction'].apply( lambda x: -1 if x == 'Sale' else 1 if x == 'Buy' else 0 )
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insider_trade_df['NetValue'] = insider_trade_df['Value'] * insider_trade_df['Sign']
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insider_trade_df['Datetime'] = pd.to_datetime(insider_trade_df['Date'])
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raw_weights= np.array([(0.5**(1/hl))**i for i in range(window-1,-1,-1)])
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scaled_weights = window * (raw_weights / sum(raw_weights))
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net_value_ts = insider_trade_df.set_index('Datetime')\
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.loc[:, 'NetValue'].resample('D')\
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.sum().rolling(window=window)\
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.apply(lambda x: sum(x * scaled_weights))
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net_value_ts.index = net_value_ts.index.map(lambda x: x.date())
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mkt_value_ts = stock_obj['ShareIssued']*stock_obj['PriceClose']
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signal_ts = net_value_ts/mkt_value_ts
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signal_ts = signal_ts.loc[stock_obj['PriceClose'].index]
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return signal_ts
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########################### Price Target #####################################
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