StrategySingleStockFilter#

class sigtech.framework.equities.universe.StrategySingleStockFilter

A class implementing a full set of features for single stock filters.

vals(field)

Return the historical values for a specific field.

Parameters

field – Input field.

Returns

pandas DataFrame.

trbc_vals()

Return the TRBC historical values.

Returns

pandas DataFrame.

vals_on_date(field)

Return the historical values for a specific field on the date the filter is applied.

Parameters

field – Input field.

Returns

pandas DataFrame.

trbc_vals_on_date()

Return the TRBC historical values on the date the filter is applied.

Returns

pandas DataFrame.

adv_on_date(window)

Return the average daily volume (ADV) on a given window.

Parameters

window – Input window.

Returns

ADV value.

price(min_price)

Return the list of single stocks with price greater than a threshold value.

Parameters

min_price – Price threshold.

Returns

List of tickers.

market_cap(top_n)

Return the list of single stocks with highest market cap.

Parameters

top_n – Number of single stocks returned.

Returns

List of tickers.

adv(min_adv, window)

Return the the list of single stocks with average daily volume (ADV) higher than a given threshold.

Parameters

  • min_adv – ADV threshold.

  • window – Input window.

Returns

List of tickers.

m_a_targets()

Return the list of single stocks after applying the filter group 'm_a_targets'.

surplus()

Return the list of single stocks after applying the filter group 'surplus'.

price_history_length(window)

Return the list of single stocks with history length greater than the given window.

Parameters

window – Input window.

Returns

List of tickers.

sector(code)

Return the list of single stocks with a given TRBC code.

Parameters

code – TRBC code.

Returns

List of tickers.

rights_issues()

Return the list of single stocks after applying the filter group 'rights_issues'.

compliance()

Return the list of single stocks after applying the filter group 'compliance'.

filter_history(name)

Return the list of filters defined for a group of universe filter.

Parameters

name – Filter group identifier.

Returns

List of filters.

filtered_universe()

Apply the filters and return the filtered universe.

internal()

Return the list of single stocks after applying the filter group 'internal'.