StrategySingleStockFilter

class sigtech.framework.equities.universe.StrategySingleStockFilter

Baseclasses: FirmLevelSingleStockFilter

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

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.

adv_on_date(window)

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

Parameters:

window – Input window.

Returns:

ADV value.

m_a_targets()

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

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.

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.

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.

rights_issues()

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

sector(code) deprecated

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

Parameters:

code – TRBC code.

Returns:

List of tickers.

surplus()

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

trbc_vals() deprecated

Return the TRBC historical values.

Returns:

pandas DataFrame.

trbc_vals_on_date() deprecated

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

Returns:

pandas DataFrame.

vals(field)

Return the historical values for a specific field.

Parameters:

field – Input field.

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.