Skip to main content

Data

The data provided includes the following, with the names and ids (join key) of 4668 stocks as common columns in all of them:

  • Profit-Loss statement: Both annual and quarterly Sales, Profit Before Tax, Profit After Tax, Net Profit Margin, EBIT, EBIDT, Depreciation, etc

  • Cash Flow Statement: Cash From Operations, Cash From Financing, Cash From Investing, Net Cash Flow, etc

  • Balance Sheet: Current Assets, Current Liabilities, Equity Capital, Preference Capital, etc

  • Financial Ratios: Liquidity Ratios, Leverage Ratios, Efficiency Ratios, Profitability Ratios, Market Value Ratios, etc

  • Other metrics: Interest Coverage, Debt Capacity, Dividend Payout, Intrinsic Value, Graham number, Altman Z Score, etc

  • Price at two time periods: Price a two time periods is given. Stock will be bought at time_period_1 and sold at time_period_3, which has to be estimated.

As the first step, all the dataframes were merged into one on the join key, resulting in a single dataframe with 385 columns.

The important features are identified as follows:

  1. Current Price, High Price and Low Price - These are the most basic indicators of where the stock is currently and should be used in conjunction with other features to get insight.

  2. MACD and MACD Signal - These indicate the upward/downward momentum of the stock price. When MACD goes above MACD Signal, the stock should be bought and when MACD goes below MACD signal, the stock should be sold.

  3. 50 DMA and 200 DMA - These indicate the trend of the stock price over a period of time. Together with MACD and MACD Signal, they give a good measure of health of a stock price.

  4. Graham Number - This is the maximum stock price that a stock should be bought at. In other words, a stock should be bought if its price is lower than the Graham Number.

  5. Altman Z Score and Piotroski Score - These indicate the fundamental health of a company. If Altman Z Score is close to 0, it means the company is about to go bankrupt. If Piotroski Score is at least 8, it means company is financially very strong. These are useful for Value Investing through Fundamental Analysis.