Notebook
In [17]:
# Import Pipeline class and USEquityPricing dataset
from quantopian.pipeline import Pipeline
from quantopian.pipeline.factors import SimpleMovingAverage
from quantopian.pipeline.factors import CustomFactor
from quantopian.pipeline.data import USEquityPricing
from quantopian.pipeline.experimental import QTradableStocksUS
from quantopian.research import run_pipeline
from quantopian.pipeline.data import Fundamentals
from sklearn import linear_model, decomposition, ensemble, preprocessing, isotonic, metrics
from scipy import stats
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
In [18]:
def PE_Ratio_calc():
    eps=Fundamentals.diluted_eps_earnings_reports.latest
    price=USEquityPricing.close.latest
    return price/eps
In [19]:
def PB_Ratio_calc():
    book=Fundamentals.book_value_per_share.latest
    price=USEquityPricing.close.latest
    return price/book
In [20]:
def make_pipeline():
    base_universe = QTradableStocksUS()  
    pe_ratio_calc=PE_Ratio_calc()
    pb_ratio_calc=PB_Ratio_calc()
    pe_ratio=Fundamentals.pe_ratio.latest
    pb_ratio=Fundamentals.pb_ratio.latest
    close=USEquityPricing.close.latest
    bookpershare=Fundamentals.book_value_per_share.latest
    eps=Fundamentals.diluted_eps_earnings_reports.latest
    return Pipeline(
        columns={
            'close':close,
            'pe_ratio_calc':pe_ratio_calc,
            'pe_ratio':pe_ratio,
            'pb_ratio_calc':pb_ratio_calc,
            'pb_ratio':pb_ratio,
            'bookpershare':bookpershare,
            'eps':eps
            
        },
        screen=base_universe
    )
In [21]:
pipeline_output = run_pipeline(
    make_pipeline(),
    start_date='2003-01-01',
    end_date='2018-12-31'
)

Pipeline Execution Time: 1 Minute, 17.53 Seconds

Negative book value but morningstar has positive PB_ratio

In [22]:
pipeline_output[pipeline_output["bookpershare"]<0][["close","bookpershare","pb_ratio","pb_ratio_calc"]].dropna()
Out[22]:
close bookpershare pb_ratio pb_ratio_calc
2003-01-02 00:00:00+00:00 Equity(166 [AES]) 3.000 -0.6271 0.477800 -4.783926
Equity(660 [AVP]) 53.860 -0.2714 156.250000 -198.452469
Equity(1343 [CCK]) 7.900 -0.5457 5.934700 -14.476819
Equity(3661 [EHC]) 4.200 -6.6696 0.407000 -0.629723
Equity(3871 [IMCL]) 10.620 -2.5211 294.117600 -4.212447
Equity(6330 [RAD]) 2.440 -0.9392 28.653300 -2.597956
Equity(6785 [SEPR]) 9.710 -4.6596 769.230800 -2.083870
Equity(7862 [UST]) 33.480 -0.2782 7.326000 -120.345075
Equity(13017 [DISH]) 22.330 -2.4460 208.333300 -9.129191
Equity(13197 [FCX]) 16.800 -0.2870 11.248600 -58.536585
Equity(14742 [ITWO]) 1.150 -17.4450 3.475800 -0.065921
Equity(14756 [LU]) 1.260 -1.2036 6.455800 -1.046859
Equity(15058 [WWCA]) 5.450 -5.6036 8.976700 -0.972589
Equity(16841 [AMZN]) 18.890 -3.5464 666.666700 -5.326528
Equity(17104 [Q]) 5.010 -1.6876 0.151500 -2.968713
Equity(18587 [LVLT]) 4.900 -8.5169 0.684200 -0.575327
Equity(22092 [AV]) 2.450 -0.2239 0.748800 -10.942385
Equity(24891 [CBB]) 3.540 -12.4640 0.481300 -0.284018
2003-01-03 00:00:00+00:00 Equity(166 [AES]) 3.240 -0.6271 0.477800 -5.166640
Equity(660 [AVP]) 54.450 -0.2714 156.250000 -200.626382
Equity(1343 [CCK]) 7.850 -0.5457 5.934700 -14.385193
Equity(3661 [EHC]) 4.600 -6.6696 0.407000 -0.689697
Equity(3871 [IMCL]) 10.990 -2.5211 294.117600 -4.359208
Equity(6330 [RAD]) 2.670 -0.9392 28.653300 -2.842845
Equity(6785 [SEPR]) 10.700 -4.6596 769.230800 -2.296334
Equity(7862 [UST]) 33.980 -0.2782 7.326000 -122.142344
Equity(13017 [DISH]) 23.280 -2.4460 208.333300 -9.517580
Equity(13197 [FCX]) 17.450 -0.2870 11.248600 -60.801394
Equity(14742 [ITWO]) 1.180 -17.4450 3.475800 -0.067641
Equity(14756 [LU]) 1.420 -1.2036 6.455800 -1.179794
... ... ... ... ... ...
2018-12-31 00:00:00+00:00 Equity(26892 [HLF]) 58.210 -5.2088 34.094502 -11.175319
Equity(26986 [WTI]) 4.090 -3.3041 0.972267 -1.237856
Equity(27639 [EVRI]) 4.940 -1.6129 2.349209 -3.062806
Equity(27817 [SPWR]) 5.060 -0.3966 24.313936 -12.758447
Equity(28161 [TDG]) 335.050 -34.2848 9.552658 -9.772552
Equity(31341 [ZIOP]) 1.660 -0.9696 8.820196 -1.712046
Equity(32393 [WYND]) 35.960 -5.2744 6.859500 -6.817837
Equity(32603 [WU]) 17.035 -0.9379 13.095799 -18.162917
Equity(32866 [SBH]) 16.950 -2.2279 1.396991 -7.608061
Equity(33317 [NCMI]) 6.340 -4.7138 320.400000 -1.344987
Equity(35902 [PM]) 67.270 -7.5393 1318.699295 -8.922579
Equity(38827 [OMER]) 11.580 -1.8159 52.167814 -6.377003
Equity(39171 [MSGN]) 23.490 -8.1556 0.920275 -2.880230
Equity(39194 [IRWD]) 9.910 -1.2806 286.681447 -7.738560
Equity(39612 [SIX]) 54.710 -6.1030 235.498391 -8.964444
Equity(41759 [DNKN]) 63.420 -8.9053 629.207012 -7.121602
Equity(43694 [ABBV]) 91.160 -1.9419 42.010099 -46.943715
Equity(44780 [CSTM]) 6.870 -0.4243 47.682010 -16.191374
Equity(45428 [BNFT]) 45.740 -1.1130 291.171255 -41.096137
Equity(45506 [PINC]) 36.940 -30.6835 14.237861 -1.203904
Equity(45971 [AAL]) 31.830 -1.2332 5.175197 -25.810898
Equity(46932 [TBPH]) 23.430 -0.2426 39.340632 -96.578730
Equity(47752 [CDK]) 47.300 -2.4438 47.426919 -19.355103
Equity(47833 [W]) 90.720 -3.4559 2184.393475 -26.250760
Equity(48073 [CRC]) 16.970 -14.9175 0.195977 -1.137590
Equity(48254 [WK]) 34.510 -0.2802 1402.835938 -123.162027
Equity(48257 [HDP]) 14.160 -0.0136 272.274860 -1041.176471
Equity(49322 [PLNT]) 52.580 -1.0906 221.959900 -48.211993
Equity(49448 [PJT]) 39.140 -6.9220 6.177881 -5.654435
Equity(50430 [LW]) 73.610 -1.6756 3.681915 -43.930532

175523 rows × 4 columns

Negative eps value but morningstar has positive Pe_ratio

In [23]:
pipeline_output[pipeline_output["eps"]<0][["close","eps","pe_ratio","pe_ratio_calc"]].dropna()
Out[23]:
close eps pe_ratio pe_ratio_calc
2003-01-02 00:00:00+00:00 Equity(24 [AAPL]) 14.340 -0.062729 250.000000 -228.602401
Equity(67 [ADSK]) 14.300 -0.015000 34.722200 -953.333333
Equity(115 [ADCT]) 2.091 -3.354268 8.569000 -0.623385
Equity(154 [AEM]) 14.800 -0.010000 250.000000 -1480.000000
Equity(166 [AES]) 3.000 -0.580000 6.459900 -5.172414
Equity(205 [AGN]) 57.650 -0.140000 117.647100 -411.785714
Equity(209 [AM]) 15.800 -0.240000 18.975300 -65.833333
Equity(216 [HES]) 55.020 -0.512820 24.096400 -107.289107
Equity(351 [AMD]) 6.450 -0.740000 34.013600 -8.716216
Equity(368 [AMGN]) 48.360 -2.100000 39.370100 -23.028571
Equity(417 [ANDW]) 10.280 -0.550000 93.457900 -18.690909
Equity(538 [ARW]) 12.750 -0.110000 106.383000 -115.909091
Equity(607 [ATML]) 2.210 -0.220000 26.809700 -10.045455
Equity(845 [BGG]) 42.500 -0.160000 14.409200 -265.625000
Equity(965 [ALO]) 11.940 -0.120000 14.471800 -99.500000
Equity(1209 [CA]) 13.480 -0.090000 85.470100 -149.777778
Equity(1274 [CB]) 52.230 -0.710000 40.485800 -73.563380
Equity(1404 [CEGE]) 11.151 -0.350000 109.890100 -31.860000
Equity(1406 [CELG]) 21.520 -0.002500 833.333300 -8608.000000
Equity(1539 [CI]) 41.120 -2.087910 13.831300 -19.694335
Equity(1763 [COMS]) 4.720 -0.270000 30.674800 -17.481481
Equity(1882 [CRUS]) 2.871 -0.220000 56.497200 -13.050000
Equity(2000 [CVC]) 16.750 -0.270000 9.560200 -62.037037
Equity(2069 [FTR]) 10.510 -2.490000 526.315800 -4.220884
Equity(2126 [DDS]) 15.850 -0.060000 8.250800 -264.166667
Equity(2568 [EP]) 6.960 -0.120000 7.843100 -58.000000
Equity(2645 [EVG]) 44.560 -0.790000 20.661200 -56.405063
Equity(2657 [EXAR]) 12.440 -0.890000 169.491500 -13.977528
Equity(2673 [F]) 9.340 -0.180000 62.111800 -51.888889
Equity(2837 [FICO]) 42.450 -0.368366 73.529400 -115.238649
... ... ... ... ... ...
2018-12-31 00:00:00+00:00 Equity(49501 [LIVN]) 89.030 -0.150000 173.287879 -593.533333
Equity(49506 [HPE]) 13.030 -0.470000 10.023077 -27.723404
Equity(49606 [MIME]) 33.310 -0.030000 626.291414 -1110.333333
Equity(49615 [DLTH]) 24.820 -0.100000 36.485294 -248.200000
Equity(49655 [TEAM]) 87.600 -1.030000 1343.000000 -85.048544
Equity(50138 [PI]) 14.530 -0.330000 950.807512 -44.030303
Equity(50350 [COUP]) 62.260 -0.170000 81.690909 -366.235294
Equity(50361 [ADSW]) 23.450 -0.060000 42.636364 -390.833333
Equity(50428 [AA]) 26.595 -0.220000 49.905405 -120.886364
Equity(50444 [LEXE_A]) 39.110 -0.740000 1.004487 -52.851351
Equity(50526 [LGF_A]) 16.140 -0.670000 28.315789 -24.089552
Equity(50533 [CNDT]) 10.590 -1.160000 20.072464 -9.129310
Equity(50633 [JAG]) 9.100 -0.120000 616.500000 -75.833333
Equity(50636 [REVG]) 7.450 -0.350000 37.250000 -21.285714
Equity(50639 [LAUR]) 14.820 -0.420000 22.119403 -35.285714
Equity(50807 [CVNA]) 31.830 -0.500000 717.892392 -63.660000
Equity(50927 [SSTI]) 29.450 -0.130000 73.186047 -226.538462
Equity(51008 [CISN]) 11.610 -0.050000 11.394495 -232.200000
Equity(51037 [AKCA]) 29.520 -0.730000 14.677906 -40.438356
Equity(51046 [BHF]) 31.110 -2.260000 41.480000 -13.765487
Equity(51091 [VNTR]) 4.154 -3.460000 1.745089 -1.200578
Equity(51201 [DESP]) 12.370 -0.020000 30.170732 -618.500000
Equity(51231 [ROKU]) 30.169 -0.090000 2.577778 -335.211111
Equity(51271 [MAXR]) 11.760 -7.310000 7.417910 -1.608755
Equity(51375 [AQUA]) 9.950 -0.030000 199.000000 -331.666667
Equity(51534 [CURO]) 9.590 -1.030000 12.606717 -9.310680
Equity(51615 [LILA_K]) 14.340 -0.150000 44.897959 -95.600000
Equity(51618 [NTR]) 46.200 -1.700000 43.830769 -27.176471
Equity(51649 [ADT]) 6.110 -0.310000 26.246043 -19.709677
Equity(51720 [CLNC]) 16.280 -0.420000 111.366497 -38.761905

1112629 rows × 4 columns

In [24]:
pipeline_output["pb_ratio_diff"]=(pipeline_output["pb_ratio"]-pipeline_output["pb_ratio_calc"]).abs()
pipeline_output["pe_ratio_diff"]=(pipeline_output["pe_ratio"]-pipeline_output["pe_ratio_calc"]).abs()
In [25]:
pipeline_output["pb_ratio_diff"]=pipeline_output["pb_ratio_diff"].replace([np.inf,-np.inf],np.NaN)
pipeline_output["pe_ratio_diff"]=pipeline_output["pe_ratio_diff"].replace([np.inf,-np.inf],np.NaN)

Positive book value value and PB ratio difference > 10

In [26]:
pipeline_output[(pipeline_output["pb_ratio_diff"]>10)&(pipeline_output["bookpershare"]>0)].sort_values(by="pb_ratio_diff",ascending=False)[["close","bookpershare","pb_ratio_calc","pb_ratio","pb_ratio_diff"]]
Out[26]:
close bookpershare pb_ratio_calc pb_ratio pb_ratio_diff
2009-05-27 00:00:00+00:00 Equity(28160 [MDVN]) 24.99 0.0006 41650.000000 10000.0000 31650.000000
2009-05-26 00:00:00+00:00 Equity(28160 [MDVN]) 23.74 0.0006 39566.666667 10000.0000 29566.666667
2009-06-05 00:00:00+00:00 Equity(28160 [MDVN]) 22.82 0.0006 38033.333333 10000.0000 28033.333333
2009-06-04 00:00:00+00:00 Equity(28160 [MDVN]) 22.65 0.0006 37750.000000 10000.0000 27750.000000
2009-06-01 00:00:00+00:00 Equity(28160 [MDVN]) 22.57 0.0006 37616.666667 10000.0000 27616.666667
2009-05-28 00:00:00+00:00 Equity(28160 [MDVN]) 22.56 0.0006 37600.000000 10000.0000 27600.000000
2009-06-08 00:00:00+00:00 Equity(28160 [MDVN]) 22.40 0.0006 37333.333333 10000.0000 27333.333333
2009-06-03 00:00:00+00:00 Equity(28160 [MDVN]) 22.34 0.0006 37233.333333 10000.0000 27233.333333
2009-06-30 00:00:00+00:00 Equity(28160 [MDVN]) 22.29 0.0006 37150.000000 10000.0000 27150.000000
2009-06-29 00:00:00+00:00 Equity(28160 [MDVN]) 22.01 0.0006 36683.333333 10000.0000 26683.333333
2009-06-25 00:00:00+00:00 Equity(28160 [MDVN]) 21.73 0.0006 36216.666667 10000.0000 26216.666667
2009-06-09 00:00:00+00:00 Equity(28160 [MDVN]) 21.72 0.0006 36200.000000 10000.0000 26200.000000
2009-05-19 00:00:00+00:00 Equity(28160 [MDVN]) 21.70 0.0006 36166.666667 10000.0000 26166.666667
2009-06-02 00:00:00+00:00 Equity(28160 [MDVN]) 21.64 0.0006 36066.666667 10000.0000 26066.666667
2009-06-26 00:00:00+00:00 Equity(28160 [MDVN]) 21.60 0.0006 36000.000000 10000.0000 26000.000000
2009-05-18 00:00:00+00:00 Equity(28160 [MDVN]) 21.50 0.0006 35833.333333 10000.0000 25833.333333
2009-05-29 00:00:00+00:00 Equity(28160 [MDVN]) 21.47 0.0006 35783.333333 10000.0000 25783.333333
2009-06-10 00:00:00+00:00 Equity(28160 [MDVN]) 21.45 0.0006 35750.000000 10000.0000 25750.000000
2009-06-15 00:00:00+00:00 Equity(28160 [MDVN]) 21.36 0.0006 35600.000000 10000.0000 25600.000000
2009-06-22 00:00:00+00:00 Equity(28160 [MDVN]) 21.28 0.0006 35466.666667 10000.0000 25466.666667
2009-05-22 00:00:00+00:00 Equity(28160 [MDVN]) 21.23 0.0006 35383.333333 10000.0000 25383.333333
2009-06-18 00:00:00+00:00 Equity(28160 [MDVN]) 21.14 0.0006 35233.333333 10000.0000 25233.333333
2009-06-12 00:00:00+00:00 Equity(28160 [MDVN]) 21.12 0.0006 35200.000000 10000.0000 25200.000000
2009-05-21 00:00:00+00:00 Equity(28160 [MDVN]) 21.10 0.0006 35166.666667 10000.0000 25166.666667
2009-06-11 00:00:00+00:00 Equity(28160 [MDVN]) 20.99 0.0006 34983.333333 10000.0000 24983.333333
2009-06-23 00:00:00+00:00 Equity(28160 [MDVN]) 20.93 0.0006 34883.333333 10000.0000 24883.333333
2009-06-24 00:00:00+00:00 Equity(28160 [MDVN]) 20.90 0.0006 34833.333333 10000.0000 24833.333333
2009-04-30 00:00:00+00:00 Equity(28160 [MDVN]) 20.89 0.0006 34816.666667 10000.0000 24816.666667
2009-06-19 00:00:00+00:00 Equity(28160 [MDVN]) 20.82 0.0006 34700.000000 10000.0000 24700.000000
2009-05-13 00:00:00+00:00 Equity(28160 [MDVN]) 20.77 0.0006 34616.666667 10000.0000 24616.666667
... ... ... ... ... ... ...
2007-02-02 00:00:00+00:00 Equity(6774 [SEIC]) 62.98 3.1829 19.786987 9.7847 10.002287
2007-08-22 00:00:00+00:00 Equity(18480 [RBA]) 61.16 3.9420 15.514967 5.5127 10.002267
2007-07-06 00:00:00+00:00 Equity(2893 [FMC]) 90.38 6.8014 13.288441 3.2862 10.002241
2005-03-11 00:00:00+00:00 Equity(3620 [HFC]) 36.33 2.6899 13.506078 3.5039 10.002178
2006-10-23 00:00:00+00:00 Equity(6774 [SEIC]) 57.30 2.9195 19.626648 9.6246 10.002048
2008-08-14 00:00:00+00:00 Equity(18588 [MANH]) 25.89 1.9752 13.107533 3.1056 10.001933
2007-02-16 00:00:00+00:00 Equity(18588 [MANH]) 28.78 2.1759 13.226711 3.2248 10.001911
2005-03-02 00:00:00+00:00 Equity(15789 [DNR]) 32.81 2.3920 13.716555 3.7147 10.001855
2005-04-15 00:00:00+00:00 Equity(20374 [HCBK]) 35.53 2.4099 14.743350 4.7416 10.001750
2007-08-15 00:00:00+00:00 Equity(6311 [NXGN]) 38.33 1.8960 20.216245 10.2145 10.001745
2003-06-10 00:00:00+00:00 Equity(4117 [JCI]) 85.03 7.1145 11.951648 1.9501 10.001548
2006-09-27 00:00:00+00:00 Equity(25598 [LKQ]) 22.95 1.7607 13.034589 3.0331 10.001489
2003-06-30 00:00:00+00:00 Equity(16178 [CNI]) 47.61 3.9134 12.165892 2.1645 10.001392
2009-10-05 00:00:00+00:00 Equity(6311 [NXGN]) 60.05 2.9269 20.516588 10.5152 10.001388
2005-03-04 00:00:00+00:00 Equity(1406 [CELG]) 28.50 1.4501 19.653817 9.6525 10.001317
2007-07-12 00:00:00+00:00 Equity(6992 [PII]) 54.25 2.7164 19.971286 9.9701 10.001186
2005-10-05 00:00:00+00:00 Equity(624 [ATW]) 80.27 5.9208 13.557290 3.5562 10.001090
2008-06-03 00:00:00+00:00 Equity(18588 [MANH]) 24.86 1.8507 13.432755 3.4317 10.001055
2004-03-24 00:00:00+00:00 Equity(8612 [CHS]) 42.90 2.1513 19.941431 9.9404 10.001031
2004-12-06 00:00:00+00:00 Equity(23650 [ARO]) 29.39 1.6721 17.576700 7.5758 10.000900
2006-04-18 00:00:00+00:00 Equity(5328 [NKE]) 81.81 6.0530 13.515612 3.5149 10.000712
2003-01-03 00:00:00+00:00 Equity(4117 [JCI]) 82.09 6.8618 11.963333 1.9627 10.000633
2003-09-12 00:00:00+00:00 Equity(23599 [JBLU]) 57.14 3.3191 17.215510 7.2150 10.000510
2004-04-12 00:00:00+00:00 Equity(8612 [CHS]) 44.23 2.1036 21.025860 11.0254 10.000460
2004-02-26 00:00:00+00:00 Equity(4727 [MCRS]) 44.46 3.3243 13.374244 3.3738 10.000444
2011-05-10 00:00:00+00:00 Equity(38538 [MDSO]) 24.59 1.1749 20.929441 10.9290 10.000441
2006-04-24 00:00:00+00:00 Equity(5950 [PGR]) 106.44 8.0375 13.242924 3.2425 10.000424
2004-11-26 00:00:00+00:00 Equity(15789 [DNR]) 28.41 2.2209 12.792111 2.7917 10.000411
2007-05-23 00:00:00+00:00 Equity(12200 [LGND]) 6.78 3.4068 1.990137 11.9904 10.000263
2004-07-06 00:00:00+00:00 Equity(4727 [MCRS]) 47.50 3.5508 13.377267 3.3772 10.000067

79043 rows × 5 columns

Positive book value value and PE ratio difference > 10

In [27]:
pipeline_output[(pipeline_output["pe_ratio_diff"]>10)&(pipeline_output["eps"]>0)].sort_values(by="pe_ratio_diff",ascending=False)[["close","eps","pe_ratio_calc","pe_ratio","pe_ratio_diff"]].dropna()
Out[27]:
close eps pe_ratio_calc pe_ratio pe_ratio_diff
2004-06-01 00:00:00+00:00 Equity(2404 [EAT]) 36.99 0.000041 902195.121951 28.089900 902167.032051
2004-06-02 00:00:00+00:00 Equity(2404 [EAT]) 36.94 0.000041 900975.609756 28.089900 900947.519856
2004-07-21 00:00:00+00:00 Equity(2404 [EAT]) 36.47 0.000041 889512.195122 21.692000 889490.503122
2004-05-27 00:00:00+00:00 Equity(2404 [EAT]) 36.44 0.000041 888780.487805 29.239800 888751.248005
2004-05-26 00:00:00+00:00 Equity(2404 [EAT]) 36.44 0.000041 888780.487805 29.239800 888751.248005
2004-06-03 00:00:00+00:00 Equity(2404 [EAT]) 36.20 0.000041 882926.829268 28.089900 882898.739368
2004-07-20 00:00:00+00:00 Equity(2404 [EAT]) 36.15 0.000041 881707.317073 21.692000 881685.625073
2004-07-22 00:00:00+00:00 Equity(2404 [EAT]) 36.12 0.000041 880975.609756 21.692000 880953.917756
2004-05-17 00:00:00+00:00 Equity(2404 [EAT]) 36.06 0.000041 879512.195122 29.239800 879482.955322
2004-05-28 00:00:00+00:00 Equity(2404 [EAT]) 36.05 0.000041 879268.292683 29.239800 879239.052883
2004-05-25 00:00:00+00:00 Equity(2404 [EAT]) 36.02 0.000041 878536.585366 29.239800 878507.345566
2004-05-19 00:00:00+00:00 Equity(2404 [EAT]) 35.99 0.000041 877804.878049 29.239800 877775.638249
2004-06-14 00:00:00+00:00 Equity(2404 [EAT]) 35.98 0.000041 877560.975610 28.089900 877532.885710
2004-07-16 00:00:00+00:00 Equity(2404 [EAT]) 35.90 0.000041 875609.756098 21.692000 875588.064098
2004-06-17 00:00:00+00:00 Equity(2404 [EAT]) 35.86 0.000041 874634.146341 28.089900 874606.056441
2004-05-14 00:00:00+00:00 Equity(2404 [EAT]) 35.86 0.000041 874634.146341 29.239800 874604.906541
2004-08-03 00:00:00+00:00 Equity(2404 [EAT]) 35.82 0.000041 873658.536585 22.779000 873635.757585
2004-05-18 00:00:00+00:00 Equity(2404 [EAT]) 35.80 0.000041 873170.731707 29.239800 873141.491907
2004-08-02 00:00:00+00:00 Equity(2404 [EAT]) 35.77 0.000041 872439.024390 22.779000 872416.245390
2004-06-16 00:00:00+00:00 Equity(2404 [EAT]) 35.75 0.000041 871951.219512 28.089900 871923.129612
2004-07-23 00:00:00+00:00 Equity(2404 [EAT]) 35.68 0.000041 870243.902439 21.692000 870222.210439
2004-06-09 00:00:00+00:00 Equity(2404 [EAT]) 35.68 0.000041 870243.902439 28.089900 870215.812539
2004-07-29 00:00:00+00:00 Equity(2404 [EAT]) 35.67 0.000041 870000.000000 21.692000 869978.308000
2004-07-28 00:00:00+00:00 Equity(2404 [EAT]) 35.59 0.000041 868048.780488 21.692000 868027.088488
2004-05-24 00:00:00+00:00 Equity(2404 [EAT]) 35.55 0.000041 867073.170732 29.239800 867043.930932
2004-06-10 00:00:00+00:00 Equity(2404 [EAT]) 35.52 0.000041 866341.463415 28.089900 866313.373515
2004-07-30 00:00:00+00:00 Equity(2404 [EAT]) 35.49 0.000041 865609.756098 21.692000 865588.064098
2004-07-19 00:00:00+00:00 Equity(2404 [EAT]) 35.45 0.000041 864634.146341 21.692000 864612.454341
2004-06-08 00:00:00+00:00 Equity(2404 [EAT]) 35.40 0.000041 863414.634146 28.089900 863386.544246
2004-07-26 00:00:00+00:00 Equity(2404 [EAT]) 35.38 0.000041 862926.829268 21.692000 862905.137268
... ... ... ... ... ... ...
2015-04-28 00:00:00+00:00 Equity(5551 [NYT]) 12.90 0.180598 71.429362 61.428571 10.000791
2006-02-28 00:00:00+00:00 Equity(17934 [TCC]) 33.37 0.950000 35.126316 25.125600 10.000716
2015-05-13 00:00:00+00:00 Equity(6925 [SKYW]) 16.50 0.180000 91.666667 101.667344 10.000677
2015-06-08 00:00:00+00:00 Equity(39495 [SDRL]) 12.59 0.860000 14.639535 4.638916 10.000619
2007-05-03 00:00:00+00:00 Equity(23011 [ALTE]) 27.02 1.528697 17.675184 7.674600 10.000584
2017-10-25 00:00:00+00:00 Equity(13612 [BAP]) 208.13 8.301467 25.071472 15.070889 10.000583
2018-04-25 00:00:00+00:00 Equity(5696 [ORI]) 21.30 1.010000 21.089109 11.088542 10.000567
2008-10-10 00:00:00+00:00 Equity(14329 [ANDE]) 28.70 1.653333 17.358874 7.358400 10.000474
2009-05-13 00:00:00+00:00 Equity(5310 [NI]) 11.13 0.588235 18.921009 8.920600 10.000409
2012-01-31 00:00:00+00:00 Equity(8265 [WR]) 28.39 1.140000 24.903509 14.903100 10.000409
2009-01-29 00:00:00+00:00 Equity(20177 [BPO]) 6.30 0.440000 14.318182 4.317800 10.000382
2009-10-21 00:00:00+00:00 Equity(24608 [ENH]) 37.99 2.420000 15.698347 5.698000 10.000347
2014-03-11 00:00:00+00:00 Equity(15206 [QGEN]) 21.69 0.246127 88.125236 78.125000 10.000236
2009-12-02 00:00:00+00:00 Equity(35081 [CIM]) 3.92 0.240000 16.333333 6.333100 10.000233
2013-08-12 00:00:00+00:00 Equity(7670 [TXI]) 60.58 1.552562 39.019376 49.019600 10.000224
2010-09-16 00:00:00+00:00 Equity(6851 [SHLM]) 19.56 0.910000 21.494505 11.494300 10.000205
2012-07-13 00:00:00+00:00 Equity(5773 [PBI]) 13.84 0.790000 17.518987 7.518800 10.000187
2014-08-22 00:00:00+00:00 Equity(13718 [POOL]) 56.15 1.610000 34.875776 24.875600 10.000176
2011-07-22 00:00:00+00:00 Equity(19053 [CEC]) 41.74 1.710000 24.409357 14.409200 10.000157
2009-01-14 00:00:00+00:00 Equity(19982 [HGT]) 16.94 1.092216 15.509753 5.509600 10.000153
2014-11-20 00:00:00+00:00 Equity(3675 [EQC]) 25.57 1.160000 22.043103 12.042986 10.000117
2018-03-27 00:00:00+00:00 Equity(13197 [FCX]) 17.76 0.716905 24.773157 14.773040 10.000117
2011-12-12 00:00:00+00:00 Equity(17180 [HLX]) 16.91 0.430000 39.325581 29.325500 10.000081
2018-04-09 00:00:00+00:00 Equity(5696 [ORI]) 21.31 1.010000 21.099010 11.098958 10.000052
2013-06-27 00:00:00+00:00 Equity(25305 [AXS]) 45.50 2.550000 17.843137 7.843100 10.000037
2007-01-08 00:00:00+00:00 Equity(4428 [LFB]) 21.70 0.330000 65.757576 75.757600 10.000024
2017-10-17 00:00:00+00:00 Equity(25182 [FORM]) 17.60 0.240000 73.333333 63.333333 10.000000
2004-10-01 00:00:00+00:00 Equity(6107 [POS]) 23.10 0.210000 110.000000 100.000000 10.000000
2011-09-08 00:00:00+00:00 Equity(11901 [SIRI]) 1.80 0.030000 60.000000 50.000000 10.000000
2011-09-15 00:00:00+00:00 Equity(11901 [SIRI]) 1.80 0.030000 60.000000 50.000000 10.000000

5935460 rows × 5 columns