Disclaimer

QVAL: Quantitative Value

This tutorial will show you how to run a value investing strategy in Moonshot using Sharadar US fundamental and price data. The investing strategy is modeled on Alpha Architect's QVAL ETF and uses the enterprise multiple and Piotroski F-Score to target cheap, high-quality stocks.

The rules of the QVAL strategy as outlined in the Alpha Architect white paper are:

1. Universe selection
   1. Starting universe: all NYSE stocks
   2. Exclude financials, ADRs, REITs
   3. Liquidity screen: select top N percent of stocks by market cap (N=60)
2. Apply value screen: select cheapest N percent of stocks by enterprise multiple (EV/EBIT) (N=10)
3. Rank by quality: of the value stocks, select the N percent with the highest quality, as ranked by Piotroski F-Score (N=50)
4. Apply equal weights
5. Rebalance portfolio quarterly

• Part 1: Data Collection
• Part 2: Universe Selection
• Part 3: Interactive Strategy Development
• Part 4: Moonshot Backtest
• Part 5: Parameter Scans