Piotroski Score - Fundamental Indicator

Author: sedelstein

Creation Date: 9/20/2013 5:25 PM

Wealth Lab » Technical Indicators » Piotroski Score - Fundamental Indicator

sedelstein

9/20/2013 5:25 PM

I usually don't do much with fundamental analysis but I ran across something called the Piotroski score
http://www.grahaminvestor.com/articles/quantitative-tools/the-piotroski-score/

I've never coded any WL using the fundamental data before and in the interest of giving back to the WL community after a few bone-headed posts, I've decided to share.

Here is the code. Ideally, it would be good to have it as a function call. I've yet to test it in a strategy.

Comments (especially code improvements) appreciated.

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I usually don't do much with fundamental analysis but I ran across something called the Piotroski score
[link]http://www.grahaminvestor.com/articles/quantitative-tools/the-piotroski-score/[/link]

I've never coded any WL using the fundamental data before and in the interest of giving back to the WL community after a few bone-headed posts, I've decided to share.

Here is the code.  Ideally, it would be good to have it as a function call.  I've yet to test it in a strategy.

Comments [b](especially code improvements)[/b] appreciated.

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			
			ClearDebug();

// Calculate Piotroski Score

// See http://www.grahaminvestor.com/articles/quantitative-tools/the-piotroski-score/
			
			int score = 0;
			
			const char tab = '\u0009';

// 1. Net Income: Bottom line. 
			//    Score 1 if last year net income is positive. (I use last 4 quarters)
			
			string item = "net income";
			IList<FundamentalItem> fList = FundamentalDataItems(item);            
			double net_income = 0;
			double net_income_prior_year = 0;
			
			for (int j = fList.Count-1; j > fList.Count-5; j--) 
			{	
				FundamentalItem fi = fList[j];
				//PrintDebug(fi.Value);
				net_income+=fi.Value;
				fi = fList[j-4];
				net_income_prior_year  += fi.Value;
				
			}
			PrintDebug("1. Annual Net Income: " + net_income);
			PrintDebug("    prior year: " + net_income_prior_year );			
			if (net_income > 0) score+=1;

// 2. Operating Cash Flow: A better earnings gauge. 
			//    Score 1 if last year cash flow is positive.
			
			item = "operating activities";
			fList = FundamentalDataItems(item);            
			double operating_cash_flow = 0;
			for (int j = fList.Count-1; j > fList.Count-5; j--) 
			{	
				FundamentalItem fi = fList[j];
				//PrintDebug(fi.Value);
				operating_cash_flow+=fi.Value;
			}
			PrintDebug("\r\n2. Operating cash flow: " + operating_cash_flow);
			if (operating_cash_flow > 0) score+=1;

// 3. Return On Assets: Measures Profitability. 
			//    Score 1 if last year ROA exceeds prior-year ROA.

item = "assets";
			fList = FundamentalDataItems(item);  
			FundamentalItem xfi = fList[fList.Count -1];			
			double roa = 100*  net_income / xfi.Value; 			
			double assets = xfi.Value;
			xfi = fList[fList.Count -5];
			double assets_prior_year = xfi.Value;
			xfi = fList[fList.Count -5];			
			double roa_prior_year = 100 * net_income_prior_year / xfi.Value; 			
			if (roa > roa_prior_year) score+=1;
			PrintDebug("\r\n3. ROA: " + roa);
			PrintDebug("    prior year: " + roa_prior_year );

// 4. Quality of Earnings: Warns of Accounting Tricks. 
			//    Score 1 if last year operating cash flow exceeds net income.
			
			if (operating_cash_flow > net_income) score+=1;
			PrintDebug("\r\n4. Operating Cash flow: " + operating_cash_flow);
			PrintDebug("    Net income: " + net_income);

// 5. Long-Term Debt vs. Assets: Is Debt decreasing? 
			//    Score 1 if the ratio of long-term debt to assets is down from the year-ago value. 
			//    (If LTD is zero but assets are increasing, score 1 anyway.)
			
			item = "long term debt";
			fList = FundamentalDataItems(item);  
			xfi = fList[fList.Count -1];			
			double ltd = xfi.Value; 			
			xfi = fList[fList.Count -5];
			double ltd_prior_year = xfi.Value; 						
			if (ltd == 0 | ltd/assets < ltd_prior_year /assets_prior_year) score+=1;

PrintDebug("\r\n5. Debt/assets: " + ltd/assets);
			PrintDebug("   prior year: " + ltd_prior_year /assets_prior_year );			
			
			
			
			
			// 6. Current Ratio:  Measures increasing working capital. 
			//    Score 1 if CR has increased from the prior year.
			
			item = "current assets";
			fList = FundamentalDataItems(item);  
			xfi = fList[fList.Count -1];			
			double current_assets = xfi.Value; 			
			xfi = fList[fList.Count -5];
			double current_assets_prior_year = xfi.Value;

item = "current liabilities";
			fList = FundamentalDataItems(item);  
			xfi = fList[fList.Count -1];			
			double current_liabilities = xfi.Value; 			
			xfi = fList[fList.Count -5];
			double current_liabilities_prior_year = xfi.Value; 						
			
			if (current_assets / current_liabilities >   current_assets_prior_year / current_liabilities_prior_year) score+=1;			
			PrintDebug("\r\n6. Current ratio: " + current_assets / current_liabilities );
			PrintDebug("   prior year: " + current_assets_prior_year / current_liabilities_prior_year);			
			
			
			
			// 7. Shares Outstanding: A Measure of potential dilution. 
			//    Score 1 if the number of shares outstanding is no greater than the year-ago figure.

item = "common shares outstanding";
			fList = FundamentalDataItems(item);  
			xfi = fList[fList.Count -1];			
			double shares = xfi.Value; 			
			xfi = fList[fList.Count -5];
			double shares_prior_year = xfi.Value; 						
			if (shares <= shares_prior_year) score+=1;			
			
			PrintDebug("\r\n7. Shares outstanding: " + shares);
			PrintDebug("   prior year: " + shares_prior_year );			
			
			
			
			
			// 8. Gross Margin: A measure of improving competitive position. 
			//    Score 1 if full-year GM exceeds the prior-year GM.
			
			item = "[ms] Gross Margin %";
			fList = FundamentalDataItems(item);  			
			xfi = fList[fList.Count -1];			
			double gm = xfi.Value; 			
			
			xfi = fList[fList.Count -2];			// Note for Morningstar just see if improvement over prev value
			double gm_prior = xfi.Value; 			
			if (gm > gm_prior) score+=1;			
			
			PrintDebug("\r\n8. Gross Margin: " + gm);
			PrintDebug("   prior year: " + gm_prior);			
					
			
			// 9. Asset Turnover: Measures productivity. Score 1 if the percentage increase in sales exceeds the 
			//    percentage increase in total assets.
			item = "[ms] Asset Turnover (Average)";
			fList = FundamentalDataItems(item);  			
			xfi = fList[fList.Count -1];			
			double turnover = xfi.Value; 			
			
			xfi = fList[fList.Count -2];			// Note for Morningstar just see if improvement over prev value
			double turnover_prior = xfi.Value; 			
			if (turnover > assets / assets_prior_year) score+=1;			
			
			PrintDebug("\r\n9. Asset Turnover: " + turnover);
			PrintDebug("     Pct chg total assets   prior year: " + assets / assets_prior_year);		
			
			PrintDebug(" \r\n");
			PrintDebug("PIOTROSKI SCORE = " + score);

}

}
}[/code]