I was wondering what brokers and/or software packages are best to backtest strategies based on fundamentals. Specifically, I taking about valuation metrics such as P/E, Price/Sales, Price/Book, Earnings Momentum, etc. etc. To put an extra wrinkle in it, I want to go back as far in time as is realistically available, maybe 30 or 40 years. The backtesting software/tools I have run across thus far are based on technicals. I want a tool that couples fundamentals and technicals. Are there any good ones out there?
http://www.vectorvest.com/ don't trust the backtesting features because there not totally realistic but they try.
Are you looking for a software package that can backtest on fundamental data or a data provider that supplies the fundamental data you want? If you have the data then you backtest on anything you want with TradeStation. You just import your own data. But TS doesn't actually have fundamental data.
Ideally, I am looking for the two (the actual historical data and the software) combined in one easy to use package. Was wondering if this is out there. If there are no easier options, I will try what you suggest. The compustat database from S&P has all the data points I would possibly need but it is a bit expensive. Was wondering if I could find the same data somewhere else cheaper.