Backtesting Earnings

Discussion in 'Strategy Development' started by BrownianMotion, Aug 25, 2006.

  1. Anyone know a good program that can backtest a strategy based on earnings estimates?

    I'm looking for something that:

    1. Isn't outrageously expensive
    2. Has earnings estimates, earnings revisions, and stock price data for each day of the year on a historical basis (at least 3-5 years worth)
  3. Zacks

    not sure there is anything there though (e estimates) but you can try lots of screening criteria

  4. Thanks but I'm not sure if Portfolio123 will let you backtest what happens to stocks that have just had an earnings estimate revision on a particular day.

    I emailed them for an answer last week but haven't got a response yet.
  5. either way they have system that have great returns and high sharpe ratios. I stick to price related info, but their free systems look promising.

  6. Great. Just not what I need.
  7. Bob111


    you can do it in excel.
    grab earnings data from here-
    (i think, i have it somewhere on my computer)
    and run on free data from yahoo.
    not sure,how exactly you want to play it,but earnings surprise alone will be not enough.
  8. Appreciate the idea Bob.

    There are two problems:

    1. doesn't post earnings estimate revisions by date of the revision.

    2. I need to do this for hundreds of symbols so I'm looking for something automated.

    I think high-end programs like can do it but they charge more than my car payment each month (x 5). :)
  9. Bob111


    i done it very long time ago in VB. for all US stocks it takes about 20-30 min with good internet speed. let me check, if function i have still works(if i could find it)))))), and if it is-i can share this data with you if you need it

  10. Thanks Bob. Really appreciate it.
    #10     Aug 28, 2006