Backtesting With Fundamental Data

Discussion in 'Data Sets and Feeds' started by rrisch, Mar 21, 2002.

  1. rrisch


    Has anyone seen any commercial software that allows you to backtest strategies, for the past 2 years, that include conditions based on historical fundamentals? For example:

    Buy stocks with a P/E < 7 or P/S < .33 that are above their 50 day moving average and hold them until either it goes below that average or the P/E or P/S is out of the cheap range.

    It seems that big brokerage houses and some finance professors have such software. Anything us peons can use? Thanks.
  2. mbs


    LIM has such software...including significant db of economic data and is used by loads of larger firms....a typical question LIM would answer might be 'since 1990 what % move has the S&P 500 made if the NAPM report is .10% from the consensus figure?'

    ...not that you asked but this type of research typically goes into big house retail and or institutional research reports that firms crank out...crank being the operative word..

    university sites often contain relational studies as white papers...stern at nyu offers links to numerous sites which may be of help....also, bloomberg terminal offers weath of generic back testing models.

  3. rrisch


    What is LIM? Have a URL? The kind of things in your description does not sound like backtesting a stock buying/selling strategy, to me. Maybe the brokerage firms have their own software and use the LIM database. That doesn't really solve my problem. But thanks for trying.
  4. mbs


    sorry...LIM stands for logical information machines...they have huge dbs of equities, commodites, econ can parse the data anyway you wish by the phrasing of your question...

  5. rrisch


    I downloaded 2 videos and a manual from the LIM site. I haven't seen any sign that they handle fundamental data with their MIM software. So far it is just OHLC-Volume stuff which you can also backtest with Wealth Labs, AIQ and some others. AIQ lets you screen with fundamental data. However a backtest with a fundamental field like earnings or cash per share, does not run.:confused:
  6. tom_p


    Robert, perhaps the fundamental field used in backtesting can be "emulated" by simply hardcoding the appropriate fundamental data, providing the software allows conditional date filtering. Taking P/E, for example, the relevant, annualized E (in P/E) can be used in the filter for each quarter. This presupposes that you have a list of candidates to test and therefore may be too limiting for you.
  7. bozwood


    A company called Telescan used to have software for fundamental testing. Not sure if they are still around. Value Line may also be able to sell you data/disks from the time period you are looking for in order to test forward from there.
  8. rrisch


    Tom, I don't understand how your idea can be implemented. I test a database of over 7000 stocks for trading opportunities. Earnings per share change every quarter. It doesn't seem practical to hard code such data into a backtest.
  9. rrisch


    Bozwood, I use the telescan stuff sometimes at I regard their backtesting as a joke. You get a single graph of how they say your portfolio will have grown or shrunk if you ran the screen every month for 12 months. No sell rules can be entered.
  10. bozwood



    Doesn't surprise me. It's has been a long while since I even looked at Telescan.
    #10     Mar 21, 2002