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Walid,
Here's a product that seems to offer screening of
historical data for fundamentals and technicals. <A
href=""><FONT
color=#0000ff>http://www.chartsmart.com/theory.htm<FONT
color=#000080> . I wonder if their data could be usedby
AB for backtesting ? They reference NAQ <A
href="">www.naq.com<FONT
color=#000080> as a data provider. It may turn out that The Value Line
Investment Survey software would be a good source of data going back 10
years. I don't recall if their software offers backtesting capabilities,
they offer a 3-month trial for $65 USD if you are interested in checking out
what they have to offer <A
href=""><FONT
color=#0000ff>http://www.ec-server.valueline.com/cgi-bin/SoftCart.exe/products/elect2.html?L+scstore+tbnm5032ffc76ec7+1026130311.
Greg
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Walid
Atia
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, July 07, 2002 11:51
PM
Subject: Re: [amibroker] P/E and Price to
book value screen 41% CAGR since 1986
Greg,Thanks for the screen. The results
indeed look veryinteresting. However, with regards to using QP2
tobacktest, please read the following message fromTomasz responding to
my question about QP2 and backtesting fundamental data:<A
href="">http://groups.yahoo.com/group/amibroker/message/19891Since
the valueline screen goes back to 1986, I don'tthink you can get AMIBroker
to read from QP2 thatback,either because QP2 doesn't provide the data
(theyonly go back 8 quarters I believe), or AB doesn'thave the
required fields.Let me know if you find a way to backtest such
datawith AB--I would be very interested.Walid--- greg
<greg.bean@xxxx> wrote:> Hi,> > I found
this screen using P/E and Price to book> value that seems to give good
returns. I don't have> P/E or PTB data but thought those that do might
want> to try doing some backtests. There are some> variations
that give better results and I wanted to> include them, but I am having
trouble downloading> them. it would be interesting to see what market
cap> range gives the best returns. I'm not sure if> Valueline
Timeliness ratings were part of the> attached backtest results so your
results may be> different from those below. I started an afl to
give> you an idea of what parameters to plugin. Looks like>I'm
going to have to use QP2 data , if I want to> test this and the float
analysis afl. Maybe I'll> subscribe in August.> >
Greg> > /* MI PEBsize */> > > >
//Current P/E Ratio bottom 30%//> > //Book Value per share !=
0//> > //Price / Book Value per share bottom 50%//>
> //Price / Book Value per share top 60%//> > //Market
Cap $ (Mil) bottom 5//> > //Buy on first Monday of month,h old
for One Month//> > > Jamie Gritton's Backtest Engines
> Screen Builder > "7bpeb73697a65"> Current P/E Ratio
bottom 30%> Book Value per share != 0> Price / Book Valueper
share bottom 50%> Price / Book Value per share top 60%> Market
Cap $ (Mil) bottom 5>
URL:>SBv86010101Q7bpeb73697a65QXcpeB30HXbvsNE0XpriDbvsB50HXpriDbvsT60HXmcpB5UUUUU>
through
>
Starting in
>JanuaryFebruaryMarchAprilMayJuneJulyAugustSeptemberOctoberNovemberDecember>
>
Holding Period: months
>
List picked stocks
>
Show all months
>
URLs trading simulator
>
>
TimelinessTM -
>
>
Timeliness(tm) RankSafety> RankFinancial StrengthIndustryIndustry
RankPrice> Stability RankBetaCurrent EPSCurrent>
DividendTechnical RankPriceHigh Price 52-WeekLow> Price 52-WeekCurrent
P/E Ratio% Current YieldPrice> to Book ValueTotal Return 13-WeekTotal
Return> 26-WeekMarket Cap $ (Mil)Options ListingSales%> Earned
Net Worth% Retained to Common EquityBook> Value per shareDebt as %Capl
Latest Qtr% EPS Chg> from Last Qtr% EPS 12-Month Chg Latest QtrEPS
Growth> 5-YearDividend Growth 5-YearBook Value Growth> 5-YearEst
% EPS Chg 1 Qtr OutEst % EPS Chg 2 Qtrs> OutEst % EPS Chg Fiscal
YearProj 3-5 Yr %> AppreciationProj EPS Growth RateProj Dividend
Growth> RateProj Book Value Growth RateProj 3-5 Yr Avg>
ReturnCashTotal Current AssetsTotal AssetsCurrent> LiabilitiesLong-Term
DebtNet WorthCash FlowNet> IncomeIndustry NameExchange Code%
Institutional> HoldingsCommon Shares
Outstanding>
=!=><>=<=topbottom
>
Timeliness(tm) RankSafety> RankFinancial StrengthIndustryIndustry
RankPrice> Stability RankBetaCurrent EPSCurrent>
DividendTechnical RankPriceHigh Price 52-WeekLow> Price 52-WeekCurrent
P/E Ratio% Current YieldPrice> to Book ValueTotal Return 13-WeekTotal
Return> 26-WeekMarket Cap $ (Mil)Options ListingSales%> Earned
Net Worth% Retained to Common EquityBook> Value per shareDebt as %Capl
Latest Qtr% EPS Chg> from Last Qtr% EPS 12-Month Chg Latest QtrEPS
Growth> 5-YearDividend Growth 5-YearBook Value Growth> 5-YearEst
% EPS Chg 1 Qtr OutEst % EPS Chg 2 Qtrs> OutEst % EPS Chg Fiscal
YearProj 3-5 Yr %> AppreciationProj EPS Growth RateProj Dividend
Growth> RateProj Book Value Growth RateProj 3-5 Yr Avg>
ReturnCashTotal Current AssetsTotal AssetsCurrent> LiabilitiesLong-Term
DebtNet WorthCash FlowNet> IncomeIndustry NameExchange Code%
Institutional> HoldingsCommon Shares
Outstanding>
=!=><>=<=topbottom
>
>
>
Timeliness(tm) RankSafety> RankFinancial StrengthIndustryIndustry
RankPrice> Stability RankBetaCurrent EPSCurrent>
DividendTechnical RankPriceHigh Price 52-WeekLow> Price 52-WeekCurrent
P/E Ratio% Current YieldPrice> to Book ValueTotal Return 13-WeekTotal
Return> 26-WeekMarket Cap $ (Mil)Options ListingSales%> Earned
Net Worth% Retained to Common EquityBook> Value per shareDebt as %Capl
Latest Qtr% EPS Chg> from Last Qtr% EPS 12-Month Chg Latest QtrEPS
Growth> 5-YearDividend Growth 5-YearBook Value Growth> 5-YearEst
% EPS Chg 1 Qtr OutEst % EPS Chg 2 Qtrs> OutEst % EPS Chg Fiscal
YearProj 3-5 Yr %> AppreciationProj EPS Growth RateProj Dividend
Growth> RateProj Book Value Growth RateProj 3-5 Yr Avg>
ReturnCashTotal Current AssetsTotal AssetsCurrent> LiabilitiesLong-Term
DebtNet WorthCash FlowNet> IncomeIndustry NameExchange Code%
Institutional> HoldingsCommon Shares
Outstanding>
=!=><>=<=topbottom
>
more rules
>
Expressions post-1997 fields
>
>
Screen S&P
>
>
CAGR 41 14
>
GSD 30 18
>
Sharpe Ratio 1.23 0.58
>
>
CAGR+3s 206 85
>
CAGR+2s 137 57
>
CAGR+1s 83 34
>
CAGR-1s 9 -3
>
CAGR-2s -16 -17
>
CAGR-3s -35 -30
>
>
Winning stocks 541
>
Average gain 11
>
Losing stocks 379
>
Average loss -8
>
>
1986 55 24
>
1987 -14 5
>
1988 84 11
>
1989 55 36
>
1990 21 -5
>
1991 112 31
>
1992 35 7
>
1993 54 10
>
1994 27 2
>
1995 84 39
>
1996 19 23
>
1997 32 27
>
1998 14 33
>
1999 2 20
>
2000 26 -11
>
2001 120 -9
>
>
January 5 3
>
February 4 1
>
March 3 1
>
April 5 2
>
May 4 2
>
June -0 1
>
July 3 0
>
August 2 -0
>
September 0 -1
>
October 1 1
>
November 0 2
>
December 7 2 >
>
971 trades (5.1 / period) >
>
all-months summary
>
spreadsheet export
>
> 6 Jul 2002 Purchased Gain
Ann'd S&P Total > Pick
>
>
Initial 10000
>
6 Jan 1986 -7 -56 2 9336
>
3 Feb 1986 12 286 5 10447
>
3 Mar 1986 15 436 6 12016
>
30 Mar 1986 -3 -30 -0 11670
>
5 May 1986 16 466 3 13484
>
2 Jun 1986 9 168 3 14638
>
30 Jun 1986 -4 -36 -6 14107
>
4 Aug 1986 3 44 6 14539
>
1 Sep 1986 1 15 -7 14708
>
29 Sep 1986 3 49 7 15208
>
3 Nov 1986 -6 -54 2 14259
>
1 Dec 1986 9 177 2 15522
>
5 Jan 1987 1 13 10 15684
>
2 Feb 1987 15 443 2 18058
>
2 Mar 1987 0 1 2 18069
>
30 Mar 1987 -1 -14 0 17841
>
4 May 1987 0 1 0 17848
>
1 Jun 1987 3 35 7 18304
>
29 Jun 1987 1 14 3 18510
>
3 Aug 1987 4 68 4 19330
>
31 Aug 1987 -7 -56 0 18067 > ===
message truncated
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