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Greg,
Thank you for these links. Did you find any mention of the
data in an ASCII form? This can be imported and used for
backtesting.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=greg.bean@xxxx
href="">greg
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, July 08, 2002 2:24 PM
Subject: Re: [amibroker] P/E and Price to
book value screen 41% CAGR since 1986
Walid,
Here's a product that seems to offer screeningof
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 used by
AB for backtesting ? They reference NAQ <A
href="">www.naq.com<FONT
color=#000080> as a data provider. It may turn out that The ValueLine
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@xxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, July 07, 2002 11:51
PM
Subject: Re: [amibroker] P/E andPrice
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 Value per 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 PurchasedGain
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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