RE: [amibroker] Re: Tomasz, GetExtraData() Array Question, AmiBroker Email List Archive

Stefan,

Not trying to hijack this thread, but I noticed that you use both QP and TC2005. (I’m interested because I’m thinking of replacing TC2005 with QP.) Why have both? What benefits does TC2005 provide that QP does not?

Thanks and regards,

Dan.

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of sgfuchs
Sent: Wednesday, July 20, 2005 2:41 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Tomasz, GetExtraData() Array Question

RJS

AB provides a list of QP datafields which can be accessed via
getextradata function - see helpfile "Getextradata" function.

In order to retrieve "historical data" for these fields ( if
provided
by QP )you need to use also the "ref(Getextradata("XXXXX")" function
and to enter the days/periods for how long AB should look back in
the QP database.

EPSRank i.e. is available back to January 8th. 02

I have created a fairly complex strategy / Exploration /
Tradingsystem around the datafields available from QP which I can
backtest in AB because there's no other way to check the validity of
stock selections performed in SPP based on fundamentals. However, I
needed to create a lot own "datafields" and ratios to be calculated
by AB in order to "simulate" rthe selection and ranking process in
SPP/ HGSI. It seems, that this system works quite well in real live
trading. But the possibilities for backtesting are still very much
limited due to the fact, that I cannot access certain QP datafields
in AB ( in particular the ranking values and A/D letter ranks )

Hence I would second the proposal to include some more QP
datafields - at least those, which one can already access also in
Excel via the QP Excel plugin. For most other fields, I fear, they
are calculated during each update and / or no historical figures are
kept.

That's one of the drawbacks of QP / HGSI - backtesting of
fundamental
strategies or combined fundamental / technical strategies is
impossible without 3rd. party software like AB - and even this
combination is rather limited.

I used Vectorvest Online including their ProTrader application for a
5
week trial because it allows a quite convenient backtesting of
fundamental strategies because it stores historic fundamental values
and their ratings, partially back to 9 years. The software is very
easy to use and very stable. However, TA is
However - 60.- etxra a month + a 495.- USD one time fee for
Pro-Trader
in addition to my current data subscriptions is a bit too much for
me.
( I use already AB, Omnitrader, QP and TC2005 )

123portfolio.com allows also portfolio level backtesting on more
than
500 fundamental andf technical parameters, including a quite
sophisticated ranking system for selection of trades. Several users
over there are very educated and experienced. Some of them have
already posted their real live portfolio results vs. hteir
backtesting
strategies. At least from these documents, one can draw the
conclusion, that this stuff works - and it has to, because it makes
no
sense to have a portfolio turnover of 500% a year with mediocre
results.

For what I can see, 123portfolio standard folio's outperform the S+P
by about 40% a year. Take this with a grain of salt - almost all
strategies are small cap related and hence the SP 600 or RUT would
be
a more realistic comparison for perfomance.
I compare those results with either small-cap mutual funds or the
new
Powershares ETF's ( i.e. PWO, PWC ) because they offer a mechanical
way to invest in a quantitative strategy without the hassel of a
500%
portfolio turnover / year and no tax problems due to shortterm
gains.
Up 'til now, their performance is very impressive for Indexbased
ETF's
( Intellidex Indexes ) see www.powershares.com

regards
Stefan

--- In amibroker@xxxxxxxxxxxxxxx, "razorruss17" <rsebring@xxxx>
wrote:
> Please Help!
>
>
> Gary over at Quotes-Plus told me on QP's message board that QP
> database contains historical earnings and revenues data fields. If
> this is the case shouldn't we be able to use the GetExtraData()
> command to extract array's beyond the QRS, and EPSRank arrays?
There
> seems to be a strong interest in many QP and Amibroker users to be
> able to accomplish this. What's the verdict, Tomasz? Anyone??
>
>
> RJS (Russ)