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Joe,
Don't completely throw out the concept of using RS, EPS etc. Some decent
models can be made from those elements. :-) However, you will notice
that the models shown in the attached pic that are predominantly
momentum based lag other models.
Someone else mentioned P123 which is useful for fundamental backtesting
but its manipulation of price data still lags compared to the power of
AB. I would love to be able to access historical fundamental and other
data elements within AB and hopefully that is my next big project. When
the time comes I hope to twist the arm of our resident AB list db expert
Dan Clark on how to access a db with historical fundamental and
quantitative rankings. :-)
Regards,
Duke Jones, CMT
PS When is the next HIA meeting?
Joe Landry wrote:
> Thanks for the offer Chris. I'll have to think about it.
>
> If you recall AAII was claiming great returns for their CANSLIM
> strategy - only there
> was no way to back test this strategy. Currently I'm working with
> Quotes Plus,
> trying to see how/if fundamental data influences returns. What I
> found out very
> early in my use of AB is taking today's CANSLIM or IBD 100 candidates
> is the surest way to bring
> survivorship bias in a strategy. Produces, of course, great CAR/MDDs.
> So I tried backtesting with
> a modified QP CANSLIM screen walking forward and found that TA
> indicators and price patterns are
> just as effective in producing the final results. EPS, EPSRank, RS,
> RSRank, Growth in EPS provide minor
> influence in the results. I should qualify all this by saying that's
> about as far as I've gotten and
> I certainly haven't exhausted my search.
>
> Best regards
> JOE .
>
>
> ----- Original Message -----
> *From:* Christopher Much <mailto:chris.much@xxxxxxxxx>
> *To:* amibroker@xxxxxxxxxxxxxxx <mailto:amibroker@xxxxxxxxxxxxxxx>
> *Sent:* Wednesday, May 10, 2006 6:18 PM
> *Subject:* Re: [amibroker] Re: Does anyone have a system to import
> data from AAII into Amibroker?
>
> What I do in order to look at past price action is redownload the
> data from a prior time period. You can only go back a few years
> but it is still useful. AAII does in fact get there data from
> Reuters. Anyways, if its of any use I would be more than happy to
> send you any reports you would like.
> Chris
>
>
> On 5/10/06, *Joe Landry* <jelandry@xxxxxxxxxxxxx
> <mailto:jelandry@xxxxxxxxxxxxx>> wrote:
>
> Since the AAII data is not historical, how are you using it
> other than current (point in time) SCANS?
> As a one time subscriber I remember that AAII would not sell
> the historical files. In fact I saw one guy
> on the AAII forum trying to buy back copies of the CDs to
> assemble historical files. Without enough
> historical data how can you backtest your strategies? I was
> told at one time by Marc Gerstein from Reuters that AAII
> got their data from Reuters. ?
>
> Best regards
> JOEE
>
> ----- Original Message -----
> *From:* vlanschot <mailto:ecbu@xxxxxxxxxxxxxx>
> *To:* amibroker@xxxxxxxxxxxxxxx
> <mailto:amibroker@xxxxxxxxxxxxxxx>
> *Sent:* Wednesday, May 10, 2006 2:37 AM
> *Subject:* [amibroker] Re: Does anyone have a system to
> import data from AAII into Amibroker?
>
>
> As I've mentioned on various occassions before, at my
> request Tomasz
> has created a DLL called ThCSV Plugin. It's intention
> originally was
> to be able to read CSV-files with data from Thomson
> Datastream ( i.e.
> columns of time series beyond OHLCVOI, for example PE, DY,
> PC, etc.
> for stocks, but also Duration, Convexity, etc. for bonds).
> Works like
> a charm.
>
> No doubt it would be useful for others too, since it can
> read any CSV
> if structured in the right format. Ask support for more
> details.
>
> PS
>
> --- In amibroker@xxxxxxxxxxxxxxx
> <mailto:amibroker@xxxxxxxxxxxxxxx>, "mikelaurataylor"
> <mikelaurataylor@xxx> wrote:
> >
> > There is not currently (to the best of my knowledge) a
> place to
> import
> > fundemental data from outside parties into the system.
> I have
> > actually placed an update request with AmiBroker to add
> some fields
> we
> > could use to import fundemental data into.
> >
> > In the interum there are a few ways you can handle this.
> >
> > (1) You can export the selected data from the AAII
> database (I do)
> > into a CSV and then during your scan you can read the
> external
> file.
> > I do this for Float data. The only problem is that it
> is slow
> since
> > it is accessing the external file for each stock in the scan.
> >
> > (2) You can first do a selection from the AAII database, for
> instance
> > for all stocks w/ a low PE or whatever your criteria,
> then take that
> > list of stocks and bring it into a watchlist in AmiBroker
> and run
> > technical scans on it from there. For instance I
> recently ran a
> > scan of stocks with very high P/Es and which had future
> projected
> P/Es
> > that were lower and some other criteria to give me a list of
> > potentially overpriced stocks. I then took this list
> and brought
> it
> > in as a watchlist and created a scan to see those that
> were breaking
> > under their 50 day moving averages to see if I could find
> some good
> > overpriced stocks that appeared to be breaking down to short.
> >
> > Hope this helps.
> >
> > Mike
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx
> <mailto:amibroker@xxxxxxxxxxxxxxx>, "christophermuch"
> <chris.much@>
> > wrote:
> > >
> > > I'm trying to develop a system that updates the
> fundamental data
> from
> > > AAII in order to run a stock screener in Amibroker. If
> anyone
> has any
> > > ideas it would be greatly appreciated.
> > > Chris
> > >
> >
>
>
>
>
>
>
>
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