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Thanks Duke. You're correct of
course and I still choose the "good" companies, those with CANSLIM
type of qualifications. The process was just not as straightforward as
I thought, and reflects my
ability to code this in a system.
For example RS Rank (which I'm assuming QP3's
QRS is the same metric) is based on a 12 month price record, and
EPS Rank is based on 3 years earnings
record. As your results show these stocks prove out in the end but don't
respond
to the kind of short term backtesting I'm
doing. Now that Sales and EPS are provided as GetExtraData
fields you can
get to a more responsive quarterly metric.
external fundamental data. My
understanding is that approach might handicap optimizations, and along
those
lines I've had to get the GetExtraData calls out
of the optimizations AFL stream and into one or two preprocessing
steps with interim storage in AddToComposites.
Best regards
Joe
----- Original Message -----
Sent: Wednesday, May 10, 2006 7:47
PM
Subject: Re: [amibroker] Re: Does anyone
have a system to import data from AAII into Amibroker?
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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