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[amibroker] Re: Backtesting using historical fundamentals in AB?



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Joe,

1) Yes, although for the SQL import I use their bulk-data tool, 
called DDL.
2) As you can guess we use it in our firm. Depending on 
subscriptions, this is upward of US$2000/month (no typo!) per 
dedicated line (i.e. multiple user access).
3) ThCSV was written by TJ on my budget, and is now freely available. 
Although intended for Datastream csv-files it can read any csv-file 
if in propper format. SQL plug-in (again on my budget) allows anybody 
to import any type of data in SQL and have it read by AB. I believe 
the next upgrade to the SQL plug-in is planned sometime in the next 2 
months or so.

One more comment. For those using Bloomberg, and only interested in 
the OHLCVOI-datatypes, you may want to look at this software, which 
imports Blb-data in MS-format:

http://www.vestico2.com/downloader/

PS 

--- In amibroker@xxxxxxxxxxxxxxx, "Joe Landry" <jelandry@xxx> wrote:
>
> Hi PS... Thanks for your note.  There's an interest locally in back 
testing some
> fundamental data approaches.   
>  I'd like to follow up by asking
> 1) Are you using the Datastream Advance? 
> 2) How expensive is that product? 
> 3) The plugins?    ThCSV provided by Thomson?  A newer version of 
the SQL plugin by AB? 
> 
> Thanks 
> Joe L.  
>   ----- Original Message ----- 
>   From: vlanschot 
>   To: amibroker@xxxxxxxxxxxxxxx 
>   Sent: Thursday, February 08, 2007 2:55 AM
>   Subject: [amibroker] Re: Backtesting using historical 
fundamentals in AB?
> 
> 
>   David,
> 
>   For reliable and long histories of fundamental data (including 
>   analysts' estimates) you really have to use professional data-
>   providers, and unfortunately (but understandably) that costs 
money. I 
>   use Datastream (who own IBES/First Call) and Bloomberg. Both 
>   Bloomberg and Reuters do not have as much historic data as 
Datastream.
> 
>   Re Q2, I integrate macro, fundamental and technical data in quant 
>   models, and yes, due to the ThCSV-plugin (now to be replaced by 
the 
>   SQL-plugin)Amibroker allows one to combine this data, backtest 
it, 
>   etc.
> 
>   This is my approach. In general, as others have pointed out also, 
>   find / create a niche, the precondition for success.
> 
>   Just my opinion. Hope it helps.
> 
>   PS
> 
>   --- In amibroker@xxxxxxxxxxxxxxx, "dwrowley_2000" <dwrowley@> 
>   wrote:
>   >
>   > 
>   > I traded for about a year using AB based on various TA 
strategies, 
>   and
>   > generated some returns, but then I got the 'fundamentals' 
religion 
>   and
>   > moved over to Portfolio123.com
>   > 
>   > However, I always really liked AB, the support, the continual
>   > improvement, etc. - and now I see that AB supports fundamental 
data!
>   > 
>   > A couple of questions:
>   > 
>   > - What data sources provide historical fundamental data? What 
>   are
>   > people using? (The matrix lists QuotePlus as a source of 
fundamental
>   > data, but it isn't clear if they provide HISTORICAL fundamental 
data
>   > that I can use for backtesting)
>   > 
>   > - Are people actually doing this? Anyone have good success?
>   > 
>   > I've been asking the P123 guys to add more TA functions, but 
they
>   > don't really seem to put a high priority on it.
>   > 
>   > I think AB + access to the same historical fundamental data 
that 
>   P123
>   > uses (Reuters, I believe) would be excellent.
>   > 
>   > Comments, tip, wisdom appreciated!
>   > 
>   > Thanks,
>   > David
>   >
>



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