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After reading the threads below about fundamental database &
backtesting in AB I decided to share the following idea. Why not
retrieve the fundamental data directly from the official 10-Q forms
filed at edgar?
This data is FREE including historical 10-Q forms. Take IBM for
example, one can retrieve the 10-Q forms in xml or text format back to
1994.
So the steps as I see them would be:
1. use list of ticker symbols and/or CIK codes
2. use script to retrieve existing 10-Q forms
3. parse data fields in 10-Q forms
4. populate database (MySQL?) with the data
5. use a SQL plug-in for AB to retrieve data from MySQL database
6. calculate relevant fundamental ratios (P/E, P/S, ROE, etc.)
7. plot, explore, and backtest based on combination of TA &
fundamental data
The drawbacks that I see with this method is that it requires a lot of
work parsing the 10-Q docs and structuring the database. It also would
not include info such as earnings estimate & analysts ratings.
The advantages are that it is FREE, historical data is available and
it is the "official" filed company data.
Here are some relevant links:
http://www.sec.gov/edgar/searchedgar/companysearch.html
for example, type IBM, then type 10-Q for form
http://www.sec.gov/cgi-bin/browse-edgar?type=10-Q&dateb=&owner=include&count=40&action=getcompany&CIK=IBM
select the latest one:
http://www.sec.gov/Archives/edgar/data/51143/000110465906069905/a06-19062_710q.htm
edgar home page:
http://www.sec.gov/edgar.shtml
Regards,
Erik Odeen
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