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[amibroker] Re: Idea for fundamental database for backtesting in AB



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Thanks Erik,

It looks like an option.

I'll try it and add to the list for future reference.

Brian.

--- In amibroker@xxxxxxxxxxxxxxx, "eodeen" <eodeen@xxx> wrote:
>
> 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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