Using fundamental data
AmiBroker 4.90 adds ability to use 32 fundamental data items. Fundamental
data can be automatically downloaded for all U.S. stocks for free using
AmiQuote. New Information
window allows you to view these items, while new AFL function: GetFnData
allows to access fundamentals programmatically.
INFORMATION WINDOW
To display fundamental data in Information window, please use
Symbol->Information menu. This will open Information window with
several fundamenta data fields as shown in the picture below (if you created new
database, it probably will not have these data present initially and you would
need to download them)
DOWNLOADING FREE FUNDAMENTAL DATA FROM YAHOO
New version of AmiQuote now features ability to download free fundamental
data from Yahoo Finance web site. This is implemented using 2 different Yahoo
pages:
- Yahoo Fundamental - Basic data source (free basic fundamental data,
200 symbols in one request).
Data are retrieved from the following URL:
http://finance.yahoo.com/q?s={Ticker} (Download data link).
That page provides the following data:
EPS (ttm)
EPS Est Current Year
EPS Est Next Year
EPS Est Next
Quarter
PEG Ratio
Book Value
EBITDA
Sales Revenue
Dividend Pay
date
Ex Dividend date
Dividend Per Share
1yr Target Price
Shares
Float
Shares Outstanding
Explanation of values: http://help.yahoo.com/help/us/fin/quote/quote-03.html
- Yahoo Fundamental - Extra data source (extended fundamental data, 1
symbol in one request, more data - available in registered version
only).
Data are retrieved from the following URL:
http://finance.yahoo.com/q/ks?s={Ticker} (Key Statistics page)
That page provides following data:
Forward P/E
PEG Ratio
Profit Margin
Operating Margin
Return on
Assets
Return on Equity
Revenue (ttm)
Qtrly Revenue Growth
Gross
Profit
EBITDA
(Diluted) EPS
Qtrly Earnings Growth
Book Value Per
Share
Operating Cash Flow
Levered Free Cash Flow
Beta
Shares
Outstanding
Float
% Held by Insiders
% Held by Institutions
Shares
Short (prior month)
Shares Short
Forward Annual Dividend
Rate
Trailing Annual Dividend Rate
Dividend Date
Ex-Dividend
Date
Last Split Factor
Last Split Date
Explanation of values: http://help.yahoo.com/help/us/fin/research/research-12.html
IMPORTANT NOTE: Unregistered version of AmiQuote allows you to download
fundamental-ex data for first 20 tickers in the list. To download data for
more symbols you need to register AmiQuote.
Downloading data is easy and staightforward:
- Run AmiQuote
- In AmiQuote, select Tools->Get tickers from AmiBroker
- Select Yahoo Fundamental - Basic or Yahoo Fundamental - Extra
from Source drop down list
- Make sure that Automatic import box is checked
- Press Green Arrow to Start Download
Once download is complete, you should see fundamental data updated in
Information window in AmiBroker.
ACCESSING FUNDAMENTAL DATA FROM FORMULA (AFL) LEVEL
To access fundamental data from AFL level you can use new GetFnData
function. It has quite simple syntax:
GetFnData("field")
where "field" is any of the following fundamental data field supported. For
detailed list please see GetFnData
function reference.
The function returns the number (scalar) representing current value of
fundamental data item. There is no history of values (no arrays are returned),
so it is useful for scanning, explorations (for current situation), market
commentary / interpretation, but not for backtesting. Example exploration
formula looks as follows:
AddColumn( Close / GetFnData( "EPS" ) ,
"Current P/E ratio" );
AddColumn(
Close /
GetFnData( "EPSEstNextYear" ) , "Est. Next Year P/E ratio" );
Filter =
Status("lastbarinrange");
IMPORTING FUNDAMENTAL DATA FROM OTHER SOURCES
AmiBroker allows also to import fundamentals using its flexible ASCII importer
and/or OLE
interface as all new fields are exposed as properties of Stock
object.
ASCII importer $FORMAT command now supports the following extra fields for
fundamental data:
DIV_PAY_DATE
EX_DIV_DATE
LAST_SPLIT_DATE
LAST_SPLIT_RATIO
EPS
EPS_EST_CUR_YEAR
EPS_EST_NEXT_YEAR
EPS_EST_NEXT_QTR
FORWARD_EPS
PEG_RATIO
BOOK_VALUE (requires SHARES_OUT to be specified as
well)
BOOK_VALUE_PER_SHARE
EBITDA
PRICE_TO_SALES (requires CLOSE to
be specified as well)
PRICE_TO_EARNINGS (requires CLOSE to be specified as
well)
PRICE_TO_BV (requires CLOSE to be specified as well)
FORWARD_PE
(requires CLOSE to be specified as well)
REVENUE
SHARES_SHORT
DIVIDEND
ONE_YEAR_TARGET
MARKET_CAP (requires CLOSE to be specified
as well - it is used to calculate shares outstanding)
SHARES_FLOAT
SHARES_OUT
PROFIT_MARGIN
OPERATING_MARGIN
RETURN_ON_ASSETS
RETURN_ON_EQUITY
QTRLY_REVENUE_GROWTH
GROSS_PROFIT
QTRLY_EARNINGS_GROWTH
INSIDER_HOLD_PERCENT
INSTIT_HOLD_PERCENT
SHARES_SHORT_PREV
FORWARD_DIV
OPERATING_CASH_FLOW
FREE_CASH_FLOW
BETA
Note that if you want to import only fundamental data with ASCII importer
(without quotes) you need to use $NOQUOTES 1 command. See
Formats\aqfe.format and Formats\aqfn.format files for example usage - these are
files actually used by AmiQuote to implement automatic import of fundamental
data downloaded from Yahoo.
The names of extra properties of Stock object are the same as used by GetFnData
function and they are listed in detail in OLE objects
reference.