About True Beats

The True Beats dataset by ExtractAlpha provides quantitative predictions of EPS and Revenues for US Equities. The data covers a dynamic universe of around 4,000-5,000 US-listed Equities on a daily average. The data starts in January 2000 and is delivered on a daily frequency. This dataset is created by incorporating the opinions of expert analysts, historical earnings, revenue trends for the company and its peers, and metrics on company earnings management.

This dataset depends on the US Equity Security Master dataset because the US Equity Security Master dataset contains information on splits, dividends, and symbol changes.

About ExtractAlpha

ExtractAlpha was founded by Vinesh Jha in 2013 with the goal of providing alternative data for investors. ExtractAlpha's rigorously researched data sets and quantitative stock selection models leverage unique sources and analytical techniques, allowing users to gain an investment edge.

About QuantConnect

QuantConnect was founded in 2012 to serve quants everywhere with the best possible algorithmic trading technology. Seeking to disrupt a notoriously closed-source industry, QuantConnect takes a radically open-source approach to algorithmic trading. Through the QuantConnect web platform, more than 50,000 quants are served every month.

Algorithm Example

class ExtractAlphaTrueBeatsDataAlgorithm(QCAlgorithm):

    def Initialize(self) -> None:
        self.SetStartDate(2019, 1, 1)
        self.SetEndDate(2020, 1, 1)
        self.time = datetime.min
        self.UniverseSettings.Resolution = Resolution.Minute
    def MyCoarseFilterFunction(self, coarse: List[CoarseFundamental]) -> List[Symbol]:
        sortedByDollarVolume = sorted([x for x in coarse if x.HasFundamentalData], 
                                key=lambda x: x.DollarVolume, reverse=True)
        selected = [x.Symbol for x in sortedByDollarVolume[:100]]
        return selected

    def OnData(self, slice: Slice) -> None:
        if self.time > self.Time: return
        # Retrieve Data
        points = slice.Get(ExtractAlphaTrueBeats)
        if not points: return
        trueBeats = {point.Key: TrueBeat for point in points for trueBeat in point.Value}
        sortedByTrueBeat = sorted(trueBeats.items(), key=lambda x: x[1].TrueBeat)
        longSymbols = [x[0].Underlying for x in sortedByTrueBeat[-10:]]
        shortSymbols = [x[0].Underlying for x in sortedByTrueBeat[:10]]
        for symbol in self.Portfolio.Keys:
            if self.Portfolio[symbol].Invested \
            and symbol not in longSymbols \
            and symbol not in shortSymbols:
        longTargets = [PortfolioTarget(symbol, 0.05) for symbol in longSymbols]
        shortTargets = [PortfolioTarget(symbol, -0.05) for symbol in shortSymbols]

        self.SetHoldings(longTargets + shortTargets)
        self.time = Expiry.EndOfDay(self.Time)
    def OnSecuritiesChanged(self, changes: SecurityChanges) -> None:
        for security in changes.AddedSecurities:
            # Requesting data
            extract_alpha_true_beats_symbol = self.AddData(ExtractAlphaTrueBeats, security.Symbol).Symbol
            # Historical Data
            history = self.History(extract_alpha_true_beats_symbol, 10, Resolution.Daily)
            self.Log(f"We got {len(history)} items from our history request for {security.Symbol} ExtractAlpha True Beats data")

Example Applications

The True Beats dataset enables you to predict EPS and revenue of US-listed Equities for trading. Examples include the following strategies: