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Hi everyone. I'm wondering if anyone has a good solution for how to backtest historical fundamental data in QC including historical analyst upgrades/downgrades and historical short interest if possible. Related to this, I'm wondering how one might go about setting up a market-wide analysis of some historical value (say PE ratio) and organizing that value into deciles as a filter.
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Jared Broad
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
AndresDiana
Jared Broad
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Chris Kvamme
Jared Broad
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Chris Kvamme
Stephen Oehler
Jared Broad
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Brian Miller
Any update to the Morningstar integration. Backtesting on fundamental data is a prerequisite for my algorithmns.
Stephen Oehler
Actually I just got a really cool email from Quandl yesterday saying that they've added a new, incredibly massive fundamentals database. It's located here:
https://www.quandl.com/databases/MF1
Jared Broad
@Brian, @Stephen -- Coming very soon. Stefano is hard at work and we're just figuring out how to use the Fundamental data in LEAN :) It will be available for backtesting this month. There will be another week or two delay after that for live trading.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
RajRoy
Did we gte this part done in Lean yet ?
Alexandre Catarino
Yes, we did.
Please checkout documentation under Universes section.
I have attached a working example.
Brian Miller
Alex,
I think Andres original question was: " I'm wondering how one might go about setting up a market-wide analysis of some historical value (say PE ratio)"
Right now with how the universe selection is done (coarse vs fine), this is not possible. The PE/EPS/other fundamental datapoints are only available in the fine universe function and that dies with an out of memory execption if you have more than 100 equities you are looking at.
I am dying for this functionality... I think I've been looking for an affordable platform to run backtests and automated training with this type of analysis for the last 5 years with no success. (Quantopia didn't work either.) Please tell me if I've misunderstood the capabilities. Thanks...
Jared Broad
This is absolutely possible; though perhaps not enough for your specific use case. For 99% of people its sufficient to do some rough filtering first and then do fine universe filtering on a smaller subset of the data. With a quantitative model most people need liquidity and the first coarse filter is on the liquidity and average volumes.
We'll add an upgrade to increase the memory allocation limits further for people with your use case. In general though it is not common.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Brian Miller
Jared, thanks for your response.... I'm sure the platform will mature over time to cover my use case. You guys seem to be savvy and passionate.
Your statement regarding liquidity... it kind of surprises me. I might be more naiive than i realized. I thought I would be able to get into a position fairly easily with 50k-100k, excluding penny stocks. Is the platform meant for people that invest in a larger volume in a single trade where liquidity is an issue? I'm making this up, but I assumed I could get into 80% of the market with a 50k buy without a liquidity issue.
Thanks Jared, I do appreciate yours and your teams support in answering my questions.
AndresDiana
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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