http://www.deltixlab.com/blog/2017/06/01/update-generating-alpha-with-earnings-date-revisions/
Using QC, I'd like to be able to develop strategies like the above using equity earnings event data. The critical missing component is the earnings event data from WSH,. Are there plans for QC to provide equity earnings event data? Other platforms such as TradingView provide this data on their charts, but algorthmic access in QC would be very useful.
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Also, of note, is that equity earnings event strategies can also be options based, such as for example, pure Vol play by using IV expansion pre-earnings, or post-earnings equity stddev move range to capitalise on the post-earnings event move.
Hi Ernest, we have fundamental data from MorningStar. The FileDate and PeriodEndingDate are available for Earning Reports and the financial statement. Hope it helps.
Hi Jing,
the MorningStar data is great for historical backtesting, but real-time trading would need future ER event data, such as from WSH, otherwise these types of ER strategies can't be implemented live.
Thanks,
Ern.
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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