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.
Ernest Shaggleford
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.
Jing Wu
Hi Ernest, we have fundamental data from MorningStar. The FileDate and PeriodEndingDate are available for Earning Reports and the financial statement. Hope it helps.
Ernest Shaggleford
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.
Ernest Shaggleford
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