Backtesting of Fundamental Data

[Harro26]

Is anyone aware of any software that can backtest fundamental data. I have purchased Stock Doctor and am un-impressed, it's not a bad tool but for $1500+ PA I expected more.

 

[CanOz]

Is anyone aware of any software that can backtest fundamental data. I have purchased Stock Doctor and am un-impressed, it's not a bad tool but for $1500+ PA I expected more.

What does "backtest fundamental data" mean?

CanOz

 

[Harro26]

Sorry, it is something that is probably not done very often. Backtesting is something that is commonly done with technical analysis using programs such as Amibroker, Metastock and Tradesim. You come up with a trading strategy based on technical indicators (E.g Buy when the 10 day moving average crosses above the 30 day moving average and sell when it crosses below) you than "backtest" it against historical data to see how it would have done in the past. Backtesting gives you a very good indication as to whether your trading strategy is any good (Historical performance does not necessarily guarantee future performance but it is a good indication). I want to do this with Fundamental data (I.e Buy when a stock has two consecutive periods of double digit EPS growth etc.).
I have developed a trading strategy based on technical analysis that when backtested gives good historical returns, I want to combine this with fundamental data to hopefully tighten up the results further.

 

[howardbandy]

Greetings --

There are some difficulties that arise when using fundamental data as input to trading systems. I wrote a paper, entitled "Use of Fundamental Data in Active Investing", that describes some of them. You can get a copy from this page:
http://www.quantitativetradingsystems.com/activities.html

Note that since I wrote the paper, Premium Data has begun including GICS
codes including all eight digits for the equity data they distribute. That will certainly help in the creation of custom indexes.

Thanks,
Howard

 

[kokamos]

I have just purchased Metastock professional for my technical analysis software.

Anyone knows any software that works like Paritech Marketscan?

 

[PrudentInvestor]

Is anyone aware of any software that can backtest fundamental data. I have purchased Stock Doctor and am un-impressed, it's not a bad tool but for $1500+ PA I expected more.

If you have the fundamental data in numeric form, then why not just run a set of regressions to see if the data has any predictive power relative to the future asset prices?

You do not need to spend a lot of money to achieve this, but you may have to be able to program some. Try R. Plain Excel might also work. I bet your biggest concern will be quality and timeliness of data.

 

[StockInvestor]

If you mean something cost effective for the Aussie market - I'm still looking. For the US markets there is Portfolio123.

You can scan for hundreds of fundamental and dozens of technical rules, backtest up to 10 years, run simulated portfolio testing, build your own ranks, market timing, yada, yada. I used the garbage from Zacks and they wanted hundreds of dollars a month for the dummied down version.

You get 45 free days to try it out if you use the link above and its $50 a month thereafter (although there is a free membership I think too). Again, if you find something for the Aussie markets, let us know.

 

[quadfin]

as far as FA goes Australian market stockdocter, hubb, and for stand alone scanner bullcharts is ok last time i looked.

 

[quadfin]

as far as TA is concerned free pro real time, same system used by A large CFD provider data available, its good TA software, i would never pay unless i found something better, YET TO