How do you lag fundamental data?

How do you lag fundamental data?

Chaim6
2014-01-27 09:09:39

I am new to QS and was wondering how you go about lagging fundamental data so that it approximates when it was actually released?
I have tried the http://www.quantshare.com/item-1181-morningstar-historical-fundamentals downloader but it does not lag the dates are not lagged.
Am I missing something? Is there a way to artificially lag the dates by 45 days to 2 months when backtesting or should the adjustment take place by the downloader?

Thanks

Morningstar Historical Fundamentals (by Stefan Kroscen, uploaded several months ago)

No notes

QuantShare
2014-01-27 13:09:29

The adjustment should take place in QS language.

If the fundamental data is stored in variable "a" then simply type:

a = ref(a, 45); // To lag it by 45 bars

Chaim6
2014-01-27 18:14:32

Sorry for my newbie question, but do you put "a = ref(a, 45);" into a download script or into the backtesting script?

Thanks

QuantShare
2014-01-27 21:53:20

Best Answer

In the backtesting script.
Example to get the close price lagged by 10 bars:

a = ref(close, 10);

Chaim6
2014-01-28 03:15:07

Thank you!

Seeker
2014-01-28 08:45:25

Is a=ref(close,10) and a= close[10] same? Are they always identical in usage? I have seen that in certain cases, the latter is not accepted.

QuantShare
2014-01-28 11:27:13

Yes it is the same. You can use [] only with variables (not with functions).

Seeker
2014-01-28 12:54:35

just to clarify further, for new high we say:
a = high>ref(hhv(high,10),1);

or:
a = hhv(high,20);
b = high>a[1];

but not:
a =high>hhv(high,20)[1];

Just trying to confirm whether I was following it correctly all this while...

QuantShare
2014-01-28 13:46:18

Yes, you can plot these variables on a chart to get a confirmation or to check whether something is correct or not.
New high can also be detected by:
a = high == hhv(high, 10);

Get more messages

No more messages

Back


Trading Items Fundamental Valuation Ratios for US Stocks Stock Grade - Fundamental Analysis Extensive Fundamental Data for U.S. Stocks Financial fundamental data for US companies ASX Fundamental data	How-to Lessons How to get fundamental data for U.S. Stocks How to generate buy/sell signals from a trading system How to create histogram charts How to display notes/commentaries on a chart How to plot the relative performance of several stocks/indices
Related Forum Threads I do not get it, how do you get the data? How do you retrieve the entry and exit price for a position? how do you check if the price data is up to date? how do you restore it to default settings How do you go to cash in a simulation?	Blog Posts Fundamental analysis: How to track economic indicators in the For... Let me Show You How to Create Hundreds of Profitable Trading Syst... How to Quickly Create Fundamental Scans How to Download and Use Fundamental Data How to Detect Potential Issues/Errors in Your Historical Data?