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                                                   How can I incorporate earnings release data into my backtests scripts?

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Scott Stephens
2013-05-14 22:57:25


I'd like to make my trading behavior different depending on whether it's the day before/after an earnings announcement or not. I found this item, which can download the data: http://www.quantshare.com/item-742-historical-earnings-calendar-for-major-stock-exchanges. However, I can't figure out how to use it in a strategy script. I've tried to following snippet of code to detect whether I'm processing the bar before which earnings will be announced:

earnings_var = GetData('earnings_cal', 'etime',String);
after_close = "After Market Close";
is_earnings = earnings_var == after_close;

As far as I can tell, is_earnings never gets set to true. Can anybody help me figure out how to use the earnings data?

Thanks,

Scott



QuantShare
2013-05-15 09:48:55

  0

Hi Scott,

First of all, make sure the earnings calendar data was downloaded properly. Check the custom database "earnings_cal" in "Data -> Edit Databases".

Regarding your formula, and in order to compare text values, you must use the function "stringequal".

Example:
is_earnings = stringequal(earnings_var, after_close);

Let me know how it goes.



Scott Stephens
2013-05-15 17:06:34

  0

I confirmed that the earnings data appears in the earnings_cal database. I'm running this little test just on AAPL from April 1 to May 10 (this year), and AAPL shows up as expected with etime equal to "After Market Close" on "23/04/2013 00:00:00". Changing my by signal to be set with:

earnings_var = GetData('earnings_cal', 'etime',String);
after_close = "After Market Close";
is_earnings = stringequal(earnings_var,after_close);
buy = is_earnings

Doesn't cause any changes. No trades are made in the backtest. Any other thoughts for me?



QuantShare
2013-05-15 21:35:03

  0

Best Answer
Sorry I didn't noticed that but to get "Text" data, you should get "GetDataString" instead of "GetData".

earnings_var = GetDataString('earnings_cal', 'etime', '');
after_close = "After Market Close";
is_earnings = stringequal(earnings_var,after_close);
buy = is_earnings;


Please note also that in case you want to get numeric data, the third parameter of the "GetData" function is wrong. It should be: LastData, NA or Zero.
LastData: If on the current date, "GetData" returns no values then use the last available one
NA: If on the current date, "GetData" returns no values then return NA (Not a Number)
Zero: If on the current date, "GetData" returns no values then return 0



matt
2014-01-12 18:14:38

  0

When I downloaded the earnings database scripts I was unable to get the actual earnings and estimate data. Has anyone had different results?




Earnings database (by Patrick Fonce, uploaded several months ago)
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QuantShare
2014-01-12 20:58:39

  0

The item you are referring to doesn't download the earnings and estimate numbers (Please read the item description).

Please use thisitem instead:
Historical Earnings Surprise, EPS and Consensus Data






Historical Earnings Surprise, EPS and Consensus Data (by Patrick Fonce, uploaded several months ago)
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