Backtesting Earnings

In regard to your question about backtesting a specific screening criteria at a specific date in the past, and using technical analysis criteria. Please email the specific buy rule, sell rule, rebalancing frequency, commissions, rebalancing weighting...and I will respond or sign up at the below link so we can get to you more detailed information or set up a call to speak further about it.

http://www.zackspro.com/ZISReq.asp

Adam
 
Quote from BrownianMotion:

Adam,

Looks like the product has evolved since I last tested it.

How would one test historical performance of a portfolio of stocks "after an earnings surprise 1 day after, 2 days after an earnings release," etc. with your product?

Is this done in the backtesting program itself or does the user have to extract the raw data from your database, align it, and crunch the numbers themselves (in Excel for example).

What do you charge for this data/capability?

Thanks
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check out Thompson financial ( ask for Baseline app). Revisions , estimates , analysts info...but very expensive. BTW , historical price performance after reporting is ... zero ( as in 0.00) , if one will sum up the universe/portfolio 1 day % change. You can take my word for it or you can spend a lot of time to check it.
Good luck
 
I just attempted to email you directly to provide you a personal trial account of our system. The Elite Trader system does not allow me to send it directly to you.

Email me directly through Elite Trader with your email, so I can send you trial information for you for the trial that will allow you to test a strategy one day after earnings release:

i.e buy all stocks that had a positive eps surprise, and hold on for one day...

Adam
 
Quote from a5519:

...(with Zacks) it is not possible to make historical screening. I need to enter a criteria and I want to get stocks that meet the criteria at specified date in the past....
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EXACTLY! This is precisely what I need as well.

Adam, in case you inadvertently missed my questions above...

1. How would one test historical performance of a portfolio of stocks "after an earnings surprise 1 day after, 2 days after an earnings release," etc. with your product?

Is this done in the backtesting program itself or does the user have to extract the raw data from your database, align it, and crunch the numbers themselves (in Excel for example).

2. What do you charge for this data/capability?


P.S. I'd like to know the above before I spend time getting another trial of the product. Appreciate your help.
 
Quote from AdamCohen:

I head up the quantitative group at Zacks.

We in fact do allow our professional users to have access to our daily backtesting database that allows the user to backtest technical analysis strategies, event analysis strategies such as the performance after an earnings surprise 1 day after, 2 days after an earnings release, and more.

If there is an interest in learning more about this, please check out the below:

http://www.zackspro.com/request.asp

Adam Cohen, CFA
Quantitative Group
Zacks Investment Research
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Adam,

I tried submiting the form several times using the web site but I get an error. Also tried sending an e-mail to jamadams@zacks.com as instructed in the contacts section, but still no reply.

Do you think you can arrange for me to have a trial to your product? I would like to check the historical backtesting features. Also interested in the Zacks Link.

Thanks in advance.

Jose
 
Fellas, ever wondered why no mechanical trader wants to talk about real trading track record, not even supposedly elite traders!!!

Most likely it is because it is working... However, as a starter, they are offering trading software, trading courses, trading seminars... Levy Strausss rings a belll.... How bout, early birds offers??? he he he
 
Quote from AdamCohen:

You would use Rank Analysis and/or Trading Strategy Evaluator to backtest the effects of surprise 1 day after, 2 days after...a positive, neutral or negative EPS/Sales Surprise.

Rank Analysis Overview: http://www.zackspro.com/products.asp?id=2&prod=data

Trading Strategy Evaluator Overview: http://www.zackspro.com/products.asp?id=3&prod=data

I hope this helps!!

Adam
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Adam, I missed your answer to this question again:

"2. What do you charge for this data/capability?"
 
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