Data Strategy for strong group/strong stock system

fan27

fan27

I am trying to build and test a system based on buying the strongest stocks in the strongest groups. I see this link http://biz.yahoo.com/ic/ind_index.html which lists all of the different groups and stocks in them but I need to easily get that data. I have a program called data sharks that will get the data from yahoo but it has no method for getting all of the automatically.

Once getting the data, I will need to make my own composites of the stocks in each group in order to determine the strength of each group. I realize this will be an imperfect back test as the stocks that are in the group today were not necessarilly in the group in the past.

I already have most of the code written to test this, I just need to get the data.

Any ideas would be appreciated.

thanks
fan27
 
They call that sector rotation sometimes. There are variations on the theme but it works if you use it in a strong market period. There was an outfit that had a name that I have been trying to recall for the longest time and I still can't, it started with T.O., they returned 23% per year for 15 years then they gave an awful lot of it back after 2000-2001.

You might look at the screener at reuters.com, you can screen out fundamental stuff and download it to Excel.

If you really want to go into it in a big way getting historical data would be great, there aren't very many sources of historical fundamental data and it can be expensive. I think it has been discussed here on ET before, I recall that somebody supplied an inexpensive [relatively] source of fundamental data and a backtester.

I'm trading a very small account currently, looking forward to the day when I need a place to put big bucks, I'll probably be researching sector rotation. I'm of the opinion that you could invert the strategy and trade through the bear markets but have not tested the hypothesis.

Good fortune to you.
 
Do you just need daily price data, or the sector composition data ?

If you can program the backtest, getting the data should not be too hard to code.

If you are using any sort of *nix OS you can easily script Yahoo price data download with the utility wget. If you are using Windows, you can install Cygwin and get a *nix environment including wget. wget is a great tool.

For screen scraping sector composition data, there are a ton of tools available. For Java here is a list:

http://www.manageability.org/blog/stuff/screen-scraping-tools-written-in-java/view

and another than converts HTML pages into XML which is much easier to manage:

http://www.ibm.com/developerworks/xml/library/j-jtp03225.html

For other languages, I duuno, but there is bound to be lots of stuff available.
 
You could take a trial of Telechart which has ample price data on it. They have similar groups as well. (Worden Bros.) Export to excel .

erie
 
Thanks for the info guys. All I need is to be able to get the stock data per stock group or sector. I can construct the composite data myself. I'll research the links provided.

IMO, this is strategy makes sense and is worth the time investigating.

thanks
fan27
 
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