Compustat and Backtesting with Fundamental Data

[Guest baywolf]

Hi all,

 

I'm looking for a platform (as an individual) that allows me to backtest a strategy on a portfolio of stocks based off of their fundamental data. In school we had compustat, but I don't have access to those resources anymore. What software platforms/services as an individual investor do I have access to?

[starrychloe 10]

Enroll in class! It will be cheaper than the price of historical fundamental data!

[Tams 20]

try MSN Money...

 

it is free

 

you will need to use Microsoft's Internet Explorer to get the full features.

 

http://moneycentral.msn.com/investor/research/wizards/SRW.asp

[Guest baywolf]

Thanks for the suggestion Tams. It looks like MSN is using Reuters fundamental data, but they don't seem to offer historical "point in time" data like what I'm looking for, nor any API-like access to the data.

[Richard Dale 10]

What would you be willing to pay for:

a) 5 years of history

b) 10 years of history

c) 15 years of history

 

Would you also be willing to pay for quarterly updates too? (well, updates as they happen). We're looking into sources for such data and considering what types of products we could offer.

 

One of the issues that crops up from time-to-time is when a company changes their financial year boundaries. They quite often use that extra quarter to throw in extraordinary items that then get lost in the history of time!

 

Cheers,

Richard.

[starrychloe 10]

Here is a message I received. Have not tried them yet. portfolio123.com and screener123.com. I don't know what the difference is.

 

----- Original Message -----

From: Marc Gerstein

To: 'Chloe'

Sent: Tuesday, July 06, 2010 9:09 AM

Subject: RE: Fundamental Backtests

 

 

Backtesting based on fundamental (and/or technical) factors is a very prominent feature of our product.

 

 

 

I wouldn’t, however, frame it in terms of IF P/E <10 BUY 100 SHARES. A more representative example might be BUY ALL STOCKS FOR WHICH P/E < 10, or if you want to control the number of issues purchased, a simplified example might be START WITH ALL STOCK FOR WHICH P/E < 10 AND BUY THE 25 STOCKS RANKED HIGHEST BASED ON 5 YR EPS GROWTH RATE.

 

 

 

The 100 shares thing is not a focus. With our basic backtesting functionality, we’d simply presume equal weighting and would not address the dollar size of your portfolio. With the simulation feature of our advanced product, portfolio123, you’d specify the starting dollar amount of your portfolio, and from that point forward, it is presumed that all available cash would be allocated equally among however many stocks are to be purchased.

 

 

Also, here is a source for data (17 years):

Reuters DataLink | Real Time Data | Stock Analysis Software | Market Data | Reuters

 

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