Access Earnings Per Share (EPS) in Strategy?
Author: ivraju
Creation Date: 10/18/2009 7:25 PM
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ivraju

#1
How can I access reported EPS for a security from Script. I know there is fundamantal Item for "estimated earnings", but that is only estimates. It appears to me that the estimates left as estimates, not updated with actual results after they are being reported.
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Eugene

#2
There is a fundamental item for "estimated earnings" (coming from Fidelity Estimated Earnings for Securities), but there is another one for "earnings per share" (you need to update Fidelity Fundamental Data for Securities to get that).

See Fundamental Data and FundamentalItem Object in the QuickRef for an example of its usage.
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tedclimo

#3
This Question is relevent to all dip traders. After which, I will share why it is important & then what I have done so far to address the issue:

Can 5.6 filter out Alerts/Limit orders if an EPS date is forthcoming in the next day or two days. I guess the real question here is, does Fidelity's database know there is a formal release date coming(tomorrow, as an example), so a filter can be constructed to avoid an Alert/Trade tomorrow? Or does it only know, after the event has occurred (& data has been downloaded EOD after EPS news release occurred)?

Both Yahoo & Bloomberg publish forth coming EPS release dates (80+% of the time they also publish whether EPS release will be before OPEN or after CLOSE. So data is available, I just don't know if Fidelity/Wealth-Lab has capability yet to include these forthcoming dates into trading scripts??

I've traded dippers for over a decade, and the biggest problem is Over Night Risk(ONR) from news releases. The most common is EPS releases(either before entry day's Mkt Opens or after prior Close). All dip models suffer significant degradation of performance on the trading session following an EPS release (be it before entry day's Mkt Opens or after prior Close). My workaround currently, is to manually check the EPS news releases for every potential trade coming at me & then toss out all those who announced earnings(either after yesterdays close OR before today's open. It's a real Pain in the Butt during EPS season & 20 potential trades are staring you in the face. More often than not, 60-80% are EPS news related & the remainder are already bouncing by the time I weed thru the group.

Here is the code I use today:
For 'Backtesting purposes - this identifies the exact EPS date nicely 'After the Fact' , but provides no filtering capabilities to 'Not Generate Alerts' if tomorrow is an EPS release date
CODE:
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I've tried numerous versions of (>=, ==,<=) & (Bar-1, Bar, Bar+1), to try & get this puppy to ignore upcoming EPS release date trades. This code still can't distinguish b/t whether the EPS release was before or after the trading session/Bar indicated.

I tried the following code, it excludes trades two days after an EPS release date, but NOT trades the day before an EPS release date
CODE:
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Any wisdom would be greatly appreciated,
Ted

P.S. if you think possible, use CSCO as test subject... It released EPS on 8/11/10 (After the Close). But my code thus far, could not exculde the trade from my Alerts/Limit trades generated for 8/12/10. I can provide oodles more examples if needed.

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Cone

#4
Even the 10-Q data themselves are not available to Fidelity from the Provider until day or weeks after the earnings release. So, no, there's no warning for a 10-Q event. The only forward looking dates that are available are for stock dividend events. For sure it would be a nice enhancement to have 10-Q release dates available at least 1 week in advance.

Of course, in some cases a company can delay a release - another nice piece of information to know in "near" real time.

Good try on the code, almost. Take a look at the following example, I think it will make sense. Since there's always some delay for Fidelity to actually get the fundamental data from the provider, even though the CSCO event has past, we still cannot detect it (as of 8/15/2010).

CODE:
Please log in to see this code.
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Eugene

#5
We can get the next earnings release date off the web. I played with it a bit and have already created/tested a function that returns the future earnings date of a stock (actually, two methods for two sources to be on the safe side). On the way to Community.Components.
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tedclimo

#6
You guys Rock!!!
Thank you both.

I highly recommend a very visible announcement &/or Wiki post when this becomes available in Community.Components.

The "ability to scan for forthcoming Release dates" will be a massive benefit to both Dip Traders(wanting to avoid Alerts on those dates) & Earnings Date traders (wanting to trade them).

I cannot thank you enough!

Ted
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tedclimo

#7
Robert,
Your code confirms my experience. A Dip Trader suffers degradation in performance if they are in a position (or enter a position) when official Earnings are released:
1) You can enter a couple days before the release, but must be out by the close prior to release (regardless if release is prior to open OR just after close).
2) 2 days after release, performance stats start reverting back to the norm.
2) Interestingly enough, the same is not true of "Estimated Earnings releases", those tend to bounce nicely, regardless.... Go figure!

Thanks again for the code!!!

Ted!

Can't wait till Community.Components gives us that ability to "Peek" & remove alerts on forthcoming official release dates :)
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Eugene

#8
I plan to make the updated Community.Components available in sync with the upcoming WLP/WLD release.
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Cone

#9
Re: "Estimated Earnings releases"
You have to take these dates and data with a grain of salt. I haven't looked in a while, but as I recall, these just have a canned quarterly date and the data are updated throughout the quarter. The history is what's left when they are no longer "estimates".
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Eugene

#10
GetNextEarningsDate, GetNextEarningsDate2 implemented in Community Components library 2010.09 (Wealth-Lab 6 only).

The date is probably actualized by the web sites we're polling with these functions throughout the quarter.