Calculating "Earnings Surprise"
Author: wycan
Creation Date: 7/7/2009 8:18 AM
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wycan

#1
Eugene, Cone... do either of you have an efficient way of calculating "Earnings surprise" for any bar in question ? thx.


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Cone

#2
Compare estimated earnings with actual earnings in the Fidelity fundamental data?
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wycan

#3
The earnings surprise is simply the % difference from the actual earnings from the estimated earnings over the corresponding period.


As I understand it this is how you would "attempt" to calculate it;
CODE:
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It would be nice to do the following;

Surprise = (100)*(dsEPS[bar] - dsEE[bar]) / dsEE[bar];


However, this above code will not work because dsEE[bar] is for the next period and not associated with current dsEPS[bar]


Does any of the above make sense ? thx
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Cone

#4
Just use the offset overload for FundamentalDataSeries (see QuickRef).

CODE:
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wycan

#5
Excellent. A really a clean solution. thx Cone.
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kbellare

#6
Hi Eugene, Cone,

Would like to use the Earnings Announcement date to buy +ve Earning Surprises as soon as Actual Earnings are released (i.e. if "after-market-close", Buy Next day, else Buy same day).

- how do we differentiate between After-Mkt-Close vs Before-Mkt-Open?
- also, note i'm Buying at Bar instead of Bar+1 below - is there a better way to code this so i can avoid potential look-ahead bias and buy at Bar+1?

CODE:
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Eugene

#7
QUOTE:
- how do we differentiate between After-Mkt-Close vs Before-Mkt-Open?

We don't (comparing dates won't help). It's the same thing in the context of strategy execution. Here's how the process works according to the FAQ: Is it necessary to have access to intra-bar tick data to daytrade with Wealth-Lab?

QUOTE:
as soon as Actual Earnings are released (i.e. if "after-market-close", Buy Next day, else Buy same day).

What data source releases earnings before market close?
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kbellare

#8
So, i guess there's no metadata in Fidelity data sources with time-of-release (AMC vs BMO), correct? Also, it seems the data isn't available until end-of-day so cant be used to trade same day for BMO announcements correct?

Zacks publishes surprise data soon (within 1/2 hour of announcement) and also has AMC/BMO metadata, so it is possible to trade upon Market Open, using BMO announcement surprises. However, their subscription through Quandl is expensive.

thx
Kiran
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Eugene

#9
Cone should know better (I do not work with WLP and Fidelity data at all for years) but I'd be surprised if they released fundamental data items during market hours and/or there were such metadata (i.e. fundamental item detail).