I'm using the Analysis visualizer to correlate several fundamental indicators (below) vs trade performance in a 2000 bar backtest of a data-set of 500 high volume stocks. The intent is to use strongly-correlating fundamental indicators as a "stock picker" to filter symbols in the entry rules and prioritize trades in a portfolio simulation.
The Analysis tab doesn't show these fundamental indicators in the drop-down (only shows a couple of technical indicators I've used in the strategy) - it does show these indicators when i run a backtest on a specific symbol (e.g. AAPL, AA, and even on ZNGA which has fewer than 2K bars).
1) How do i fix this issue?
2) Is there some tool (Perf Visualizer, Utility, Strategy or sample code) I can use to correlate fundamental indicators vs Price across the 500 stocks to determine which fundamental indicators correlate well? That would be easier than using Analysis perf visualizer ... Challenge is to synchronize the daily prices to the quarterly fundamental data before running a correlation. Any suggestions?
3) How do i limit the correlation analysis to 5 days before and after the Earnings release dates i.e. consider the prices only in the 10day window of the earnings release?
CODE:
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//419 stocks in data-set ..
AA AAL AAPL ABBV ABEV ABT ABX ACAS ACHN ACI ADM ADT AEO AEP AER AES AGNC AIG AKS ALU AMAT AMD AMRN AMX AMZN ANF ANGI ANR ANV APA APC ARIA ARNA ARR ASNA ATHX ATML ATVI AU AUY AXL AXP BA BAC BBD BBRY BBT BBY BHI BIDU BIOD BK BLDP BMY BP BRCD BRCM BRK/B BSBR BSX BTU BX C CAM CAT CBL CBS CCI CCL CDNS CFN CHK CHS CHTP CIE CIG CIM CL CLF CMCSA CMLS CNP COG COLE COP CPB CPN CRUS CSCO CSIQ CSX CTB CTIC CTL CTRP CUZ CVC CVS CVX CX CYH CYS CYTR DAL DCT DCTH DD DDD DDR DE DF DG DGX DHI DIS DM DNDN DNR DOW DRYS DTV DUK DVAX EA EBAY ECA ED EGO EIX EJ EMC ERIC ESRX ETFC EXC EXXI F FB FCEL FCX FDX FE FEYE FIO FITB FLEX FNF FNFG FNSR FOXA FSLR FST FTNT FTR GA GALE GE GFI GG GGB GGP GILD GIS GLUU GLW GM GMCR GNW GOGO GPK GPOR GPS GRMN GRPN GS GSS GTAT HA HAL HBAN HCA HCBK HCN HD HFC HIG HIMX HK HL HLF HMA HMY HOV HPQ HSOL HST HT HTZ HUN HZNP IAG IBM IGT INTC INVN IP IPG ITUB JASO JBL JBLU JCI JCP JDSU JNJ JNPR JNS JOY JPM JRJC KBH KEG KEY KFN KGC KIM KKR KMI KNDI KO KOG KR KWK LEN LLY LNC LNCO LNG LO LOW LPX LSI LUV LVS LYG M MACK MAS MAT MCD MCK MCP MDLZ MDR MDT MET MFA MFC MGM MHR MMM MNKD MO MPC MRK MRO MRVL MS MSFT MSTX MT MTG MU MWW MXIM NBR NCT NEM NGD NIHD NKE NLY NOK NQ NRF NRG NU NUAN NVAX NVDA NXPI ODP OIBR ONNN ONVO ORCL OXY P PAL PBCT PBI PBR PBR/A PCG PEG PEP PFE PG PGR PHM PLUG PM POT PPL PVA PXLW QCOM QTM QUNR RAD RAX RDS/A RF RFMD RIG RNR RSOL RVLT S SAN SBUX SCCO SCHW SCTY SD SID SIRI SLB SLW SNDK SNTA SNV SNY SO SOL SPF SPLS SPWR SRC STJ STSI STX SU SUNE SVU SWFT SWY SYMC SYY T TEVA TGT THC TIBX TLM TMUS TRQ TSL TSLA TSM TSO TSU TWGP TWO TWTR TWX TXN TXT TYC UAL UBS UNH UPS USB UTX VALE VALE/P VIP VJET VLO VOD VRNG VRSN VZ WAG WEN WFC WFM WFT WIN WLT WMB WMT WU WWAV X XCO XEL XL XOM XRX YGE YHOO YOKU YY ZGNX ZLCS ZNGA ZTS