Earnings dates in the past
Author: MrIzzy
Creation Date: 4/15/2014 6:17 PM
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MrIzzy

#1
Hi There,

I have a strategy that is being back-tested. It buys some stocks, holds them for a while & sells them. Wanted to try to sell the stock early before earnings are announced.

I understand that GetNextEarningsDate only gives out the next earnings date so it is useless for back-testing.

Is there another query I could use here?

Also - some earnings are before the open & some after the close. Is there a way to differentiate between them?

Thanks
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Eugene

#2
To access the earnings data, you have to read the collection of fundamental items in your code. For the Fidelity fundamental data, it's "eps" (or maybe "earnings per share", I'm not sure - see Wealth-Lab's Preferences dialog > Chart annotations, or strike Ctrl-F11 to open the Fundamentals list).

Make sure you've collected the fundamental data before running your Strategy (Data Manager > "Update Data" tab > check your fundamental provider > go to "DataSets" tab > click "Update DataSet").

There are lots of examples on how to access EPS in a Strategy:

* FundamentalDataItems in the QuickRef
* Downloadable Rising EPS strategy
* Forum:
- Earnings release dates
- Access Earnings Per Share (EPS) in Strategy?

P.S. WLD users stopping by this thread w/o Fidelity data can use these free fundamental data providers for the same purpose:

* MSN Static provider version 2012.12 and up (free): "[msn] eps"
* Morningstar fundamental provider: "[ms] Earnings Per Share"
* YCharts (paid data vendor): "[yc] Earnings Per Share"
* Earnings.com Fundamental Provider: "[e] eps"
* 99WallStreet fundamental provider: "[99] eps"
* StreetInsider fundamental provider: "[si] eps"
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MrIzzy

#3
Hi Eugene,

Trying to run your strategy "Rising EPS strategy" http://www.wealth-lab.com/Strategy/Details/298 . The strategy compiles fine. I updated the data for "Fidelity Fundamental Data for Securities".
Running it on the 30 stocks in Dow30 produces no trades. Running it on a single stock produces error messages (they are attached to this message).

How to proceed?

Thanks,
Izzy

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Eugene

#4
Hi Izzy,

Like I said, I can't tell the proper fundamental item title for the Fidelity fundamental data: "eps" or "earnings per share". I think this is what's causing the error, so please try adjusting this line in the code:

CODE:
Please log in to see this code.
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LenMoz

#5
Confirming, for Fidelity data, this works in my code...
CODE:
Please log in to see this code.

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MrIzzy

#6
The Rising EPS strategy compiles and runs but produces NO trades on any of the DOW stocks. Can someone please confirm that it works?
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Cone

#7
"eps" is not a valid item name for a Fidelity fundamental item. Generally, if there's a ratio (like eps) you have to calculate it from the available items. A lot of these are done for you in the Strategy Builder wizard - see the "Fundamental Ratios" folder.

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MrIzzy

#8
Thank you but the strategy above was a direct download from Wealth-Lab.com (via cntl+O, download...)
In any case, here is the real issue:


I have a strategy that is being back-tested. It buys some stocks, holds them for a while & sells them. Wanted to try to sell the stock early before earnings are announced.

So I am trying to get the date of earnings releases on a historical basis.

Thanks for any assistance anyone can give me.
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Eugene

#9
Izzy, have you updated the fundamental data manually before running this strategy?
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MrIzzy

#10
Yes - I did update manually.
I ran the strategy on DOW and on S&P500 but no trades were done in the past 10 years.

Thanks
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Eugene

#11
According to LenMoz (see post #5 above), the item is called "earnings per share".
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LenMoz

#12
To run on Fidelity data, I needed the change below, and it produces trades in the last 5 years. Remember that Fidelity fundamental data is only the latest six years (and sometimes a month or two less). You won't get trades further back.

(edit)The best confirmation is seeing the eps graphed in the custom chart pane

CODE:
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Eugene

#13
Just to add to LenMoz's latest post: almost any 3rd party fundamental provider (see post #2 above; except YCharts in free user mode) will return more EPS data - like 10 years.

EDIT

I've just published an update to the Rising EPS strategy with the item name fix.
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MrIzzy

#14
Thank you for your help!
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ruediger78

#15
Tried to get earnings dates in the past for several stocks, but was not successful. MSN and Morningstar dont timestamp their data, so I dont have the exact release date. With Earnings.com the dates end in the third quarter of 2013 and with 99wallstreet the data manager doesnt get any data. Anything else I could do to get past earnings dates. Particular the ones of the last four quarters?
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Eugene

#16
The only vendor with the correct timestamps is 99wallstreet. Last time when I checked it, it was working. If your experience is different, you might want to revive this thread:

No data by 99wallstreet provider
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Eugene

#17
New provider StreetInsider should bring back quality and free earnings data. Look for it in the upcoming release 2015.07 of our MS123 Fundamental/News provider library.

Paid alternative: Zacks data through Quandl provider
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kcbars

#18
Hello. I have a strategy where I've pulled earnings dates using Fidelity and StreetInsider. The farthest back either seems to go is to the end of 2010. Based on above, I think that's all the earnings history that's available, but thought I'd ask. Thanks.
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Eugene

#19
With 99WallStreet you can get earnings from 2009.
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kcbars

#20
Thank you.