Unexpected signal using Fundamental Item Annual Growth Rate?
Author: tobiastempus
Creation Date: 12/11/2017 10:16 AM
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tobiastempus

#1
hi,

i tested a small strategy with drag and drop.

1.buy at channel breakout 100
2.fundamental growth rate(net income) one year >10%

in the picture below you can see that the net income drops but the program still generates a buy signal.

thanks
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Cone

#2
The strategy buys on a stop at the channel high IF Net Income growth rate is above a value, which you set to 10%. You've highlighted Net Income, not Net Income growth, which is in the collapsed pane above Net Income. Depending on how it's set up, growth likely compares yoy (year over year) growth. In other words, growth compares net income in Q2 of 2015 to Q2 of 2014.
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Eugene

#3
Robert, I think OP has selected exactly the Annual Growth Rate.

The collapsed ChartPane for MSFT has an unexpected flat line with 26.23 being the value over entire backtest which is not how it supposed to work. To me this looks like an indication that FundamentalsRatio.GrowthRateSeries may be not handling the fundamental item correctly.

I have an idea why this might happen - perhaps the GrowthRateSeries is looking at the FundamentalItem's attributes (like annual, quarterly etc.) and not finding one since it's only the Fidelity provider that ever sets them (and hardly any other).
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Cone

#4
You're right, of course. I think that methods like FundamentalsRatio.GrowthRateSeries() require that fundamental items identify "current quarter" and "fiscal year" for FundamentalItem GetDetail() in order to calculate correctly.

To save this strategy for a non-Fidelity Fundamental provider, "Open Code in a new Strategy Window", and make this change:

CODE:
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