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Is there a way to reference earnings announcement dates? For example, if I wanted to backtest a scenario that included not purchasing equities if they were within one week of an earnings announcement.
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Alexandre Catarino
We can backtest this strategy with a minor change in the CoarseFineFundamentalComboAlgorithm. The FineSelectionFunction method will select symbols based on their EarningsReport.FileDate member:
public IEnumerable<Symbol> FineSelectionFunction( IEnumerable<FineFundamental> fine) { return fine.Where(x => // More than 7 days after earnings report Time > x.EarningReports.FileDate.AddDays(7) && // Invalid FileDate x.EarningReports.FileDate != new DateTime()) .Take(NumberOfSymbolsFine) .Select(x => x.Symbol); }Please checkout our database for other fundamental information we can use for fine universe selection.
Crissi Wells
Thank you!!!
Karthick aravindan
how to write this on python
Jing Wu
Hi Karthick, you can refer to this algorithm and modify the FineSelectionFunction
def FineSelectionFunction(self, fine): fine = [x for x in fine if self.Time > x.EarningReports.FileDate + timedelta(days=7) and x.EarningReports.FileDate != datetime.time()] return [i.Symbol for i in fine[:self.__numberOfSymbolsFine]]Ernest Shaggleford
To support automated live trading of this type of stategy a data feed with future earnings announcement data would be needed. Are there any plans for QC to provide a data feed for this? This would be a *very* useful feature. Thanks.
Jared Broad
This specific strategy we can do without that data feed -- (self.Time > x.EarningReports.FileDate + timedelta(days=7)) but generally speaking upcoming earnings would be awesome =) Luckily for you can import Quandl Zacks Earnings if you wish!
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Ernest Shaggleford
Jared - many thanks for the info - will check this out.
Crissi Wells
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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