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I had a discussion on the Slack channel about trailing 12 month fundamentals. Right now there is no way to pull up trailing 12 month fundamentals. The ".TwelveMonths" method returns yearly fundamentals. Is there any possibility of adding this feature? Also what about a feature for accessing not only trailing 12 months but trailing N months, where N could be any number.
I am trying to run some strategies that require calculating the 5 year change in trailing fundamentals and as it stands right now I don't know of a way to do it on QuantConnect.
Alexandre Catarino
Right, there is no way to pull up trailing 12 months of fundamentals because it is not possible to make a historical data request for universe data.
It is in our TODO list to extend History and Warmup feature to Universe Selection, but we are not working on that yet.
Dmitry Kovalevskiy
Alexandre, apologies, is there any update on this feature?
Jack Simonson
Hi Dmitry,
We haven't implemented this feature yet, but one method to access and store historical Fundamental Data would be to extend the length of a backtest and store the desired data using our Rolling Windows feature. You can see a code example of how to implement this here.
Walter
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