Standardized Unexpected Earnings

re: "Additionally, this model could be improved if expected earnings and earnings release dates are available and can be imported as custom data, which would then allow the model to emit more continuous insights as new data flows in for individual companies. If this data is available, then the true SUE score of a company could be calculated."

Having a data set with future expected earnings and earnings release dates is something I raised sometime ago but wasn't seen as important. This type of data can provide the basis for many types of strategies related to earnings releases such as pre-earnings, day of earnings and post-earnings strategies.

Thanks a lot Jack! And 100% agree with Ernest though I think QC is already working on that

Emilio

Hey Ernest, please don't see it as "but wasn't seen as important". Ouch. Honestly, we do take your requests seriously and are all working 12 hours a day, 5-6 days a week, there's just an enormous volume of basics to get right first before we extend deeper. The data you're mentioning is not free; so we need to find a vendor who can let us use it for a reasonable price - in backtesting and live trading... It's a hard challenge that just takes time. 

HI Jared - I didn't mean "not seen as important" as a negative criticism. As a developer I understand that tasks have to be prioritised so it was meant in that context. I understand that this type of data is not cheap but I'm hoping that with the scale of QC that this data could eventually be made available which will move QC further along the path of democratising finance :)

Thanks,
E.

Jared - Contact us @ Wall Street Horizon if you are looking for earnings release dates and revisions. We have the most accurate, comprehensive, and timely dates - and the only firm with date revisions and timestamps.

www.wallstreethorizon.com/earnings-calendar

Hi Jack, I just wanted to inform that I was receiving a key error when running the above algo. From the above code, I do see we are skipping slice if we do not have data. I am uncertain where else do I need to check if data exists. Thanks!!

if symbol not in data.Keys or not data.Bars.ContainsKey(symbol): continue

System.Collections.Generic.KeyNotFoundException: Trying to retrieve an element from a collection using a key that does not exist in that collection throws a KeyError exception. To prevent the exception, ensure that the key exist in the collection and/or that collection is not empty. ---> Python.Runtime.PythonException: KeyError : ( ,)
at Python.Runtime.PyObject.Invoke (Python.Runtime.PyTuple args, Python.Runtime.PyDict kw) [0x00033] in <98f91910fe1045c6b12a6d01d5601476>:0
at Python.Runtime.PyObject.InvokeMethod (System.String name, Python.Runtime.PyTuple args, Python.Runtime.PyDict kw) [0x00007] in <98f91910fe1045c6b12a6d01d5601476>:0
at Python.Runtime.PyObject.TryInvokeMember (System.Dynamic.InvokeMemberBinder binder, System.Object[] args, System.Object& result) [0x0003e] in <98f91910fe1045c6b12a6d01d5601476>:0
at (wrapper dynamic-method) System.Object.CallSite.Target(System.Runtime.CompilerServices.Closure, System.Runtime.CompilerServices.CallSite, object, QuantConnect.Data.UniverseSelection.SecurityChanges)
at QuantConnect.AlgorithmFactory.Python.Wrappers.AlgorithmPythonWrapper.OnFrameworkSecuritiesChanged (QuantConnect.Data.UniverseSelection.SecurityChanges changes) [0x0004f] in <2365c5d701e3477793c7164a4a3e5df3>:0
at QuantConnect.Lean.Engine.AlgorithmManager.Run (QuantConnect.Packets.AlgorithmNodePacket job, QuantConnect.Interfaces.IAlgorithm algorithm, QuantConnect.Lean.Engine.DataFeeds.ISynchronizer synchronizer, QuantConnect.Lean.Engine.TransactionHandlers.ITransactionHandler transactions, QuantConnect.Lean.Engine.Results.IResultHandler results, QuantConnect.Lean.Engine.RealTime.IRealTimeHandler realtime, QuantConnect.Lean.Engine.Server.ILeanManager leanManager, QuantConnect.Lean.Engine.Alpha.IAlphaHandler alphas, System.Threading.CancellationToken token) [0x008ef] in Lean.Engine.Alpha.IAlphaHandler alphas, System.Threading.CancellationToken token) [0x008ef] in :0
--- End of inner exception stack trace ---

Hi spacetime ,

Please add None to the default parameter of dict.pop:
self.fundamentalData.pop(symbol, None)

Since the addition of elements to self.fundamentalData depends on not None elements, some securities that were added to the algorithm were not added to self.fundamentalData.

Hi Alex, I appreciate the fix and explanation of it. It makes sense to me now.

Hi Jack,

I am currently running into the following error message when running this algo:

Runtime Error: AttributeError : 'NoneType' object has no attribute 'FinancialStatements' AttributeError : 'NoneType' object has no attribute 'FinancialStatements'

Any help you could give me would be greatly appreciated.

Hi Charles,
To address this, we also need to make sure that the .Fundamentals field for a Security is not None as well. I've shown this in the attached backtest.

Best,
Shile Wen