To begin we need data and lots of it, I am going to expect that individuals will want to duplicate my results (if anyone actually reads this) so I will be posting the sources that I will be getting data from. Or if you are looking for data I have gotten privately I can possibly provide via a link on email:
Data Required:
- Symbol List - All tickers, current and historical
- EOD Data is the best website I have found to get symbol lists from, the downside is that it includes mutual funds and some stocks that cannot be invested into....these can be rooted out using google finance and a little bit of excel programming
- The list itself can be found here http://www.eoddata.com/download.aspx, after a quick and easy registration the list is yours. The downside is that it does not provide historical tickers later than about a month ago
- If you have access to a financial station (Bloomberg/Reuters) you easily have access to this information. Many large universities have access to these, or some public libraries (before budgets were squeezed). These financial stations are unrivaled in their breadth and quality of data, so make sure to use it if you have it.
- Historical Stock Data
- YLoader - Historical Quotes Downloader
- The most helpful downloading program I have found. I got mine for free but it looks like they upped it to a 15 day free trial or a lifetime subscription for $20 from the CNET Downloads link here. Also includes a command line utility that downloads all the symbols and the exchange they are on.
- Yahoo & Google
- Free to download, just enter your ticker, click historical prices and download to spreadsheet
- Slow if you are downloading multiple tickers, I wrote an excel program to do this for me...which was still slow
- EOD Data
- Cheapest access to intraday data you can find
- 3 years of historical data for platinum members (29.95/mo)
- Data has been cleaned and formatted for you (not sure of quality)
- Bloomberg/Reuters station
- If this is an option for you, obviously take it...these dedicated stations have techs ensuring they have the most accurate data at all times
- Historical Earnings / Financial Data
- Earnings.com
- Thomas Reuters provides the best free earnings website I have found
- All tickers with up to 3-4 years of their historical quarterly earnings
- Bloomberg/Reuters station
- Past 3-4 years that earnings.com provides, I have only found that a station has the data required to do longer historical analyses
- Would love to know of others that are more than 1 year old, below are the sources I know of that only have data for the past ~1.5yrs
- MSN Money
- Yahoo Finance
- Google Finance
Thats it for right now on the data, hopefully it is clear that price is the determining factor in stock performance which is why we need it most important. The reason I highlighted earnings data is the expected relationship to stock performance. That relationship will need to be tested regardless of whether it is correlated to the winners or not. There will be many additional levels of information required such as ROE, Quarterly Revenue (will give us profit margin), and other stock ratios, as well as macroeconomic ratios. Access to this information will allow us to determine which of the individual ratios, or combination of ratios increase the probability of choosing a winning stock.
Feedback (because I definitely don't know everything, and would love to learn), Comments, and Questions are always welcome!
Best,
Dylan
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