- ago
Out of curiosity I would like to try something new, which should be based on the Piotroski F-Score (among other criterias). I have installed the Fundamental Extension but noticed that this score isn't included anywhere.

Is there a possibility in WL8 to access the Piotroski F-Score historically over at least 10 years?
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Glitch8
 ( 14.35% )
- ago
#1
Interesting, here is the definition:

https://en.m.wikipedia.org/wiki/Piotroski_F-score

I think this could be calculated from the fundamental items available from some of the providers, I’ll give it a try later today.
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- ago
#2
YCharts supplies it but the item is not yet available in our event provider:
https://ycharts.com/companies/AAPL/f_score_ttm

If you happen to be a YCharts paid subscriber then we could think about upgrading the provider to include the Piotroski Score?

This is interesting, too:

https://seekingalpha.com/article/4407684-why-piotroskis-f-score-no-longer-works
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Glitch8
 ( 14.35% )
- ago
#3
Findings:

1. Return on Assets - not currently available
2. Cash Flow - free_cash_flow in YCharts?
3. Change in ROA - not currently available
4. Accruals (Operating Cash Flow) - cash_operations in YCharts?
4. Accruals (Total Assets) - assets in YCharts
5. Leverage - debt_equity_ratio in YCharts? What is Long Term Leverage as opposed to current? Maybe long_term_debt in YCharts?
6. Current Ratio (Current Assets) - assets in YCharts
6. Current Ratio (Liabilities) - liabilities in YCharts
7. Shares - shares_outstanding in YCharts
8. Gross Margin (Revenue) - revenues in YCharts
9. Gross Margin (Cost of Goods Sold) - not currently available
10. Asset Turnover Ratio (Net Sales Revenue) - revenues in YCharts
10. Asset Turnover Ratio (Average Total Assets) - assets in YCharts (take difference)

So it looks like we have only about half of what we'd need to calculate this.

We're working on a data and event provider for Historical EOD, which offers a good range of historical fundamentals. That might turn into a good source to mine, but it's a paid service also.
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Best Answer
- ago
#4
@Glitch

Just figured out that I can catch the EPS per Share per quarter.
List<EventDataPoint> earnings = bars.GetEventDataPoints("Earnings");

How can I get the Sales per Share per quarter so that I can compare the current Sales per Share vs the same quarter's Sales per Share of the previous year?

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Glitch8
 ( 14.35% )
- ago
#5
Unfortunately the closest thing I see is YCharts revenue, which isn't exactly sales.
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- ago
#6
1. The data that is available for free in YCharts is very limited so "at least 10 years" positively can't be achieved if you take this route.
2. Likewise, the items you see as missing are present in their package for paid subscriptions only.

So if you still have faith in the debunked metric, you'll probably need a paid subscription. YCharts is costly and we don't have that many alternatives but we're in the process of developing one such fundamental provider for a data feed with affordable price.
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- ago
#7
@Eugene

Cool down, there are always several ways to reach a target. No reason to spend additional money or to generate unnecessary effort. Wealth-Lab has many other advantages that other products will never have!

In this case, simply to get an overview, I use Pine-Script in Tradingview. Their score is available for the past 20 years. So there's no reason to lose any ground under any feets right away.


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- ago
#8
Re: Post #3. With the upcoming fundamental data provider, we'll fill the missing pieces:

QUOTE:
1. Return on Assets - not currently available
3. Change in ROA - not currently available

ROA = Net Income / Total Assets

QUOTE:
2. Cash Flow - free_cash_flow in YCharts?
4. Accruals (Operating Cash Flow) - cash_operations in YCharts?

All sorts of cash flow to become available, including cash flow from operating activities.

QUOTE:
5. Leverage - debt_equity_ratio in YCharts?

Yes, can be Debt to Assets/Equity/Capital/EBITDA. These items (assets, EBITDA etc.) will also be available.

QUOTE:
9. Gross Margin (Cost of Goods Sold) - not currently available

a.k.a. Gross Profit, to become available.
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