Exclude earnings dates for backtesting

Author: cal777

Creation Date: 2/25/2017 2:53 AM

Wealth Lab » WealthScript (.NET) » Exclude earnings dates for backtesting

cal777

2/25/2017 2:53 AM

I wonder if I could exclude earning days for backtesting and/or live trading? I saw EarningsDate, but could not get it to show the past earnings date. Can anyone help me with this? Thank you in advance!

Eugene

2/25/2017 6:24 AM

EarningsDate from Community Components is for next earnings dates. It's meant for live trading. And there you have this excellent discussion:

Reducing overnight risk by avoiding trades around next earnings date

It's good that you discovered EarningsDate. In addition, here's another place to browse - our downloadable Strategies. There you'd find this example easy to learn and modify:

~~Earnings release dates (Rev.A)~~
Earnings release dates (Rev.C)

So, for backtesting you should use the built-in FundamentalDataItems collection (QuickRef for more). For the Fidelity fundamental data, it's "earnings per share. Make sure you've updated the fundamental data before running your Strategy (Data Manager > "Update Data" tab > check your fundamental provider > go to "DataSets" tab > click "Update DataSet").

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EarningsDate from Community Components is for [i]next[/i] earnings dates. It's meant for live trading. And there you have this excellent discussion:

[link=https://www.wealth-lab.com/Forum/Posts/Reducing-overnight-risk-by-avoiding-trades-around-next-earnings-date-31281]Reducing overnight risk by avoiding trades around next earnings date[/link]

It's good that you discovered EarningsDate. In addition, here's another place to browse - our [link=https://www.wealth-lab.com/Extensions/Strategy-Finder/]downloadable Strategies[/link]. There you'd find this example easy to learn and modify:

[s][link=https://www.wealth-lab.com/Strategy/Details/389]Earnings release dates (Rev.A)[/link][/s]
[b][link=https://www.wealth-lab.com/Strategy/Details/466]Earnings release dates (Rev.C)[/link][/b]

So, for backtesting you should use the built-in [b]FundamentalDataItems[/b] collection (QuickRef for more). For the Fidelity fundamental data, it's "[b]earnings per share[/b]. Make sure you've updated the fundamental data [u]before[/u] running your Strategy (Data Manager > "Update Data" tab > check your fundamental provider > go to "DataSets" tab > click "Update DataSet").

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class EarningsRelease : WealthScript
	{
		protected override void Execute()
		{
			ChartPane pane1 = CreatePane(35,true,true);
			
			// using Fidelity data provider:
			PlotFundamentalItems(pane1,"earnings per share",Color.Blue,LineStyle.Solid,1);
			
			// MorningStar
			//PlotFundamentalItems(pane1,"[ms] Earnings Per Share",Color.Blue,LineStyle.Solid,1);
			// 99WallStreet
			//PlotFundamentalItems(pane1,"[99] eps",Color.Blue,LineStyle.Solid,1);
			// StreetInsider
			//PlotFundamentalItems(pane1,"[si] eps",Color.Blue,LineStyle.Solid,1);
			
			for(int bar = 1; bar < Bars.Count; bar++)
			{
				// Fidelity
				FundamentalItem fi = GetFundamentalItem(bar, Bars.Symbol, "earnings per share");
				
				// Other providers
				//FundamentalItem fi = GetFundamentalItem(bar, Bars.Symbol, "[ms] Earnings per Share");
				//FundamentalItem fi = GetFundamentalItem(bar, Bars.Symbol, "[99] eps");
				//FundamentalItem fi = GetFundamentalItem(bar, Bars.Symbol, "[si] eps");
								
				if( fi.Date == Date[bar] )
				{
					SetBackgroundColor(bar,Color.FromArgb(30,Color.Red));
					AnnotateBar("I will not trade around earnings releases",bar,true,Color.Black);
				}
			}
		}
	}
}[/code]