Hi Jim,
it would be nice to have a download the has a column of the features (rank or z-score) and the next week or month’s returns.
The DataUniverse operation in the DataMiner does what you are asking except that the .csv file is sorted only by Date. Sounds like you want a secondary sort done on Ticker, correct? Please look at the examples below and let us know if there is any other functionality missing.
Example:
Main:
Operation: DataUniverse
On Error: Stop
Precision: 4
Default Settings:
PIT Method: Prelim
Start Date: 2020-01-01
End Date: 2020-03-01
Frequency: 1Week # ( [ 1Week ] | 2Weeks | 3Weeks | 4Weeks | 6Weeks | 8Weeks | 13Weeks | 26Weeks | 52Weeks )
Universe: DJIA
Include Names: false
Formulas:
#Target ie future excess returns
- FutRelRet_SPY: FutureRel%Chg(20,GetSeries("SPY")) #4 week future total return relative to the SPY ETF
- FutRelRet_Ind: FutureRel%Chg(20,#Industry) #4 week future total return relative to its industry
#Other 'future' return functions: FutureRel%Chg_D() FutureRel%Chg_W() Future%Chg() Future%Chg_D() Future%Chg_W()
#Factors. Up to 100 formulas.
- FRank("EarnYield",#ALL,#DESC)
- ZScore("Pr2SalesQ",#All)
The output of the above example is a csv file. Here it is opened in Excel:
The Ranks operation can be used also if you wanted to get the ranks from an existing ranking system and then include the future return factors in the Additional Data section. Example:
Main:
Operation: Ranks
On Error: Stop # ( [Stop] | Continue )
Precision: 4 # ( [ 2 ] | 3 | 4 )
Default Settings:
PIT Method: Prelim # ( [Complete] | Prelim )
Ranking System: 'Core: Quality'
Ranking Method: NAsNegative
Start Date: 2020-01-01
End Date: 2020-06-01
Frequency: 4Weeks
Universe: DJIA
Columns: factor #( [ranks] | composite | factor )
Include Names: true #( true | [false] )
Additional Data:
- Future 1MoRet: Future%Chg(20)
- FutureRel%Chg(20,GetSeries("$SP500EQ")) #Relative return vs SP500 equal weight
- PS Rank: FRank("Pr2SalesTTM",#all,#asc)
#Up to 100 formulas
The output from this one is too wide to paste here, so I narrowed columns L thru W:
