For future reference this is the crude approach I took. What I was trying to determine is the impact of earnings announcements on my system. My system is a 2-8 day swing and earnings announcements do cause increased volatility. The question is what is the impact to returns over a timeframe.
This is what I did, 1. I ran my system over the timeframe and filtered only the top and bottom 10% of trades based on returns. 2. For each ticker in above list I grabbed the earning release data from earnings.com (free) 3. I copied and reformatted the data in a symbol import file with the ticker name as symbol_ERN. Set the close price to 1. The import file can have different symbols so I have one file. 4. Import file into AB 5. Modified my code to not trade if three is a earning announcement a few days before and after my signal 5a. Load earnings data if it exists, Don't fixup the data. E = Foreign(Name()+"_ERN", "C", 0); 5b. Add the earnings date check to my BUY statement. Since I didn't fixup the data I need to check if it is null. This example looks two days back and 8 days ahead. AND (Nz(Ref(E, -2)) + Nz(Ref(E, -1)) + Nz(E) + Nz(Ref(E, 1)) + Nz(Ref(E, 2)) + Nz(Ref(E, 3)) + Nz(Ref(E, 4)) + Nz(Ref(E, 5)) + Nz(Ref(E, 6)) + Nz(Ref(E, 7)) + Nz(Ref(E, 8))) == 0; My results were not conclusive and I've added bringing in the full historic announcement dates for a more detailed analysis as a medium priority item for the future. Ron --- In [email protected], "Ron" <rond...@...> wrote: > > Anyone have a tip on how to get historical earning announcement dates into AB > for use in the backtester? I'd like to exclude trading stocks from my > backtest where an earnings announcement is a few days +- from the trade > signal. > > Thanks, > > Ron >
