How do you lag fundamental data?

How do you lag fundamental data?

Chaim6
2014-01-27 09:09:39

I am new to QS and was wondering how you go about lagging fundamental data so that it approximates when it was actually released?
I have tried the http://www.quantshare.com/item-1181-morningstar-historical-fundamentals downloader but it does not lag the dates are not lagged.
Am I missing something? Is there a way to artificially lag the dates by 45 days to 2 months when backtesting or should the adjustment take place by the downloader?

Thanks

Morningstar Historical Fundamentals (by Stefan Kroscen, uploaded several months ago)

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QuantShare
2014-01-27 13:09:29

The adjustment should take place in QS language.

If the fundamental data is stored in variable "a" then simply type:

a = ref(a, 45); // To lag it by 45 bars

Chaim6
2014-01-27 18:14:32

Sorry for my newbie question, but do you put "a = ref(a, 45);" into a download script or into the backtesting script?

Thanks

QuantShare
2014-01-27 21:53:20

Best Answer

In the backtesting script.
Example to get the close price lagged by 10 bars:

a = ref(close, 10);

Chaim6
2014-01-28 03:15:07

Thank you!

Seeker
2014-01-28 08:45:25

Is a=ref(close,10) and a= close[10] same? Are they always identical in usage? I have seen that in certain cases, the latter is not accepted.

QuantShare
2014-01-28 11:27:13

Yes it is the same. You can use [] only with variables (not with functions).

Seeker
2014-01-28 12:54:35

just to clarify further, for new high we say:
a = high>ref(hhv(high,10),1);

or:
a = hhv(high,20);
b = high>a[1];

but not:
a =high>hhv(high,20)[1];

Just trying to confirm whether I was following it correctly all this while...

QuantShare
2014-01-28 13:46:18

Yes, you can plot these variables on a chart to get a confirmation or to check whether something is correct or not.
New high can also be detected by:
a = high == hhv(high, 10);

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