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Quant Investing historical screener – screen point in time data

As I wrote to you at the end of May…

Every day since 4 December 2015 we have saved every ratio for all the companies in the screener. This means every day we saved 110 ratios of 22,000 companies.

 

Why are we doing this? A point in time database

Why are we doing this and how can this help you?

The reason is to build up a past database of actual ratios and indicators on a specific day - also known as a point in time database.

The data does not go back very far yet, only till 4 December 2015. But this is just over 3.5 years. It’s a good start and it grows every day.

 

You can now screen in the past!

We have just finished the initial development and the point in time database is available for you to test drive.

This means you can go back in time and see exactly what companies fit your investment strategy and how they have performed.

This is not using calculated back test values but actual values as they were in the past thus no look-ahead or survivorship biases.

 

How to screen the past

This is how you can start using the historical point in time database.

I expand on all these points below but here are the steps if you know the screener:

  1. Login and load the screener
  2. Set up or load a screen
  3. Click the Historical Screener icon
  4. Select the date in the past you want the screener results for
  5. Click Confirm to get the historical screener results

 

Detailed steps to follow

Here are the detailed steps for you to screen in the past point in time data.

1. Login and Set up or load a saved screen

For instructions on exactly how to log in and set up a screen look at this article:How to run your first screen with the Quant Investing screener

 

2. Get historical results of your screen

Once you have run your screen and you have a list of companies that fit the screen criteria you are ready to go back in time.

To do this click on the Historical Screener icon to open the Historical Screener date selector.

 Historical screener point in time 1

 

To select the date you would like to screen for click the date selector icon.

Historical screener point in time 2 

 

To select dates further in the past click the blue left arrow or click on the heading “JULY 2019” in the below screenshot.

Historical screener point in time 3 

 

After selecting the date click Confirm to get the historical screener results.

Historical screener point in time 4 

That is all you have to do to screen past results.

 

If there is No Data

Even thought you can only select weekdays in the point in time database it may be that the day you selected was a market holiday. This may be the case around the start of the year.

If it was a market holiday you will see a "No data" message like this:

historical-screener-point-in-time-5

If you do get the No data message simply select a day before or after the date you selected. 

 

Remember it’s still in beta – your suggestions welcome

As we have just made it available there may be a few bugs we missed.

If you find anything that does not look right or if you have a suggestion on how we can improve the historical screener please let us know.

 

PS Not a subscriber to the Quant Investing stock screener yet? Sign up here.

PPS Why not sign up right now before it slips your mind?