Fundamental Data

[wuilengh]

I have a stock model which I plan on backtesting for a large and varied basket of stocks. As such, a few of my parameters are to be adjusted based on beta / historical volatility.

I am not too worried about how beta / historical volatility might have changed over time for a given stock. Therefore, I would be happy to use today's beta and historical volatility values in my calculations to be used by the model in the backtest.

However, as OnFundamentalData() is not called for historical data, is there any way to implement this, or any work arounds you could suggest?

Thanks

[NinjaTrader_JC]

Hello wuilengh,

Correct, OnFundamentalData() is not going to be called in Historical Data and I am not aware of a workaround for this. This is due to the data being provided directly from your data provider. You may see our Help Guide at the following link for more information.

http://www.ninjatrader.com/support/helpGuides/nt7/onfundamentaldata.htm

[nnnguyen1221]

Hi there,

You guys at NinjaTrader.com are building a great world class software. I was wondering if you could set up a data feed from Morningstar for Historical Fundamental Data such as found at:

http://www.quantshare.com/item-1181-morningstar-historical-fundamentals

The fundamental data from Morningstar's free service. 82 different elements are captured into a "morningstar_fundaments" database. Typically 10 years of data are available. The data points provided are:

Financials

Revenue USD Mil
Gross Margin %
Operating Income USD Mil
Operating Margin %
Net Income USD Mil
Earnings Per Share USD
Dividends USD
Payout Ratio %
Shares Mil
Book Value Per Share USD
Operating Cash Flow USD Mil
Cap Spending USD Mil
Free Cash Flow USD Mil
Free Cash Flow Per Share USD
Working Capital USD Mil

Key Ratios -> Profitability
Margins % of Sales
Revenue
COGS
Gross Margin
SG&A
R&D
Other
Operating Margin
Net Int Inc & Other
EBT Margin

Profitability
Tax Rate %
Net Margin %
Asset Turnover (Average)
Return on Assets %
Financial Leverage (Average)
Return on Equity %
Return on Invested Capital %

Key Ratios -> Growth

Revenue %
Year over Year
3-Year Average
5-Year Average
10-Year Average
Operating Income %
Year over Year
3-Year Average
5-Year Average
10-Year Average
Net Income %
Year over Year
3-Year Average
5-Year Average
10-Year Average
EPS %
Year over Year
3-Year Average
5-Year Average
10-Year Average

Key Ratios -> Cash Flow
Cash Flow Ratios
Operating Cash Flow Growth % YOY
Free Cash Flow Growth % YOY
Cap Ex as a % of Sales
Free Cash Flow/Sales %
Free Cash Flow/Net Income

Key Ratios -> Financial Health
Balance Sheet Items (in %)
Cash & Short-Term Investments
Accounts Receivable
Inventory
Other Current Assets
Total Current Assets
Net PP&E
Intangibles
Other Long-Term Assets
Total Assets
Accounts Payable
Short-Term Debt
Taxes Payable
Accrued Liabilities
Other Short-Term Liabilities
Total Current Liabilities
Long-Term Debt
Other Long-Term Liabilities
Total Liabilities
Total Stockholders' Equity
Total Liabilities & Equity

Liquidity/Financial Health
Current Ratio
Quick Ratio
Financial Leverage
Debt/Equity

Key Ratios -> Efficiency Ratios
Efficiency
Days Sales Outstanding
Days Inventory
Payables Period
Cash Conversion Cycle
Receivables Turnover
Inventory Turnover
Fixed Assets Turnover
Asset Turnover

[NinjaTrader_JC]

Hello nnnguyen1221,

Welcome to the NinjaTrader Support Forums!

That is a good suggestion. I will forward this to our Development Team for future consideration in NinjaTrader. Once I get a unique tracking ID for this request I will send it to you.

Happy to be of further assistance.

[aquilaria]

Fundamental data from Morningstar for NinjaTrader

Greetings,

08-31-2013 04:19 PM, nnnguyen1221 wrote:

"You guys at NinjaTrader.com are building a great world class software. I was wondering if you could set up a data feed from Morningstar for Historical Fundamental Data such as found at:

http://www.quantshare.com/item-1181-...l-fundamentals

The fundamental data from Morningstar's free service. 82 different elements are captured into a "morningstar_fundaments" database. Typically 10 years of data are available. The data points provided are:
...
...
"

09-03-2013 09:09 AM, NinjaTrader_JC replied:

"That is a good suggestion. I will forward this to our Development Team for future consideration in NinjaTrader. Once I get a unique tracking ID for this request I will send it to you."

Does anyone have any information on this feature request, especially for NinjaTrader 8?

Regards,

[NinjaTrader_PatrickH]

Hello aquilaria,

Thank you for your post and welcome to the Support Forum!

There is no word on this being implemented into a future release of NinjaTrader.

Please let me know if you have any questions.