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Quants: Point-in-Time Data for Backtesting

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Point-In-Time Fundamental Data
Friday, December 2, 2016

Quantamentalists, rejoice! Calcbench is proud to introduce our newest feature via our API.

Today, a user can download Calcbench’s 1,000+ standardized metrics for 10,000 public companies with filing date-stamps. You can use this “point-in-time” data to backtest fundamental algorithms while avoiding look-ahead bias.

Calcbench captures and reports as-filed financial data as well as revisions that occur as companies report data in future periods. Academic literature refers to these as ‘little R’ revisions. Please note that these are not full financial restatements, and that companies may revise numbers for a variety of reasons. (See a previous blog entry which discusses revisions in detail.)

Instructions for getting Point-In-Time data from our API are @ https://www.calcbench.com/home/api#pointInTimeData. Every point returned by the API has the date and time the document from the which the point came from was uploaded to the SEC’s Edgar system.

Please contact Calcbench before you get started with your Point-In-Time project. API access is not included in the standard Calcbench subscription.

Footnote Points for ORCL and MSFT

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