Back test Experiment - Data Collection

[Gopinath]

Hi Members,

 

I am trying to collect historical data for back testing some of the key variables that I think are important to predict the future performance of their companies/stocks.

 

For Example,

 

Assumption: Lets say the insiders large ownership in the business makes the stock/business worth valuable over time. I would like to collect data for all companies to see if there is any positive correlation between insider ownership and stocks/business value over time and also relative to the other companies(which don't have high insider ownership) performance.

 

The other variables that I am interested in

 

High Return on invested capital

Low Debt to Assets and equity

Low capital intensity

continuous stock repurchases.

 

I like to see if anyone has done this kind of study before. Any help on collecting data would be greatly helpful to me. Feel free to send me a pm for further if you prefer.

 

Thank you so much!

Gopinath

 

 

 

[JAllen]

Google "Horizon Kinetics owner operator" for the answer to your first question, and probably some more.

[Jurgis]

Back testing is notoriously difficult to do correctly. Best chance is to work with someone who did it correctly in the past (either academically or professionally). Otherwise, you can do it yourself and then try to get peer review/feedback, but that could waste a lot of effort.

 

Sorry can't help you more, good luck

[Drake]

Any help on collecting data would be greatly helpful to me. Feel free to send me a pm for further if you prefer.

 

It might be worthwhile to take a look at Quantopian. I discovered Quantopian only recently and haven't used it, yet. But from what one can read on their page, it seems suited for the kind of backtesting you are intending to do.

[leeway]

I use portfolio123.com to do some backtesting. they have fundamental stock level data going back to 1999.