No. of Recommendations: 3
RunRadis sounds amazing. I wish AAII would coordinate some of this work, so the 2 to 3 hour task of moving individual files into a DB could be streamlined. SIP has one of the lowest prices for historical PIT fundamental data, with prices similar to those 10 years ago. SIP data is PIT, with full snapshots of the data on each date. This was a fortunate accident produced by the simple approach of duplicating all the data every day. AAII is not advertising SIP, and so I doubt AAII knows the value of what it has recorded.
Point-in-time data is difficult to reproduce, and so most backtesters (e.g. P123, Equities Lab) use something like "filing date plus 4 days". That will often be good enough, but sometimes will fail. Some screens are more affected by non-PIT backtests, especially complicated tuned microcap screens. Of course, PIT data vendors have white papers saying PIT data is preferred. I might sign up for P123, and run some benchmarks. Or maybe I will just use the free Stock Rover screener.
current prices:
SIP 3-Year Subscription is $599
P123 Screener is $299/year (5Y backtest)
SimFin Basic is $420/year (15Y backtest)
P123 Pro is around $1000/year (20Y backtest)
Equities Lab Basic is $1200/year (28Y backtest)
--- links ---
prices from about 10 years ago:
"Portfolio123 is now 995/year for 5 years historical,
1995/year for a little less than 11 years historical data.
Stock Investor Pro $247 (non AAII member)"
http://www.datahelper.com/mi/search.phtml?nofool=y...Equities Lab data:
"Our data changes daily, and covers each trading day from January 1, 1995 to present. Morningstar takes a few days to clean and process the data they get from the SEC, while they update the price data after the close of the market... Equities Lab uses the SEC release date, adds four days to account for processing delays, and makes the data available then."
equitieslab.com - Comprehensive dataP123 data:
"If you want a more conservative backtest approach you can choose to 'Exclude Prelims' which will expose the data on the File Date + one day. NOTE: this may still suffer from a minor look-ahead bias since Factset may have taken a few days , or even weeks , to process the filing. We hope to revisit this later when we learn more about typical delays."
community.portfolio123.com - Factset beta site v1 now liveSimFin data:
"SimFin extracts fundamental data from original quarterly and annual reports. Our innovative AI algorithms have been improved and trained over years to achieve the current accuracy."
simfin.com - Fundamental data downloadPIT whitepaper:
"Our research finds that PIT backtests produce significantly different results than lagged Non-PIT data using common factors. In addition, when single factors are combined into multifactor tests these differences in results may become magnified."
spglobal.com - Point in time vs lagged fundamentalsPIT whitepaper:
"If data is not recorded point-in-time, we could be using 'future' data in our backtest, This will pollute the analysis with hindsight bias, which can artificially make results look better."
refinitiv.com - Why is point in time data crucial in backtesting15 Best Stock Screeners of 2023 (Free & Paid)
Standalone stock screeners (the primary tool is the screener):
FINVIZ
ChartMill
Trade Ideas
StockFetcher
Integrated within platforms for investors:
Stock Rover
Seeking Alpha
Simply Wall St
Zacks
Integrated within technical analysis platforms:
TrendSpider
TradingView
Integrated with trading platforms:
TC2000
StocksToTrade
MarketGear
Integrated within platforms suitable for both traders and investors:
Atom Finance
Yahoo Finance
finmasters.com - Best stock screeners 