I’m trying to test out an algorithm that i have and i need historical data for small cap and mid cap US equities over the last 50 years. the data needs to be for individual stocks not cumulative (aggregate of whole market). example of some of the data is earnings, PE ratio, net income, ROI, ROE, outstanding debt, EPS, and stock price.
i checked in morningstar but all they had was a stock screener. any ideas how to find this data?
It sounds like what you need is Point-In-Time data, definitely not Yahoo! Finance.
Portfolio123 is a web application that allows you to test the historical performance of algorithmically implemented equity strategies that are driven by point in time fundamental data. I’d recommend checking them out, quite affordable too.
Alternatively, I imagine you’d need to get access to, for example, Capital IQ’s API, but that might unnecessarily expensive.
Are you a student? Sometimes, university libraries have access to Bloomberg, which has everything you would need. If you’re working for some company, seems like they should pay for some data subscription.
I mean whatever the site says they have is what they have lol. From what I remember, I believe their data went back 20+, but again I’d confirm with them. 50 years of point in time fundamental data will be hard (expensive) to get your hands on. Can’t speak to Bloomberg’s capability on that front.
For me it’s worth the money. I checked quandl.com they had some raw fundamental data but went back only years. I sent them an email asking if they had more and they ignored me lol. I’ll check with porfolio123, maybe they’d be nicer and reply. Thanks for the help.