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Investing/Strategies / Mechanical Investing
|Subject: Re: Earnings cycle rate of change||Date: 10/8/2012 6:46 PM|
|Author: mungofitch||Number: 239826 of 265622|
How far back can the data go?
I did this with Prof. Shiller's data, kept up to date using Pinnacle.
A bit tricky because Shiller uses "earnings during the reporting time
period ending on the date shown" whereas Pinnacle uses "last 4 quarters of
earnings reported prior to the date shown" from Dow Jones News.
Shiller's data are monthly from 1871, and always a few months late.
Pinnacle's are weekly from January 1936 and updated every Saturday.
Both data sources have a CPI column so real earnings adjustments are easy.
So, basically no problem spotting rollovers in real earnings over many cycles.
I haven't really tried it as a top detector, assuming that by the time
earnings roll over the market already did so.
That's why leading economic indicators use market prices as an input.
But it's worth giving it a whirl.
I highly recommend downloading Prof. Shiller's data and playing around with it.
Go here http://www.econ.yale.edu/~shiller/data.htm and get the "available for download, Excel file (xls)" link.
Be sure to use the inflation adjusted figures in column J.
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