In using the eventvestor's earnings calendar, I have seen that I get 'NaN' for most of the securities in the S&P 500 when calling:
EarningsCalendar.next_announcement.latest on them.
Does this make sense? I've searched around for some data on the time into the future that this calendar looks, but I'm not finding it.
I'm operating on historical data within the free data set right now.
The free data set does not provide updates from the last two years as described here https://www.quantopian.com/data/eventvestor/earnings_calendar
Generally, the free portions of the premium data sets do not provide more recent updates.
So the few events you are seeing were announced 2+ years in advance. Typically earnings announcement dates are disclosed closer to the actual announcement. For information on the more recent earnings announcements, you'll need to subscribe to the earnings calendar (click the "Get Full Set" button on that page).
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Thanks for the response. I'm looking at data from the free period that I thought would include announcements. For example, the total returns of valid data for the next_announcement.latest call in the first trading day in January, 2010 yields only 82 results.
I suppose it is possible that some companies did not publish their earnings release dates until closer to the end of the quarter...
Ok - here is something more.
I have output a bit of data to the console to underscore the point. What I'm showing here is a request to show business days to the next earnings announcement. The first column is the backtesting date followed by the security and the number of days until the earnings are released.
On Monday, ARNC and LEN do not show that they have earnings releases scheduled, which is a bit nuts because S&P 500 companies don't decide that they are or are not going to release earnings a few days before. They have to schedule a call with the SEC well in advance of that date.
As an example, Starbucks has all of their earnings scheduled for all of 2017 already.
Monday:
2011-01-03 07:31 Equity(22140 [MON]) days to announcement: 3.0
Tuesday:
2011-01-04 07:31 Equity(2 [ARNC]) days to announcement: 4.0
2011-01-04 07:31 Equity(4417 [LEN]) days to announcement: 5.0
2011-01-04 07:31 Equity(22140 [MON]) days to announcement: 2.0
Hi Justin,
Thanks for pointing this out. It's not immediately clear to me what's happening here, but I agree it looks odd. I've notified our engineers and I will post back here when I know more.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
Hi Justin,
After further review, the data looks to correctly reflect what we get from EventVestor. Note that the dataset is based on news headlines like this one. The event won't be mapped in the dataset until they are able to recognize a headline corresponding to the announcement.
That being said, would you be willing to share your pipeline code? We learned about the LEN announcement scheduled on 01/11/2011 on 12/27/2010, so it should have been available to an algorithm on 12/28/2010.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
