tools for analysis of time series against a financial value

[eheiorjgeio]

Hi,

I am a newbie to Quant finance, I have a IT background so feel free to point out the obvious... ;-)

So if I wanted to get a result set like "SELECT ALL the companies in the S&P500 that have declined in CLOSE price by more than 40% in the last 6 months, that also have a profit margin of at least 10%",

at the moment I would go and get all the historical data in time series format from yahoo/google in one table, and I would have another table of financials from each of the companies with values such as market cap, profit margin - (pulled from yahoo or google)

I then I would write a query to do it, not that hard but its pretty limited. I've also used R, which has a quantmod module which is pretty kickass to simplify some of the data retrieval and manipulation.

However I was wondering whether any systems, possibly web-based exist that have data objects for securities and equities and prices that already exist that I can query with SQL

Can I put a query like that into a Bloomberg terminal, or indeed is it possible to contrive something in the DDE to output a result for that question?

Many Thanks,

T

 

[doug reich]

You can use the EQS function to do that in Bloomberg.

There are other products that let you backtest that type of strategy. Basically, you need access to historical fundamental and pricing data; there is a nontrivial problem that either you or they have to deal with called survivorship bias. For all that, the price tag is quite hefty.

 

[eheiorjgeio]

You can use the EQS function to do that in Bloomberg.

There are other products that let you backtest that type of strategy. Basically, you need access to historical fundamental and pricing data; there is a nontrivial problem that either you or they have to deal with called survivorship bias. For all that, the price tag is quite hefty.

Ah, I can see how that query would miss some 40% decliners because they no longer exist!

but I guess I am looking to run queries on some systems "organised" historical database, and preferentially run the queries on the server-side, rather than download the datasets to my box and run them here.
of indeed if it was possible to have a tool that automatically retrieved the datasets referenced by the queries. it looks like things like AmiBroker or MetaTtrader have systems to manage the historical data, but they are not really what I am looking for.