What is the best way to create a backtesting universe of stocks with the python API?

charles.malafosse

Hello.

I'm trying to use the Eikon python API to download a universe of stocks historically.

For each end of month since 1999, I want to get stocks with market cap greater than USD500m in the US. I used the screener to come up with this formula in excel. Is this correct? Is the historical market cap correct to get companies passing the market cap criteria as of that day? Do I have to use active and inactive?

=TR("SCREEN(U(IN(Equity(active or inactive,public,primary))/*UNV:Public*/), TR.CompanyMarketCap(SDate=2019-01-31)>=500000000, IN(TR.ExchangeCountryCode,""BM"",""CA"",""GL"",""US""), CURN=USD)","TR.CommonName;TR.CompanyMarketCap(SDate=2019-0"&"1-31);TR.ExchangeCountry","curn=USD RH=In CH=Fd SORTA=TR.ExchangeCountry")

What would be the best way to do that in python for each month end? Do you have any examples? That would be very useful.

Thanks. Charles

Alex Putkov.1

For an authoritative answer I would suggest reaching out to Refinitiv Helpdesk, which you can do by either calling the Helpdesk number in your country or by using Contact Us capability in your Eikon application. This forum is intended for software developers using Eikon Data APIs, and the moderators on this forum do not have deep content expertise in every type of content available through Eikon. Refinitiv Helpdesk on the other hand will either have that expertise ready available or can reach out to content experts for the specific type of content you're interested in.
When contacting the Helpdesk ask for help with modeling the construction of your backtesting universe in Excel. If it's possible to do in Excel, it's quite easy to replicate using Eikon Data API. If it's not possible in Excel, it's not possible through the API either.

doina

From my experience, setting up backtest universes with Eikon data is nearly impossible - there is no data in most TR fields for delisted companies, and the Screener returns the active/inactive status as of today, not as seen on the date.

You are then at the mercy of survivorship bias.

charles.malafosse

Thank you Doina. But if stocks have data at a certain date, we can assume they were active right? Therefore we need to include active and inactive in an historical screening?

doina

https://community.developers.refinitiv.com/discussion/comment/39152#Comment_39152

I will also wait for an official answer on this, but try to check if any of the screens you use returns delisted companies, such as AAAA.OQ^K07 or ABAX.OQ^H18, then see if you find any TR fields for them, even in the appropriate time ranges.

charles.malafosse

https://community.developers.refinitiv.com/discussion/comment/39172#Comment_39172

Thank you Alex. I have asked Refinitiv. Even including inactive stocks, I noticed I do not get all the stocks from a certain date.