Id like to perform my own backtests of screening ideas. Where can I find the data?
Comprehensive and reliable data for backtesting is difficult to come by. Most Workshop screens were originally tested with back issues of Value Line for DOS and Value Line for Windows. These products were available beginning in 1986, which is as far as most backtests can go. Value Line has sold old monthly disks and CDs by special request to a few of the Workshop participants. Early in 1999 a product called Q-Investor was available for sale. It was specifically designed for backtesting – a good concept with somewhat questionable data quality. The company that offered it has since gone out of business. Compustat is a comprehensive commercial database available for sale. It is mostly offered to professional investment managers and carries a hefty price. CRSP – the Center for the Research of Security Prices, is a non-profit organization supporting academic research at business schools. Faculty and students at business schools can gain access to the CRSP database for academically related w
