1What markets does Equities Lab cover?
We cover all US Equities, and ADR’s traded on US exchanges, or on the US OTC markets. We don’t have ETF’s right now, though that’s on our roadmap.
2Are backtest returns calculated with dividends reinvested?
Yes, dividends are included
3Does Equities Lab support another country's equity market if premium data is purchased from Quandl?
You could pull any given sequence from quandl, but screening on those securities wouldn’t work.
4What is your backtest methodology?
We use a Morningstar US Equity dataset that contains delisted and currently traded stocks, and their fundamentals. The user uses a rebalance period (default is one quarter), and the simulation buys all the stocks that match equally weighted (unless configured to do otherwise). Each day until the next rebalance period, the portfolio value is updated to reflect changes in price, stocks that no longer trade are delisted, and removed from the portfolio (if the stock looks like it went bust, via a configurable heuristic, it is assumed to have lost a further 99% of its value). Values of the stocks are then increased by any dividends that have matched the ex-date (as if they were reinvested), and the next day starts. This continues until the rebalance period, at which point the all non matching stocks are sold, and new ones are bought. All weights are also set to be equal weight (or whatever the weight strategy is configured to be). This continues until the end of the simulation, with all trades being logged so the user can see what was bought and sold, examine relevant variables, charts, etc.
5When lines are combined with and, which line is evaluated first, and does it reduces the evaluation of other lines to stocks found true to optimize performance?
The first item is evaluated first, and it is generally worthwhile to put fast terms first, as we TRY to do such optimizations.
6Where can I find Macro data?
Anything found in Quandl.com can be used. Just copy the permalink into your clipboard, and paste it in, or just type in the whole permalink URL.
7Are there existing fields for Alpha and Beta?
We have both alphas and betas for a number of timer periods. Furthermore, you can change the benchmark, the risk free rate, the standard deviation calculation, etc. within those fields. To access, simply search for alpha or beta within the explorer