Developing a weight system for fundamental variables

I was wondering if the WSO community could help me out? I have an excel doc containing some companies and some screen metrics(P/E, Opt. margin, P/B, PEG, debt/equity, "plus more") I got from finviz that I would like to assign a weight to depending on how much of an impact the metrics has on price. I was thinking about doing a regression model and my dependent variable would be the prices of the stock and my independent(s) would be the metrics of my choice. However I would need to get each metric for each company for some years back and that would be a lot of data not to mention I wouldn't know where to get that data for free or what site I could mine date from in a timely manor, also this is something I want to be able to do this weekly by the push of a button through my application. I than thought about using the industry avg for these metric and trying to build a weighted system around that but that would only take me so far empirically. I would like to avoid assigning weights based off of a "feeling". Honestly I would like to avoid the data mining if possible

Thanks.

 
Flake:
LOL

Flake,

What is so funny man?

Clever got me this far Then tricky got me in Eye on what i'm after I don't need another friend Smile and drop the cliche 'Till you think I'm listening I take just what I came for Then I'm out the door again
 

I don't think you can really justifiably weight in favour of any particular set of ratios over another.

If you want to go the data-mining route, you can set up an Excel sheet to pull the info off of Bloomberg for you. Not sure about the exact formula, but it would probably be something like =BDP("XXX US EQUITY", "SALES REV TURN", "12/31/05"); you can replace SALES REV TURN with PX LAST or whatever other values you want to pull out.

 
Angus Macgyver:
I don't think you can really justifiably weight in favour of any particular set of ratios over another.

If you want to go the data-mining route, you can set up an Excel sheet to pull the info off of Bloomberg for you. Not sure about the exact formula, but it would probably be something like =BDP("XXX US EQUITY", "SALES REV TURN", "12/31/05"); you can replace SALES REV TURN with PX LAST or whatever other values you want to pull out.

Now would this work if I wanted to go say 15-20 years back for each of my metrics for each of the companies that were returned through the screener? You know how you can go to yahoofinance and pull up the closing price for any stock for some time back well I want to be able to do that for my variables(P/B, LT D/E, Net marg, etc). Because without the bloomberg terminal(which I am not looking to use) I didn't think bloomberg the site would give you that type of info for free. I could be wrong.

Clever got me this far Then tricky got me in Eye on what i'm after I don't need another friend Smile and drop the cliche 'Till you think I'm listening I take just what I came for Then I'm out the door again
 
Best Response
oracle:
Angus Macgyver:
I don't think you can really justifiably weight in favour of any particular set of ratios over another.

If you want to go the data-mining route, you can set up an Excel sheet to pull the info off of Bloomberg for you. Not sure about the exact formula, but it would probably be something like =BDP("XXX US EQUITY", "SALES REV TURN", "12/31/05"); you can replace SALES REV TURN with PX LAST or whatever other values you want to pull out.

Now would this work if I wanted to go say 15-20 years back for each of my metrics for each of the companies that were returned through the screener? You know how you can go to yahoofinance and pull up the closing price for any stock for some time back well I want to be able to do that for my variables(P/B, LT D/E, Net marg, etc). Because without the bloomberg terminal(which I am not looking to use) I didn't think bloomberg the site would give you that type of info for free. I could be wrong.

Oh. Nope, my example above was for use with a Bloomberg terminal.

Yeah... I'm not sure Yahoo Finance has that kinda information stretching so far back.

 
NewGuy:
You're doing it wrong brother

What do you think?

Clever got me this far Then tricky got me in Eye on what i'm after I don't need another friend Smile and drop the cliche 'Till you think I'm listening I take just what I came for Then I'm out the door again
 

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Clever got me this far Then tricky got me in Eye on what i'm after I don't need another friend Smile and drop the cliche 'Till you think I'm listening I take just what I came for Then I'm out the door again

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