Class FundamentalsHistory

java.lang.Object

com.quantfinlib.alpha.FundamentalsHistory

public final class FundamentalsHistory
extends Object

Point-in-time fundamentals: every record is keyed by the time it became public, and asOf(String, long) returns only what was published by then.

A fundamentals snapshot taken today and used to score history is look-ahead: today's P/E is today's price over trailing earnings, so "cheap" in the snapshot means "fell over the sample" and a value backtest on it measures sample-path reversal. The fix is the publication date. A filing for the quarter ending periodEnd is not usable until it is released, typically 30 to 90 days later in US equities (the SEC 10-Q deadline is 40 to 45 days after quarter end, 10-K 60 to 90 days); research convention is to assume a conservative fixed lag when the true release date is unknown (Fama and French 1992 use a six-month lag on fiscal year-end accounting data).

Ratio fields (peRatio, pbRatio) are taken as recorded, that is, at the price on the record's own date. Factors.value() prefers eps / close(t) for the earnings yield when eps is present, so the price side updates every bar.

Timestamps use the same epoch units as the BarSeries panel. Not thread-safe while being filled; safe to share once filled.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	FundamentalsHistory.Entry	One published record.

Constructor Summary

Constructors

Constructor	Description
FundamentalsHistory()	Creates an instance; the explicit form of the default constructor.

Method Summary

Modifier and Type	Method	Description
FundamentalsHistory	add(String symbol, long periodEnd, long publishedAt, Fundamentals fundamentals)	Adds a record with its actual publication time.
FundamentalsHistory	addWithLag(String symbol, long periodEnd, long reportingLag, Fundamentals fundamentals)	Adds a record whose release date is unknown, assuming it became public reportingLag after periodEnd.
Fundamentals	asOf(String symbol, long timestamp)	The latest record published at or before timestamp, or null when nothing about the symbol was public yet.
List<FundamentalsHistory.Entry>	entries(String symbol)	All records for a symbol in publication order (unmodifiable).

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

FundamentalsHistory

public FundamentalsHistory()

Creates an instance; the explicit form of the default constructor.

Method Details

add

public FundamentalsHistory add(String symbol,
 long periodEnd,
 long publishedAt,
 Fundamentals fundamentals)

Adds a record with its actual publication time.

Parameters:

periodEnd - end of the fiscal period the record describes

publishedAt - when the record became public (>= periodEnd)

addWithLag

public FundamentalsHistory addWithLag(String symbol,
 long periodEnd,
 long reportingLag,
 Fundamentals fundamentals)

Adds a record whose release date is unknown, assuming it became public reportingLag after periodEnd.

asOf

public Fundamentals asOf(String symbol,
 long timestamp)

The latest record published at or before timestamp, or null when nothing about the symbol was public yet.

entries

public List<FundamentalsHistory.Entry> entries(String symbol)

All records for a symbol in publication order (unmodifiable).