Backtestable Properties

Every property available for backtesting, organized by data source with units of measurement.

Price Data

Works for stocks, crypto, forex, commodities, indexes (AAPL, BTCUSD, EURUSD, GCUSD, ^GSPC).

Property	Unit
`date`	`YYYY-MM-DD`
`open`	`$`
`high`	`$`
`low`	`$`
`close`	`$`
`adjClose`	`$`
`volume`	`shares`
`change`	`$`
`changePercent`	`%`
`vwap`	`$`

Income Statement

income-statement/{symbol} — period: annual | quarter

Property	Unit
`revenue`	`$`
`costOfRevenue`	`$`
`grossProfit`	`$`
`grossProfitRatio`	`ratio (0-1)`
`researchAndDevelopmentExpenses`	`$`
`generalAndAdministrativeExpenses`	`$`
`sellingAndMarketingExpenses`	`$`
`sellingGeneralAndAdministrativeExpenses`	`$`
`otherExpenses`	`$`
`operatingExpenses`	`$`
`costAndExpenses`	`$`
`interestIncome`	`$`
`interestExpense`	`$`
`depreciationAndAmortization`	`$`
`ebitda`	`$`
`ebitdaRatio`	`ratio (0-1)`
`operatingIncome`	`$`
`operatingIncomeRatio`	`ratio (0-1)`
`totalOtherIncomeExpensesNet`	`$`
`incomeBeforeTax`	`$`
`incomeBeforeTaxRatio`	`ratio (0-1)`
`incomeTaxExpense`	`$`
`netIncome`	`$`
`netIncomeRatio`	`ratio (0-1)`
`eps`	`$/share`
`epsDiluted`	`$/share`
`weightedAverageShsOut`	`shares`
`weightedAverageShsOutDil`	`shares`

Balance Sheet

balance-sheet/{symbol} — period: annual | quarter

Property	Unit
`cashAndCashEquivalents`	`$`
`shortTermInvestments`	`$`
`cashAndShortTermInvestments`	`$`
`netReceivables`	`$`
`inventory`	`$`
`otherCurrentAssets`	`$`
`totalCurrentAssets`	`$`
`propertyPlantEquipmentNet`	`$`
`goodwill`	`$`
`intangibleAssets`	`$`
`goodwillAndIntangibleAssets`	`$`
`longTermInvestments`	`$`
`taxAssets`	`$`
`otherNonCurrentAssets`	`$`
`totalNonCurrentAssets`	`$`
`otherAssets`	`$`
`totalAssets`	`$`
`accountPayables`	`$`
`shortTermDebt`	`$`
`taxPayables`	`$`
`deferredRevenue`	`$`
`otherCurrentLiabilities`	`$`
`totalCurrentLiabilities`	`$`
`longTermDebt`	`$`
`deferredRevenueNonCurrent`	`$`
`deferredTaxLiabilitiesNonCurrent`	`$`
`otherNonCurrentLiabilities`	`$`
`totalNonCurrentLiabilities`	`$`
`otherLiabilities`	`$`
`capitalLeaseObligations`	`$`
`totalLiabilities`	`$`
`preferredStock`	`$`
`commonStock`	`$`
`retainedEarnings`	`$`
`accumulatedOtherComprehensiveIncomeLoss`	`$`
`othertotalStockholdersEquity`	`$`
`totalStockholdersEquity`	`$`
`totalEquity`	`$`
`totalLiabilitiesAndStockholdersEquity`	`$`
`minorityInterest`	`$`
`totalLiabilitiesAndTotalEquity`	`$`
`totalInvestments`	`$`
`totalDebt`	`$`
`netDebt`	`$`

Cash Flow

cash-flow/{symbol} — period: annual | quarter

Property	Unit
`netIncome`	`$`
`depreciationAndAmortization`	`$`
`deferredIncomeTax`	`$`
`stockBasedCompensation`	`$`
`changeInWorkingCapital`	`$`
`accountsReceivables`	`$`
`inventory`	`$`
`accountsPayables`	`$`
`otherWorkingCapital`	`$`
`otherNonCashItems`	`$`
`netCashProvidedByOperatingActivities`	`$`
`investmentsInPropertyPlantAndEquipment`	`$`
`acquisitionsNet`	`$`
`purchasesOfInvestments`	`$`
`salesMaturitiesOfInvestments`	`$`
`otherInvestingActivities`	`$`
`netCashUsedForInvestingActivities`	`$`
`debtRepayment`	`$`
`commonStockIssued`	`$`
`commonStockRepurchased`	`$`
`dividendsPaid`	`$`
`otherFinancingActivities`	`$`
`netCashUsedProvidedByFinancingActivities`	`$`
`effectOfForexChangesOnCash`	`$`
`netChangeInCash`	`$`
`cashAtEndOfPeriod`	`$`
`cashAtBeginningOfPeriod`	`$`
`operatingCashFlow`	`$`
`capitalExpenditure`	`$`
`freeCashFlow`	`$`

Key Metrics

key-metrics/{symbol} — period: annual | quarter

Property	Unit
`revenuePerShare`	`$/share`
`netIncomePerShare`	`$/share`
`operatingCashFlowPerShare`	`$/share`
`freeCashFlowPerShare`	`$/share`
`cashPerShare`	`$/share`
`bookValuePerShare`	`$/share`
`tangibleBookValuePerShare`	`$/share`
`shareholdersEquityPerShare`	`$/share`
`interestDebtPerShare`	`$/share`
`marketCap`	`$`
`enterpriseValue`	`$`
`peRatio`	`multiple (x)`
`priceToSalesRatio`	`multiple (x)`
`pocfRatio`	`multiple (x)`
`pfcfRatio`	`multiple (x)`
`pbRatio`	`multiple (x)`
`ptbRatio`	`multiple (x)`
`evToSales`	`multiple (x)`
`enterpriseValueOverEBITDA`	`multiple (x)`
`evToOperatingCashFlow`	`multiple (x)`
`evToFreeCashFlow`	`multiple (x)`
`earningsYield`	`%`
`freeCashFlowYield`	`%`
`debtToEquity`	`ratio`
`debtToAssets`	`ratio`
`netDebtToEBITDA`	`multiple (x)`
`currentRatio`	`ratio`
`interestCoverage`	`multiple (x)`
`incomeQuality`	`ratio`
`dividendYield`	`%`
`payoutRatio`	`ratio (0-1)`
`salesGeneralAndAdministrativeToRevenue`	`ratio (0-1)`
`researchAndDevelopmentToRevenue`	`ratio (0-1)`
`intangiblesToTotalAssets`	`ratio (0-1)`
`capexToOperatingCashFlow`	`ratio (0-1)`
`capexToRevenue`	`ratio (0-1)`
`capexToDepreciation`	`ratio`
`stockBasedCompensationToRevenue`	`ratio (0-1)`
`grahamNumber`	`$/share`
`roic`	`%`
`returnOnTangibleAssets`	`%`
`grahamNetNet`	`$/share`
`workingCapital`	`$`
`tangibleAssetValue`	`$`
`netCurrentAssetValue`	`$`
`investedCapital`	`$`
`averageReceivables`	`$`
`averagePayables`	`$`
`averageInventory`	`$`
`daysSalesOutstanding`	`days`
`daysPayablesOutstanding`	`days`
`daysOfInventoryOnHand`	`days`
`receivablesTurnover`	`multiple (x)`
`payablesTurnover`	`multiple (x)`
`inventoryTurnover`	`multiple (x)`
`roe`	`%`
`capexPerShare`	`$/share`

Ratios

ratios/{symbol} — period: annual | quarter

Property	Unit
`currentRatio`	`ratio`
`quickRatio`	`ratio`
`cashRatio`	`ratio`
`daysOfSalesOutstanding`	`days`
`daysOfInventoryOutstanding`	`days`
`operatingCycle`	`days`
`daysOfPayablesOutstanding`	`days`
`cashConversionCycle`	`days`
`grossProfitMargin`	`ratio (0-1)`
`operatingProfitMargin`	`ratio (0-1)`
`pretaxProfitMargin`	`ratio (0-1)`
`netProfitMargin`	`ratio (0-1)`
`effectiveTaxRate`	`ratio (0-1)`
`returnOnAssets`	`ratio (0-1)`
`returnOnEquity`	`ratio (0-1)`
`returnOnCapitalEmployed`	`ratio (0-1)`
`debtRatio`	`ratio (0-1)`
`debtEquityRatio`	`ratio`
`interestCoverage`	`multiple (x)`
`receivablesTurnover`	`multiple (x)`
`payablesTurnover`	`multiple (x)`
`inventoryTurnover`	`multiple (x)`
`fixedAssetTurnover`	`multiple (x)`
`assetTurnover`	`multiple (x)`
`operatingCashFlowPerShare`	`$/share`
`freeCashFlowPerShare`	`$/share`
`cashPerShare`	`$/share`
`dividendPayoutRatio`	`ratio (0-1)`
`priceBookValueRatio`	`multiple (x)`
`priceToSalesRatio`	`multiple (x)`
`priceEarningsRatio`	`multiple (x)`
`priceToFreeCashFlowsRatio`	`multiple (x)`
`dividendYield`	`ratio (0-1)`
`enterpriseValueMultiple`	`multiple (x)`
`priceFairValue`	`ratio`

Economic Indicators

economic-indicators/{name} → [{date, value}]

Name	Unit
`GDP`	`$ (billions)`
`realGDP`	`$ (billions)`
`nominalPotentialGDP`	`$ (billions)`
`realGDPPerCapita`	`$/person`
`federalFundsRate`	`%`
`CPI`	`index`
`inflationRate`	`%`
`retailSales`	`$ (millions)`
`consumerSentiment`	`index`
`durableGoods`	`$ (millions)`
`unemploymentRate`	`%`
`totalNonfarmPayroll`	`thousands of persons`
`initialClaims`	`claims`
`industrialProductionTotalIndex`	`index (2017=100)`
`smoothedUSRecessionProbabilities`	`% (0-100)`
`30YearFixedRateMortgageAverage`	`%`
`15YearFixedRateMortgageAverage`	`%`

Treasury Rates

treasury-rates → [{date, month1, month2, ...}]

Property	Unit
`month1, month2, month3, month6`	`% (yield)`
`year1, year2, year3, year5, year7, year10, year20, year30`	`% (yield)`

Earnings

earnings-company/{symbol}

Property	Unit
`date`	`YYYY-MM-DD`
`epsActual`	`$/share`
`epsEstimated`	`$/share`
`revenueActual`	`$`
`revenueEstimated`	`$`

Dividends

dividends-company/{symbol}

Property	Unit
`date`	`YYYY-MM-DD`
`dividend`	`$/share`
`adjDividend`	`$/share`
`yield`	`%`
`paymentDate`	`YYYY-MM-DD`

Splits

splits-company/{symbol}

Property	Unit
`date`	`YYYY-MM-DD`
`numerator`	`integer`
`denominator`	`integer`

Technical Indicators

Computed via the backtesting engine.

Indicator	Unit
`RSI`	`0-100`
`SMA / EMA`	`$ (same as price)`
`MACD line, signal`	`$`
`MACD histogram`	`$`
`Bollinger upper/middle/lower`	`$`
`Bollinger proximity`	`%`
`ATR`	`$`
`Stochastic %K, %D`	`0-100`
`Volume vs average`	`ratio or %`

Derived Metrics

Calculated by combining properties from the endpoints above. Organized by category below.

Profitability

Metric	Formula	Unit
`Gross Margin`	`grossProfit / revenue`	`%`
`Operating Margin`	`operatingIncome / revenue`	`%`
`Net Margin`	`netIncome / revenue`	`%`
`EBITDA Margin`	`ebitda / revenue`	`%`
`Free Cash Flow Margin`	`freeCashFlow / revenue`	`%`
`ROE`	`netIncome / totalStockholdersEquity`	`%`
`ROA`	`netIncome / totalAssets`	`%`
`ROIC`	`(netIncome - dividendsPaid) / (totalDebt + totalStockholdersEquity)`	`%`
`ROCE`	`operatingIncome / (totalAssets - totalCurrentLiabilities)`	`%`

Valuation

Metric	Formula	Unit
`P/E Ratio`	`price / epsDiluted`	`multiple (x)`
`Forward P/E`	`price / estimatedEpsAvg`	`multiple (x)`
`PEG Ratio`	`peRatio / (growthEPS × 100)`	`multiple (x)`
`P/S Ratio`	`marketCap / revenue`	`multiple (x)`
`P/B Ratio`	`price / bookValuePerShare`	`multiple (x)`
`P/FCF Ratio`	`marketCap / freeCashFlow`	`multiple (x)`
`EV/Revenue`	`enterpriseValue / revenue`	`multiple (x)`
`EV/EBITDA`	`enterpriseValue / ebitda`	`multiple (x)`
`EV/FCF`	`enterpriseValue / freeCashFlow`	`multiple (x)`
`Earnings Yield`	`epsDiluted / price`	`%`
`FCF Yield`	`freeCashFlowPerShare / price`	`%`
`Dividend Yield`	`dividend / price`	`%`

Leverage & Solvency

Metric	Formula	Unit
`Debt-to-Equity`	`totalDebt / totalStockholdersEquity`	`ratio`
`Debt-to-Assets`	`totalDebt / totalAssets`	`ratio`
`Debt-to-EBITDA`	`totalDebt / ebitda`	`multiple (x)`
`Net Debt-to-EBITDA`	`netDebt / ebitda`	`multiple (x)`
`Interest Coverage`	`operatingIncome / interestExpense`	`multiple (x)`
`Equity Multiplier`	`totalAssets / totalStockholdersEquity`	`multiple (x)`

Liquidity

Metric	Formula	Unit
`Current Ratio`	`totalCurrentAssets / totalCurrentLiabilities`	`ratio`
`Quick Ratio`	`(cash + shortTermInvestments + netReceivables) / totalCurrentLiabilities`	`ratio`
`Cash Ratio`	`cashAndCashEquivalents / totalCurrentLiabilities`	`ratio`
`Working Capital`	`totalCurrentAssets - totalCurrentLiabilities`	`$`

Efficiency

Metric	Formula	Unit
`Asset Turnover`	`revenue / totalAssets`	`multiple (x)`
`Inventory Turnover`	`costOfRevenue / inventory`	`multiple (x)`
`Receivables Turnover`	`revenue / netReceivables`	`multiple (x)`
`Days Sales Outstanding`	`365 / receivablesTurnover`	`days`
`Days Inventory Outstanding`	`365 / inventoryTurnover`	`days`
`Cash Conversion Cycle`	`DSO + DIO - DPO`	`days`

Growth (YoY)

Metric	Formula	Unit
`Revenue Growth`	`(revenue_current - revenue_prior) / revenue_prior`	`%`
`Earnings Growth`	`(netIncome_current - netIncome_prior) / netIncome_prior`	`%`
`EPS Growth`	`(eps_current - eps_prior) / eps_prior`	`%`
`EBITDA Growth`	`(ebitda_current - ebitda_prior) / ebitda_prior`	`%`
`FCF Growth`	`(freeCashFlow_current - freeCashFlow_prior) / freeCashFlow_prior`	`%`

Cash Flow Quality

Metric	Formula	Unit
`Cash Flow to Net Income`	`operatingCashFlow / netIncome`	`ratio`
`FCF to Net Income`	`freeCashFlow / netIncome`	`ratio`
`Capex to Revenue`	`capitalExpenditure / revenue`	`ratio (0-1)`
`FCF Conversion`	`freeCashFlow / ebitda`	`ratio (0-1)`