Traders' Roundtable

I trade a purely mechanical trend following system based on Equities price / volume data. I like the idea of incorporating fundamental information (yield, P/E ratio, price:book etc) in my equities systems but I have not found any sources for the historical fundamental information required to back test such a strategy.

Does anyone know of a data provider or platform which allows backtesting using both price / volume data and fundamental data?

both S&P and Value Line have all the data going back decades.
but make sure you pick one and stick with them, they define book value differently and p/e ratios, yields and price can be different depending on how they handle one time payments, splits and one time charges.
both have available screening on the websites but no back testing, but the data can be downloaded into excel for other programs to backtest.
usually if you are using tradestation or a broker like fidelity you have access to all the data from S&P.

Thanks for that

Try also:

* the AAII and their computerized investing data; it lacks on the technicals but has a wealth of fundamental data.

* Keelix.com uses AAII data going back 11 years (in different evaluation intervals) for fundamental testing

* the Motley Fool has a mechanical investing forum, and their members maintain some sites where you can mine fundamental information from the past. I believe they use either Value Line or AAII data for their engines.

* Investor's Business Daily and/or Zach's may have some historical databases.

* If you've got the big bucks, there's always Compustat ...

I have found http://www.stockfetcher.com/ui2/index.php good and well priced.