Backtesting and Analyst Revisions

Research
1

I have a screen that looks at TotRevisions4W - I see that this analyst revision data is updated in the compustat db on the weekends. When performing a backtest, however, does the same weekend database update rule apply? For example, if I am running the backtest weekly on a Friday, will the backtest be aware of analyst revisions that occurred that week, which in reality would not be known if I were running a screen on that Friday (this information wouldn’t be available to the screener until the following monday).

Thanks,
Paul

2

Edit. I’m not sure of the question. The Friday information for the factor will be the same as the previous Monday of that week for backtests screens ports and sims.

3

That answers my question. The backtest acts such that Monday’s view of analyst recommendations is the same as Friday’s view, even if an analyst upgraded the stock on that Tuesday. This matches my expectations so there isn’t a discrepancy between the backtest and actually running the screen back on those day.

Thanks!