{"id":1290,"date":"2024-09-11T13:00:00","date_gmt":"2024-09-11T13:00:00","guid":{"rendered":"https:\/\/www.tejwin.com\/en\/insights\/stock-price-and-quarterly-reports\/"},"modified":"2026-10-06T08:40:55","modified_gmt":"2026-10-06T08:40:55","slug":"stock-price-and-quarterly-reports","status":"publish","type":"insight","link":"https:\/\/www.tejwin.com\/en\/insights\/stock-price-and-quarterly-reports\/","title":{"rendered":"Revenue Numbers Don&#8217;t Lie: How to Gain Insight into Stock Price Movements from Quarterly Reports"},"content":{"rendered":"<figure class=\"wp-block-image size-full caption-align-center\"><img loading=\"lazy\" decoding=\"async\" alt=\"Quarterly Reports\" class=\"wp-image-27598\" height=\"816\" src=\"https:\/\/www.tejwin.com\/en\/wp-content\/uploads\/2026\/08\/seannchen_Generating_a_picture_mainly_involves_observing_a_fina_bc1cc3a5-2597-4783-9e43-ff8838b022cb.png\" width=\"1456\"\/><figcaption class=\"wp-element-caption\">Created By Midjourney<\/figcaption><\/figure>\n<h2 class=\"wp-block-heading\">Highlight<\/h2>\n<ul class=\"wp-block-list\">\n<li>Article Difficulty\uff1a\u2605\u2606\u2606\u2606\u2606<\/li>\n<li>Obtain stock selection from quarterly reports of listed companies.<\/li>\n<li>Gain Insight into Stock Price Movements from Quarterly Reports<\/li>\n<li>Use TQuant Lab for backtesting to observe the relationship between this stock selection strategy and stock prices.<\/li>\n<\/ul>\n<h2 class=\"wp-block-heading\">Preface<\/h2>\n<p class=\"wp-block-paragraph\">Have you ever thought of revenue as a signal? The revenue figures in financial reports are not only a direct reflection of a company\u2019s operational status but also a potential key to predicting stock price fluctuations. This article will use quarterly reports to select stocks, screen for the top 20% of companies listed on the Taiwan Stock Exchange based on their quarterly revenue, and engage in bullish trading strategies. Using this revenue-based backtesting method, we can capture potential strong stocks in the market and validate the effectiveness of this strategy through accurate data. This approach is simple and provides investors with a stable and systematic basis for stock selection, uncovering the hidden patterns behind stock price movements.<\/p>\n<div class=\"wp-block-buttons is-content-justification-center is-layout-flex wp-container-core-buttons-is-layout-3e41869c wp-block-buttons-is-layout-flex\">\n<div class=\"wp-block-button has-custom-width wp-block-button__width-100 has-custom-font-size\" style=\"font-size:22px\"><a class=\"wp-block-button__link has-background wp-element-button\" href=\"\/en\/databank-solution\/financial-data\/\" style=\"border-radius:13px;background:linear-gradient(135deg,rgb(242,218,123) 0%,rgb(69,177,141) 53%,rgb(51,106,181) 100%)\"><strong>Learn More About the Financial Database by TEJ!<br \/>Construct Trading Strategies With Market Data. <\/strong><\/a><\/div>\n<\/div>\n<h2 class=\"wp-block-heading\">Editing Environment and Module Requirements<\/h2>\n<p class=\"wp-block-paragraph\">This article uses MacOS and VS code as the editor.<\/p>\n<h2 class=\"wp-block-heading\">Data Import<\/h2>\n<p class=\"wp-block-paragraph\">Our quarterly reports strategy is to select all listed stocks in Taiwan. However, since some companies do not disclose quarterly revenue data, we first obtain monthly revenue figures and then process them into quarterly revenue data. As our indicator is quarterly revenue, we can get the data a maximum of four times yearly. To ensure that we have a sufficient sample size to evaluate the feasibility of using quarterly revenue as a stock selection indicator, we have set the backtesting period from 2010 to 2023. This allows us to cover a sufficient period, providing more representative data for quarterly reports analysis.<\/p>\n<figure class=\"wp-block-image aligncenter size-full\"><img loading=\"lazy\" decoding=\"async\" alt=\"Quarterly Reports\" class=\"wp-image-28549\" height=\"586\" src=\"https:\/\/www.tejwin.com\/en\/wp-content\/uploads\/2026\/08\/CleanShot-2024-10-01-at-17.04.07402x.png\" width=\"572\"\/><figcaption class=\"wp-element-caption\">Retrieve monthly revenue data using the TEJ Tool API<\/figcaption><\/figure>\n<h2 class=\"wp-block-heading\">Create a backtesting function for stock selection based on quarterly reports<\/h2>\n<h3 class=\"wp-block-heading\">Creating the Pipeline Function<\/h3>\n<p class=\"wp-block-paragraph\"><code>Pipeline()<\/code>\u00a0offers users the ability to quickly process quantitative indicators and price-volume data for multiple securities. In this case, we use it to handle the following tasks:<\/p>\n<ul class=\"wp-block-list\">\n<li>Import daily closing prices.<\/li>\n<li>Import the converted quarterly revenue data and extract each quarter\u2019s top and bottom 20%.<\/li>\n<li>The top 20% are marked as True in the \u2018longs\u2019 column, and the bottom 20% are marked as True in the \u2018shorts\u2019 column.<\/li>\n<\/ul>\n<figure class=\"wp-block-image aligncenter size-full is-resized caption-align-center\"><img loading=\"lazy\" decoding=\"async\" alt=\"Quarterly Reports\" class=\"wp-image-28552\" height=\"604\" src=\"https:\/\/www.tejwin.com\/en\/wp-content\/uploads\/2026\/08\/CleanShot-2024-10-01-at-17.07.46402x.png\" style=\"width:840px;height:auto\" width=\"1240\"\/><figcaption class=\"wp-element-caption\">Pipeline output result<\/figcaption><\/figure>\n<h3 class=\"wp-block-heading\">Create trading dates<\/h3>\n<p class=\"wp-block-paragraph\">Based on the CPA-certified statements and the company\u2019s self-reported figures, as well as the stock exchange requirements and the varying quarterly report announcement times across different industries, the balance sheet dates are set at the end of March, June, September, and December each year.<\/p>\n<figure class=\"wp-block-image aligncenter size-full\"><img loading=\"lazy\" decoding=\"async\" alt=\"Quarterly Reports\" class=\"wp-image-28554\" height=\"440\" src=\"https:\/\/www.tejwin.com\/en\/wp-content\/uploads\/2026\/08\/CleanShot-2024-10-01-at-17.08.20402x.png\" width=\"220\"\/><figcaption class=\"wp-element-caption\">End of March, June, September, and December<\/figcaption><\/figure>\n<h3 class=\"wp-block-heading\">Conduct backtesting for stock selection based on quarterly reports<\/h3>\n<p class=\"wp-block-paragraph\"><strong><em>TargetPercentPipeAlgo<\/em><\/strong> will perform long positions on stocks where the <code>'longs' <\/code>column is marked as True, which allows the necessary parameters to be set for backtesting. In this example, we put the following :<\/p>\n<ul class=\"wp-block-list\">\n<li>Start and end dates<\/li>\n<li>Initial capital<\/li>\n<li>Longs position trading day (previously set as mid-quarter for each season)<\/li>\n<li>Maximum leverage (i.e., the maximum amount of borrowed funds to use)<\/li>\n<li>Import the calculated Pipeline into the trading process<\/li>\n<li>Slippage cost<\/li>\n<li>Commission fees<\/li>\n<li>Since this article uses a custom dataset imported from data obtained via the TEJ Tool API, we must set the custom_loader parameter to ensure the program runs smoothly.<\/li>\n<\/ul>\n<pre class=\"wp-block-code\"><code>from zipline.algo.pipeline_algo import *\nalgo = TargetPercentPipeAlgo(\n                        start_session=start_dt, # Start time of the backtest\n                        end_session=end_dt, # End time of the backtest\n                        capital_base=1e7, # Initial capital set to 10 million        \n                        tradeday=tradeday, # Trading day parameter\n                        max_leverage=0.9, # Maximum leverage ratio of 0.9\n                        pipeline=make_pipeline, # Use the data of pipeline \n                        slippage_model=slippage.VolumeShareSlippage(volume_limit=0.15, price_impact=0.01), # Slippage model\n                        commission_model = commission.Custom_TW_Commission(min_trade_cost = 20, discount = 1.0, tax = 0.003), # Commission model for the Taiwan market\n                        custom_loader=custom_loader, # Custom data loader for loading specific data\n)<\/code><\/pre>\n<figure class=\"wp-block-image aligncenter size-large\"><img loading=\"lazy\" decoding=\"async\" alt=\"Quarterly Reports\" class=\"wp-image-28558\" height=\"453\" src=\"https:\/\/www.tejwin.com\/en\/wp-content\/uploads\/2026\/08\/CleanShot-2024-10-01-at-17.10.53402x-1.png\" width=\"1024\"\/><figcaption class=\"wp-element-caption\">Trading Details<\/figcaption><\/figure>\n<h2 class=\"wp-block-heading\">Performance Evaluation<\/h2>\n<p class=\"wp-block-paragraph\">To further understand the performance of this quarterly reports strategy, we compared the cumulative returns of the quarterly reports strategy with the cumulative return of the benchmark index and visualized the results as follows :<\/p>\n<figure class=\"wp-block-image size-full caption-align-center\"><img loading=\"lazy\" decoding=\"async\" alt=\"Quarterly Reports\" class=\"wp-image-28532\" height=\"985\" src=\"https:\/\/www.tejwin.com\/en\/wp-content\/uploads\/2026\/08\/E89EA2E5B995E693B7E58F96E795ABE99DA2-2024-10-01-160735.jpg\" width=\"1939\"\/><figcaption class=\"wp-element-caption\">Backtesting Performance Compared to Benchmark<\/figcaption><\/figure>\n<p class=\"wp-block-paragraph\">From the data shown above, it can be observed that the cumulative return of the quarterly report stock selection backtest reached 260.087%, while the annualized return was 9.843%. Over a 13-year backtesting period, this performance could be more outstanding. Although the maximum drawdown reached -28.299%, it is acceptable considering the 13-year backtesting period. Additionally, the annualized volatility was 13.817%, indicating that this is a relatively stable strategy.<\/p>\n<figure class=\"wp-block-image aligncenter size-large caption-align-center\"><img loading=\"lazy\" decoding=\"async\" alt=\"Quarterly Reports\" class=\"wp-image-28513\" height=\"313\" src=\"https:\/\/www.tejwin.com\/en\/wp-content\/uploads\/2026\/08\/image-531.png\" width=\"1024\"\/><figcaption class=\"wp-element-caption\">Longs and Shorts Holdings<\/figcaption><\/figure>\n<p class=\"wp-block-paragraph\">From this chart, since we are selecting the top 20% of all listed stocks in Taiwan each quarter, in practice, it\u2019s unlikely for an individual to manage that many stocks. The author suggests that for actual operations, it would be better to filter the stock pool further using other fundamental data, such as PE or BE ratios, narrowing it down to around ten stocks, which should be sufficient.<\/p>\n<h2 class=\"wp-block-heading\">Comparison of long positions only and long+short positions strategies<\/h2>\n<figure class=\"wp-block-image aligncenter size-full\"><img loading=\"lazy\" decoding=\"async\" alt=\"Quarterly Reports\" class=\"wp-image-28561\" height=\"1042\" src=\"https:\/\/www.tejwin.com\/en\/wp-content\/uploads\/2026\/08\/shortslongs_en-1.png\" width=\"1984\"\/><figcaption class=\"wp-element-caption\">Comparison chart of long positions only and long+short positions strategies<\/figcaption><\/figure>\n<p class=\"wp-block-paragraph\">The chart shows that the long-only strategy based on quarterly report stock selection significantly outperformed the long-short strategy in the long-term backtest. The former achieved steady growth in a bullish market, generating excess returns. At the same time, the latter had some short-term advantages in volatile markets but failed to outperform the benchmark over the long term. The author speculates that this may be due to the underperformance of short positions when the overall market was experiencing strong growth, leading to the long-short strategy\u2019s relatively weaker performance compared to the market in recent years.<\/p>\n<h2 class=\"wp-block-heading\">Conclusion<\/h2>\n<p class=\"wp-block-paragraph\">This quarterly report stock selection strategy is a special backtest because it relies on quarterly revenue information, which requires a relatively long time to show significant results. In a weak bear market, a long-short strategy can achieve higher profits; however, in a strong bull market, the long-only strategy has an advantage, delivering more stable returns. Nevertheless, as seen from the alpha value, there won\u2019t be much excess return. Although it continues to rise amidst market volatility, showing a steady upward trend with lower risk, it is a strategy that requires a longer time to yield results.<\/p>\n<p class=\"wp-block-paragraph\"><strong>Please note that the strategy and target discussed in this article are for reference only and do not constitute any recommendation for specific commodities or investments<\/strong>. In the future, we will also introduce using the TEJ database to construct various indicators and backtest their performance. Therefore, we welcome readers interested in various trading strategies to consider purchasing relevant solutions from\u00a0TQuant Lab. You can construct a trading strategy that suits your needs with our high-quality databases.<\/p>\n<div class=\"wp-block-buttons is-layout-flex wp-block-buttons-is-layout-flex\">\n<div class=\"wp-block-button has-custom-width wp-block-button__width-100 has-custom-font-size\" style=\"font-size:22px\"><a class=\"wp-block-button__link has-background wp-element-button\" href=\"\/en\/databank-solution\/market-data\/\" style=\"border-radius:16px;background:linear-gradient(135deg,rgb(160,209,216) 0%,rgb(51,145,181) 50%,rgb(50,95,191) 100%)\"><strong>Access to Comprehensive Retail Investors Data<\/strong><br \/><strong>Start Building Portfolios That Outperforms the Market Today!<\/strong><\/a><\/div>\n<\/div>\n<p class=\"has-text-align-center wp-block-paragraph\" style=\"font-size:32px\"><mark class=\"has-inline-color has-vivid-cyan-blue-color\" style=\"background-color:rgba(0, 0, 0, 0)\"><strong><em>\u201cTaiwan stock market data, TEJ collect it all.\u201d<\/em><\/strong><\/mark><\/p>\n<p class=\"wp-block-paragraph\">The characteristics of the Taiwan stock market differ from those of other European and American markets, and <mark class=\"has-inline-color has-black-color\" style=\"background-color:rgba(0, 0, 0, 0)\"><span class=\"ek-underline\" style=\"text-decoration: underline;\">the dynamics of retail investors are worth noting<\/span><\/mark>. Especially in the first quarter of 2024, with the <strong><mark class=\"has-inline-color\" style=\"background-color:rgba(0, 0, 0, 0);color:#c05d5d\">Taiwan Stock Exchange reaching a new high of 20,000 points<\/mark><\/strong> due to the rise in TSMC\u2019s stock price, global institutional investors are paying more attention to the performance of the Taiwan stock market.\u00a0<\/p>\n<p class=\"wp-block-paragraph\"><strong><mark class=\"has-inline-color\" style=\"background-color:rgba(0, 0, 0, 0);color:#0978b8\">Taiwan Economical Journal (TEJ)<\/mark><\/strong>, a financial database established in Taiwan for over 30 years, serves local financial institutions and academic institutions, and has long-term cooperation with internationally renowned data providers, providing high-quality financial data for five financial markets in Asia.\u00a0<\/p>\n<ul class=\"wp-block-list\">\n<li><strong><mark class=\"has-inline-color has-black-color\" style=\"background-color:#ebc766\">Complete Coverage<\/mark><\/strong>: Includes all listed companies on stock markets in Taiwan, China, Hong Kong, Japan, Korea, etc.\u00a0<\/li>\n<li><strong><mark class=\"has-inline-color\" style=\"background-color:#ebc766\">Comprehensive Analysis of Enterprises<\/mark><\/strong>: Operational aspects, financial aspects, securities market performance, ESG sustainability, etc.\u00a0<\/li>\n<li><strong><mark class=\"has-inline-color\" style=\"background-color:#ebc766\">High-Quality Database<\/mark><\/strong>: TEJ data is cleaned, checked, enhanced, and integrated to ensure it meets the information needs of financial and market analysis.\u00a0<\/li>\n<\/ul>\n<p class=\"wp-block-paragraph\">With TEJ\u2019s assistance, you can access relevant information about major stock markets in Asia, such as securities market, financials data, enterprise operations, board of directors, sustainability data, etc., providing investors with timely and high-quality content. Additionally, TEJ offers advisory services to help solve problems in theoretical practice and financial management!<\/p>\n<div class=\"wp-block-buttons is-content-justification-center is-layout-flex wp-container-core-buttons-is-layout-3e41869c wp-block-buttons-is-layout-flex\">\n<div class=\"wp-block-button has-custom-width wp-block-button__width-100 has-custom-font-size\" style=\"font-size:21px\"><a class=\"wp-block-button__link has-background has-text-align-center wp-element-button\" href=\"\/en\/contact\/\" style=\"border-radius:16px;background:linear-gradient(135deg,rgb(160,209,216) 0%,rgb(51,145,181) 50%,rgb(50,95,191) 100%)\"><strong>Want to Learn More About Our Databases?<br \/>Contact Us and Get the Free Trial!<\/strong><\/a><\/div>\n<\/div>\n<h2 class=\"wp-block-heading\">Extended Reading<\/h2>\n<ul class=\"wp-block-list\">\n<li><a href=\"\/en\/insight\/momentum-strategy-does-the-trend-remains\/\">The Momentum Strategy \u2014 Does the Trend Remain?<\/a><\/li>\n<li><a href=\"\/en\/insight\/tquant-lab-supertrend-strategy\/\">SuperTrend Strategy: Buy Low, Sell High to Profit from Market Swings<\/a><\/li>\n<\/ul>\n","protected":false},"excerpt":{"rendered":"<p>How to Gain Insight into Stock Price Movements from Quarterly Reports? This article will use quarterly reports stock selection to filter the top 20% of listed companies in Taiwan by quarterly revenue and implement long positions. Through this revenue-based backtesting approach, we can identify potential strong stocks in the market and verify the effectiveness of this quarterly stock selection strategy with accurate data. It is simple and provides investors with a stable and systematic basis for stock picking, uncovering the hidden signals behind stock price movements.<\/p>\n","protected":false},"featured_media":1282,"template":"","tags":[134,52,65,68,108],"insight_category":[87],"class_list":["post-1290","insight","type-insight","status-publish","has-post-thumbnail","hentry","tag-monthly-sales","tag-quantitative-analysis","tag-python","tag-financial-data","tag-revenue","insight_category-event-alternative-signals"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/1290","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight"}],"about":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/types\/insight"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media\/1282"}],"wp:attachment":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media?parent=1290"}],"wp:term":[{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/tags?post=1290"},{"taxonomy":"insight_category","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight_category?post=1290"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}