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Portfolio123 » List all forums » Forum: Feature Suggestions » Thread: Feature Request: Daily update of fundamentals |
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Total posts in this thread: 15
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[Request a Feature] [Add To My Favorites] [Watch this Thread] |
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marco
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At the moment fundamental ratios are updated once a week which means that the rank only changes weekly. The screener also uses weekly values for the ratios (although it uses the previous day prices for the price based formulas, like moving averages). Daily fundamental updates would mean better results from the screener and also updated ranks used in the rebalance process of portfolios. The former could be significant if rebalancing is done later in the week. View the feature request here. ---------------------------------------- Portfolio123 Staff |
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russell
Advanced Member
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I would want this if it meant that I could have a daily rebalance choice when running a sim. Presumably, I would then also be able to do a daily rebalance with a live port as well. |
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z8735
Advanced Member
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Marco, daily updates of the fundamentals and factors would be absolutely awesome! Z. |
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p123robert
Advanced Member CANADA Joined: Nov 7, 2005 Posts: 372 Status: Offline |
New ideas are always good, because they indicate progress and improvement. However... 1) Are there any benefits? My back testing indicates there would be little or no benefits. I compared 5-year simulations of 2 different ports, where each port was rebalanced weekly as well as daily. Results: Both annualized returns and drawdowns were pretty much unchanged. Any differences were minor and debatable. Probably because we make decisions based on fundamentals. And fundamentals don't change that much within the course of just 1 week. 2) How about costs? I'm worried about increased costs. Reuters will charge more for daily updates, and this increase will be ultimately paid by us, members. Eventually we, members, will have to pay more, in higher monthly membership fees. This will also result in additional work load on the shoulders of P123 -- because the daily fundamentals data will have to be uploaded DAILY, and uploaded by EARLY morning, every morning -- and this this, too, will mean P123 will have to hire additional help. And then, ultimately, we, members, will have to pay more, in higher monthly membership fees.. This is about benefits vs. costs. Sorry, Marco, if I'm not saying what you want to hear. Robert ---------------------------------------- [Edit 1 times, last edit by p123robert at Aug 30, 2006 5:36:46 PM] |
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jerrodmason
Advanced Member UNITED STATES Joined: Jan 14, 2005 Posts: 600 Status: Offline |
Although Russell and Zveintracht posted to the thread on 8/28/06, the feature request was opened on 5/28/05. You probably voted on it way back then. A list of top vote-getters is found here . This one is #2 on the list. Your other points are well taken. I'm still unsure how the P123 system works. Does PE get updated daily based on latest price? Does a ranking system that includes PE likewise reflect the latest price? If so, we may have most of the benefits of daily updating already. J ---------------------------------------- The smart money was on Goliath. "He's not the Messiah. He's a very naughty boy." ---------------------------------------- [Edit 2 times, last edit by jerrodmason at Aug 30, 2006 12:41:13 PM] |
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areid
Advanced Member
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We don't know if there would be a benefit for daily fundamentals until we can test it. I think it will be of great value for certain ports, especially ones based on momentum strategies or high beta stocks. Also, daily ranks could be very valuable if your ranking uses price as a factor. |
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nineVolt
Advanced Member
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One benefit of this is that one would be able to manage many more stocks, buying and selling daily. Instead of dealing with the rebalancing of multiple ports and buying and selling on Monday, one could buy and sell fewer stocks each trading day. In the future, I would really like to manage over 20 stocks via P123, and not have to do all of the investigative work over the weekend... Just my two cents.... -Michael ---------------------------------------- -Michael ---------------------------------------- [Edit 2 times, last edit by nineVolt at Aug 30, 2006 1:10:08 PM] |
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p123robert
Advanced Member CANADA Joined: Nov 7, 2005 Posts: 372 Status: Offline |
J, My mistake, you're correct. In the small hours of the morning the date 5/28/05 looked like 8/28/06. ---------------------------------------- [Edit 1 times, last edit by p123robert at Aug 30, 2006 5:10:50 PM] |
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z8735
Advanced Member
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Robert, you mentioned you have back-tested this request and didn't come with significant results. How did you do (technically) did the backtesting, when P123 keeps the ranking score constant during the week regardless of price fluctuations or companies’ earnings? Using the P123 simulation tool on “daily” basis would only trigger buy/sell rules based on “Close/Open/Hi/Low” values, but no ranking based rules will be activated, because ranking is not changed during the week. Hence the outcome of daily simulations misses a great part of P123’s powerful ranking architecture and not provide optimal results. My experience with backtesting intra-week results is different than yours, I found that daily ranking updates would have improved my systems’ performance. I follow only few stocks but whenever my companies release earnings mid week or when their prices change significantly, I manually compile mid-week earnings releases and prices into previous weeks’ rankings and derive an estimate of the new resulting ranking in order to reach better decisions. In the few months I have been doing it, it increased my returns significantly compared to standard “end-of-week” simulations or compared to “daily” simulations. Based on my experience so far I have no doubt that having daily updates of P123’s rankings would allow us to develop and execute better systems with better optimized entry and exit points, and hence more profitable. Cost vs benefits? P123 is clearly the best system out there, but other systems do provide daily updates as a standard feature. Why would you want to give someone else an important edge while yours is so much better in every other aspect? Respectfully Z. |
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marco
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Please note that the daily fundamental updates will not support *backtesting* of daily ranks. The backtest will still be based on weekly snapshot even if the daily rebalance is used. Creating a daily fundamental database for historical purposes is simply too much data. What the daily fundamentals will allow you to do is to run ranks/rebalances using the previous day fundamentals. In other words if you run a rebalance mid-week you might get different recs than if you run it on Monday. ---------------------------------------- Portfolio123 Staff |
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