A new powerful tool is now live that lets you create a custom series from universe aggregates. With this tool you can create breadth indicators, re-create our SP500 earnings series, or focus in on certain sector trends.
At the moment the only other place where you will be able to use these series is in the MARKET->MACRO CHARTS , but soon you will be able to reference them from systems rules.
In short…
The tool looks like a screen but instead of screening each rule returns a value
The series is created from the value of the very last rule
Try clicking on “Totals” in some of the pre-built examples.
The other main difference is that the tool has two references. One labelled “Series” is for the aggregate functions that are available like UnivCnt, UnivSum, etc. The other labelled “Stock” is for what you can use inside the parameter “criteria” for these universe functions (ETF based custom series will be coming soon).
For example to count the number of stocks in a universe trading above the 200 day moving average you enter:
UnivCnt(“Close(0)>SMA(200)”)
Please see our description in the Help here . Documentation is skimpy at the moment. We will add more in the next weeks. Hopefully it is intuitive enough to get something done
Okay…so I got using this and am now late for an appointment. All I can say is that this might be the most powerful addition to P123 in the last 5 years. Its mind-blowing really…and fast! You needed an entire morning with ClariFI to run the same tests you can do here in 10 minutes. Seriously…I don’t know what major investors are watching this - but ClariFI got bought out by CIQ for $300 million… and it is a lumbering bloated pig compared to what is being built here…
There seem to be errors in the data for P/B, P/E EBIT/EV. See the public chart from Rellis labeled “Price to Book for the S&P500”. The big steps don’t make sense.
WYNN’s Pr2BookQ on 11/18 went from N/A to 17K+ which throws off the average. I think that is the correct value for that ratio since their BookVal was close to 0.
We should probably add UnivMedian to make this type of series meaningful.
Or you can add your own sanity check to eliminate from the average the outliers. For example in “criteria” for UnivAvg use Pr2BookQ<20
Is it possible to create a weekly series from daily data? If not, would you consider adding this functionality in the future. Weekly data (with its inherent filtering of daily fluxuations) is sometimes valuable. Thanks.
Can we please get more than 15 years of data for the series tool. For example, % of SP500 stocks > 200 day average. It is very limited with only 15 years/2 recessions. I would like to test some market timing strategies with a longer period of time.
Yes, I would like to be able to calculate / use Rsi(x, y, #Series) based on weekly data. Can I use "top-down" series to do this for say SPX? If so how? Thanks.
Marco, now you sum with factor 1 on all oscillators. It will be nice to can alter the weight of any oscillator we use. Some oscillators works well reversed and are not symmetrical.
A parameter defaulted to one on all oscillators will make it behave like now.
I know we can duplicate oscillators and they will contribute with integer multiple but still the one that contributes in a negative way are impossible to quantify.
The overal oscillator:
OverallOscilator = Sum(Wi * Vi) / Sum(Wi); where Vi = {0, 1}
It looks like Christmas is coming early this year. Thank you for this extraordinarily valuable upgrade to the platform. These new functions save so much time over the alternative (labouriously copy-pasting into a sheet / running series operations in sheet) that I am just about ready to shed a tear…