First and foremost we’d like to thank you for helping us make Portfolio123 better every year. Your comments and opinions on the forums are always helpful to inspire new ideas and improve existing ones. We are also happy to see a much greater sense of community and collaboration as people begin to know each other. We most definitely approve, and we will plan an event in 2015 to cultivate this.
While it now seems like a blink, 2014 was eventful in several ways. There’s one milestone however that I won’t put in the bullet list which is: P123, after a long 10 year trek, finally feels “settled in”. Our team is growing, systems are much more stable, and going to the office is something we all want to do.
First of all thank you, thank you, thank you for the best trading System site on the face of the planet! I made 29% in 2014 thanks to
P123!
Second: Thank you very much for such a great plan for 2015!
Thanks a lot Marco, I am really looking forward to 2015!
Sorry to be a bit pesky, but are the upcoming projects in order of priority/rollout? Just to have a rough idea of implementation timings…
Could you elaborate a bit on the European expansion? Markets, amount of historical data, implementation timing, etc… I think there are lots of us waiting for this one…
Marco
I too would greatly appreciate an indication of timing for expansion into European, in particular UK, markets.
Don’t want to hold you to anything, simply to have a guide so I can make personal plans.
Thanks.
Steve
-Europe is this year. The project start not likely this quarter. Looks like Q2 and 3-4 months of work (like Canada)
-Adding pos sizing is very dear to us. Still in the brainstorming phase. Not too hard to add though once defined.
-Daily ranking also interesting. We need a bit of re-architecture first, which we are doing for a different project . It’s also a good excuse to buy all new servers which are getting old.
Thanks Marco! even though I believe the target for Europe last year was Q4 2014…
If this is of help, here are my thoughts on position sizing:
I think the easiest way, while keeping it still powerful is to make it a one line formula, but allowing it to be quite big. (By default, the setting should be higher is better)
The system would calculate the value of the formula for each stock and assign the proportional size. The ability to specify Max and Min position size should also be available in two separate boxes.
Single parameter: i.e. If someone wants to use market cap as position sizing. Formula : MktCap
If someone wants to use Volatility, but where higher volatility is worse, so lower is better. Formula: 1/STDEV(X)
If someone wants to use multiple variables, i.e. market cap times volatility: Mktcap * STDEV
If someone wants to use marketcap (higher is better) and volatility (lower is better). Formula: Mktcap / STDEV
If someone wants marketcap but wants to limit the impact of megacaps by capping it at 50bn. Formula: EVAL(Mktcap>50000, 50000, Mktcap)
In addition to portfolio level position sizing, I would like to see book level optimization. Something like classical mean-variance optimization post portfolio rebalancing. Perhaps this would be too computationally expensive for book simulations, but it would be a nice feature.
The biggest things I would like to see feature wise are:
a) Ability to write custom formulas to vary the ‘amount invested’ in any given sim (and possibly in the book). I would like to use, for example, constant volatility targeting. So, if I allocate money to a system, I would like to be able to have the system adjust, at each rebalance period, the amount invested from 0% to 100% (or whatever range of constraints I set), based on trailing period system performance. So, I can target, say an annualized st. dev. of 10%, and then adjust the total percent invested in a given week/month based on the actual near-term vol. vs. the targeted. This type of functionality will allow some very professional ‘risk management’ and volatility targeting.
b) Better security, including 2 factor authentication at sign in (i.e. random numbers at sign-in, in addition to my password and user ID. Also, account locked if too many ‘false’ signins. I’d also love to be able to designate a ‘home computer’ and be notified if anyone else attempts a sign in). And ability to autotrade my R2G’s. If security is really strong and I can autotrade systems, this will reduce my stress level by A LOT. This would be huge. Might be my #1.
This is the really big one I’d want. Also on my wish list:
a) Ability to use rank/ratings of small custom universe of ETF’s in stock system rules - buy, sell and HEDGING. This will allow a lot of tricks.
b) Ability to use custom series in rankings and, ideally in buy and sell rules.
c) Other data sources that might give us a comp. advantage - say estimize style earnings data or 13F hedge fund data.
The number one item for this year should be to provide a solution for the buy/sell difference. This not only confuses most people but causes problems with the trade stats. i.e. they are not accurate.
Next, make P123 much easier to use by the average person. The fact that only geeks like me can dive in and get full use out of this product has to be hurting P123’s revenues. In the absence of a complete redesign to make P123 easier to use, how about providing (or provide the facilities for) a top level compiler. It doesn’t have to be online… it could exist on a person’s desktop.
The idea is to provide a high level design language that would translate into P123-ese. This feature could be done by P123 or one of the talented s/w programmers out there using P123, I think there are many. All P123 would have to do is provide the infrastructure for third parties to be able to tap into the buy/sell rules, hedging, etc. The ranking system module already has the text editor.
Yay P123 and thank you for the roadmap Marco! Thank you everyone posting in the forums, P123 is the highest quality online investing community I know. FYI I had a Large/Mid Cap +29% CAGR, -5.5% DD.