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geov
Exposure List Problem

P123 Team
There appears to be no way to sell a position on a Monday using exposure lists.
For example, what dates would have to be in the exposure list to buy SPY on 11/7/2016 and sell it on 5/15/2017, both dates being a Monday and are normal trading days?

For a 3-year backtest period and DAILY rebalance frequency one can use the following possible lists, all of which buy SPY on 11/7/2016, but none sell SPY on Monday 5/15/1017.

Exposure List 1: Sells SPY on 5/16/2017 Tuesday
12/31/15 11/06/16
05/15/17 01/09/19

Exposure List 2: Sells SPY on 5/16/2017 Tuesday
12/31/15 11/06/16
05/14/17 01/09/19

Exposure List 3: Sells SPY on 5/16/2017 Tuesday
12/31/15 11/06/16
05/13/17 01/09/19

Exposure List 4: Sells SPY on 5/12/2017 Friday
12/31/15 11/06/16
05/12/17 01/09/19

Jan 9, 2019 10:05:25 AM       
geov
Re: Exposure List Problem

P123 Team,
Can somebody please have a look at this problem. It needs to be fixed.
Thanks

Jan 11, 2019 8:18:45 AM       
geov
Re: Exposure List Problem

Marco,
I know you are busy, but can you get someone to attend to this bug please.

Jan 11, 2019 4:43:28 PM       
geov
Re: Exposure List Problem

P123 Team,
Can somebody please respond to this.

Jan 12, 2019 6:20:02 PM       
marco
Re: Exposure List Problem

Sorry I thought someone was looking at this. I got exposure lists to work on Monday if it's not a rebalance day by using 4 week rebal period. Looks like if it's rebalance day it does not look at exposure lists. Should be an easy fix. Thanks

Portfolio123 Staff.

Jan 13, 2019 10:32:11 AM       
geov
Re: Exposure List Problem

Thanks Marco.
There is no problem buying on the first trading day (rebalancing day) of the week, only selling a position does not work.
Exposure lists work perfect for the 2nd trading day, one can buy and sell then.

I agree, should be an easy fix.
Thanks

Jan 13, 2019 11:14:49 AM       
geov
Re: Exposure List Problem

Exposure List algo has been changed, but does not work as it should.

I can’t stipulate an exposure list which buys on 11/7/2016 and sells on 5/15/2017, both dates being a Monday (rebalancing day) and are normal trading days.

Jan 20, 2019 3:56:07 PM       
Edit 2 times, last edit by geov at Jan 20, 2019 4:46:10 PM
geov
Re: Exposure List Problem

I looked at this problem a bit longer and found the exposure listing that works.
An exposure list which buys on 11/7/2016 and sells on 5/15/2017, both dates being a Monday (rebalancing day) and are normal trading days:

12/31/15 11/07/16
05/09/17 01/09/19

This list stipulates to be out of the market from 12/31/15 to 11/07/16, and from 05/09/17 to 01/09/19.
A model with daily rebalancing would then sell on 5/15/17, which is 6 days after the list date of 05/09/17.

Here is what I found:
If the list date of 05/09/17 is changed to 5/10/17 then the model then the model sells on 5/10/17.
If the list date of 05/09/17 is changed to 5/11/17 then the model then the model sells on 5/11/17.
If the list date of 05/09/17 is changed to 5/12/17 then the model then the model sells on 5/12/17.
If the list date of 05/09/17 is changed to 5/13/17 then the model then the model sells on 5/22/17, which is 7 days after the desired date of 5/15/2017.

This is all very confusing. Here is the simulation, open it and test it.
https://www.portfolio123.com/transact_real.jsp?portid=1558869

Jan 21, 2019 8:23:56 AM       
geov
Re: Exposure List Problem

OK, I have now figured it out.

One must reconstitute/rebalance weekly, not daily, and set the exposure list dates 6 days before the desired sell and buy dates.
This exposure list

12/31/15 11/01/16
05/09/17 01/09/19

will buy on 11/07/16 and sell on 05/15/17.

Jan 21, 2019 9:48:34 AM       
primus
Re: Exposure List Problem

Sorry to inject myself in this, but I am curious about the use cases for an exposure list.

Can exposure list be used for timing market hedges? Or are they intended for the whole portfolio?

Realistically, would I want to use these only for single-stock or single-ETF models?

Thx!

"The world is. The world is. Love and life are deep maybe as his eyes are wide." - Rush, "Tom Sawyer"
http://the-world-is.com/blog

Jan 21, 2019 11:47:05 AM       
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