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

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

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

P123 Team,
Can somebody please respond to this.

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

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

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.

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

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.

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!

Primus,
The reason I need accurate exposure lists is to enable one to schedule switch trades between stocks (SPY) and bonds (IEF) on specific dates. I have a model running in excel, the iM-SuperTimer that switches only on the weekly first trading days. It is based on all my timing models (about 15) which I developed over the years, some running on P123 and others in excel. This model is updated every Sunday for Monday trading, and gives Realized Transaction dates for SPY and IEF.

Step 1:
Run two simulations, 2x leveraged, in P123, SPY-Cash and IEF-Cash, using the exposure list based on the realized transaction dates of the excel model. In P123 the transaction dates must correspond exactly to those from excel. That is why I needed to get the exposure list settings to correctly reflect the 1st trading day dates.

Step2:
Use SPY-Cash and IEF-Cash as assets in a book. Because they were 2x leveraged, but now receive only a weight of 50% in the book, the value of the transactions are back to un-leveraged, and the performance from the book must equal the performance of the excel model, which is what happens. The book gives you all sorts of useful information which is difficult to get from excel, such as Risk Measurements, etc.

So, from the SuperTimer I get the good stock market periods, there were only 29 of them from 2000-2018. Here is the exposure listing, namely when the model should not be in stocks. Try using it in a stock model, you should get better performance trading only during the good stock market periods from the Super-Timer.

12/28/1999 , 04/11/2000
06/20/2000 , 09/26/2000
10/17/2000 , 08/28/2002
09/10/2002 , 10/15/2002
10/22/2002 , 03/25/2003
04/29/2003 , 05/06/2003
04/13/2004 , 04/27/2004
06/01/2004 , 06/30/2004
07/13/2004 , 08/03/2004
08/17/2004 , 08/24/2004
02/22/2005 , 03/08/2005
03/29/2005 , 04/12/2005
05/16/2006 , 06/13/2006
07/04/2006 , 07/11/2006
07/18/2006 , 08/01/2006
07/17/2007 , 08/14/2007
09/25/2007 , 10/23/2007
10/30/2007 , 03/24/2009
12/29/2009 , 01/19/2010
04/27/2010 , 06/01/2010
06/14/2011 , 06/21/2011
07/19/2011 , 08/02/2011
08/16/2011 , 12/28/2011
04/21/2015 , 04/28/2015
06/02/2015 , 06/30/2015
07/14/2015 , 08/18/2015
09/02/2015 , 06/21/2016
07/05/2016 , 07/19/2016
08/31/2016 , 10/25/2016
12/04/2018 , 01/16/2019


Thank you, Georg. I hadn’t thought of doing that before.

Hi Geov,

This issue wasn’t a quick fix as hoped. We should have the fix released early next week.

Sorry for the delay.
ted

Well, I got it to work by subtracting 6 days from the desired first trading day of the week dates, and weekly rebalancing of the model.
Desirable would be to only subtract 1 day from those dates.

Thanks for attending to this and improving P123 all the time.
It is really an excellent platform.

We’ve released a patch for the Exposure List issue.

Should work correctly now - thanks for reporting!

ted

Thanks, I will test it and report back.

Settings for correct results if you want to trade on the first trading day of the week are:

When reconstituting daily, to open a position the exposure date must be set 1 day before the desired first trading day of week.
When reconstituting daily, to close a position the exposure date must be set 1 day before the desired first trading day of week.
So this is o.k.

When reconstituting weekly, to open a position the exposure date must be set 6 days before the desired first trading day of week.
When reconstituting weekly, to close a position the exposure date must be set 1 day before the desired first trading day of week.
This is not o.k.

One should always only have to subtract one day from the desired trading day date to open or close a position, irrespective whether the model is weekly or daily reconstituted.

Sorry about all the problems. I tested and corrected each condition you listed. I believe it’s working as intended now.
I’m not sure about needing to subtract a day to close positions. Based on my tests, it closes on the day of the start of an exposure list period. If this is not the case, it will need to be adjusted some more.

Thanks Aaron. It is no problem at all if one knows what to do.
I will test again and report.

Aaron,
It works correctly now for both daily and weekly reconstituting.
As you say, no need to subtract a day to close positions, but for convenience (no thinking required) it is easier to subtract 1 day from the intended first trading day of the week dates for closing and opening positions.

Thanks again for fixing this.