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Chipper6
Re: New data provider! Global stock data!

FINRA publishes (disseminates) short interest data for free.

However, it is published about a week after it is submitted to them by the exchanges. Source. Presumably, Marco knows this, and is therefore negotiating with the exchanges to provide up to date short interest data. Thanks.

Dec 10, 2019 4:24:34 PM       
Edit 2 times, last edit by Chipper6 at Dec 10, 2019 4:25:58 PM
o806
Re: New data provider! Global stock data!


We're also keeping track of changes that would be lost thereby creating our own PIT version starting now. Going forward the prelim data won't be lost.

Good to know.

Dec 11, 2019 10:58:07 AM       
philjoe
Re: New data provider! Global stock data!

Is there a link to something that can explain how the PIT works at FactSet? I didn't really understand the explanation in this thread.

Dec 19, 2019 6:44:12 AM       
RTNL
Re: New data provider! Global stock data!

Is there a link to something that can explain how the PIT works at FactSet? I didn't really understand the explanation in this thread.



Me too, i would appreciate that also

Dec 19, 2019 7:19:00 AM       
o806
Re: New data provider! Global stock data!

Hi philjoe and RTNL,

Here's my take on whats been said so far.

MY UNDERSTANDING

FactSet is *semi* PIT. It is better than most data providers but not as good as P123's current provider (who wants such a large price increase that it is not possible to continue using their PIT data). Some have said the difference between the semi PIT and the complete PIT is minimal.

These differences only affect backtesting of ranking systems and simulations. I don't expect any significant difference in how live systems behave.

MY PLAN

As soon as possible in 2020 (when we have access to both the current PIT data and the new FactSet data), I plan to do backtests comparing the results for both sets of data.

Hopefully the results will be nearly identical (as some have suggested). Then I can use the new data from FacSet to backtest new ideas in a leisurely manner.

If the results are significantly different, then I plan to do as much backtesting as possible in the first 6 months of 2020 while we have access to the current PIT data.

Even in the worse case (significant differences), I'm not worried because I think I can easily do all the testing I need in the first 6 months of 2020. This confidence is based on the results of a recent review of my current live models. These models have ranking systems that were developed in 2013 and revised in 2015. In my fall 2019 review, I found there was almost nothing that could profitably be added to them. Sure I tried out several new ideas (new to me vs 2013 and 2015) but I ended up changing very little, very very little. So in the worse case, I'll devote more time than I'd planned in first half of 2020 to testing the new ideas. I've already tested the most promising so it's not a long list. And then I'll stop testing and just use what I've got. I realize this approach is easier for long time P123 subscribers than new comers, but it is my reality.

Brian

Dec 19, 2019 3:43:45 PM       
Edit 1 times, last edit by o806 at Dec 19, 2019 3:45:31 PM
charles123
Re: New data provider! Global stock data!

Found this regarding PIT:


https://www.insight.factset.com/hubfs/Resourc..._in_time.pdf?hsLang=en-us

Dec 20, 2019 8:26:35 AM       
Jrinne
Re: New data provider! Global stock data!



Thank you Charles.

IT LOOKS LIKE WE MAY BE ABLE TO GET PIT CONSENSUS EARNINGS ESTIMATES FROM THE DATA PROVIDER FOR THE FIRST TIME!!!!

We may have some PIT consensus earnings estimates now, but if so, it is only through Marco’s efforts and the use of snapshots.

I believe CapitalIQ uses the research date now and we want to use input date when we switch.

Obviously, I welcome more informed opinions. I think the link is worth reading so members can weigh in on this.

-Jim

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Dec 20, 2019 9:48:35 AM       
o806
Re: New data provider! Global stock data!

Charles,

Thanks for posting the link to Factset's efforts to create a true PIT database for Estimate data.

One important take away for me is that Factset's new PIT database for estimates will go back a full 10 years (Dec 2009 on). With that we can run our backtests for the most recent 10 years using the their full PIT data and re-run the test using their regular (not fully PIT) estimates database. How close the results of the 2009-present tests match would give us a good idea of how much (or little) trust we could put in using Factset's not fully PIT estimate data for 2000-2009 tests.

Brian

Dec 20, 2019 11:21:05 AM       
yuvaltaylor
Re: New data provider! Global stock data!

Estimates data has to be PIT. Otherwise one could never track revisions. Fundamental data is PIT-ish, as Brian rightly concluded. We will be putting systems in place to adjust for this as best we can.

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Dec 20, 2019 2:32:58 PM       
judgetrade
Re: New data provider! Global stock data!

There will be a lot of work for p123, but from what I read here and in the factsheet link, we will be fine!

Dec 22, 2019 2:10:07 AM       
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