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mgerstein
Re: To Quant Or Not To Quant, That Is The Question

My suggestion is that P123 should be catering to the family office business. There is money there beyond the average cost of a subscription, and it is a growth market. If you look at it from this perspective, then Jim becomes a challenge, an opportunity, not an annoyance.


Are we talking here about a product thing or a marketing thing?

I've been under the impression that we are valuable in a family office context. Can it be argued that this is what Andreas will be doing? I'm not aware of the family office market being tied to the sort of hi-quant for which Jim advocates. My impression is that the family office users is part of a broad cross section, some of whom we serve and some of whom we don't.

If I'm wrong from the product standpoint (i.e. if the family office users are disproportionately hi-quant) please tell us more.

As to marketing, assuming p123 can now do more with the family office segment, that's a different story. I think we've been equal-opportunity marketers; we market horribly to all segments. I'm not a marketing pro however, so in this area, I'm about questions, not answers. Anything you can share that can help us identify and communicate to this customer group would be greatly appreciated. I suspect that it can, in fact, be a strong growth area for p123, so I'd love to hear about how we can market to it. (As amateurish as I am in marketing, I think I know enough to assume that in going from rotten to better to good, effective targeting is an important early step).

Marc Gerstein
Director of Research, Chaikin Analytics
Blogs: https://actiquant.com, https://portfoliowise.com/portfoliowise-blog/ , https://www.chaikinanalytics.com/blog/
Twitter: @MHGerstein
I predict the future, as soon as it becomes the past

Dec 4, 2019 9:38:20 AM       
InspectorSector
Re: To Quant Or Not To Quant, That Is The Question

** Edit ** I'm saying that Quant or No Quant is a symptom, not the issue.

we market horribly to all segments.


I am horrible at marketing myself so take anything I say with a grain of salt. It is just my observation that Family Office is significant and growing. And there are a lot of these types of customers hanging around P123. It isn't so much a question of the tools P123 provides, but how the site is presented. P123 needs to sell an image that it is "here for the Family Office". Make it known that you have the platform, tools and resources (consultants) to hold the customer's hand, get things going, and going successfully in a painless fashion You want to get that message out. Treat it as a separate business unit because right now what you have is a very sophisticated platform that intimidates the average user. There is a manhood issue here. Invariably they come to someone like me to implement their ideas, not because it is too complicated for them to tackle, but because they "don't have the time". The technical barrier that needs to be overcome but ego doesn't allow them to come and ask for help. These people have money to spend, but you need to hold their hands and convince them that P123 is the answer.

Dec 4, 2019 9:55:44 AM       
Edit 1 times, last edit by InspectorSector at Dec 4, 2019 9:56:50 AM
Jrinne
Re: To Quant Or Not To Quant, That Is The Question

SteveT has a great question. What is a quant? Then I guess there is hi-quant?

Then there is running literally thousands of optimizations in the rank performance which is….basic fundamental analysis. You know the average basic fundamental analyst at P123.

Personally, I do not see much differentiation in the labels here.

The bottom line should be…well the bottom line. Is it better? Will it attract customers? How hard would it be?

Again, I think not so hard but could be wrong. Its is definitely better and it will be noticed.

I think it could even be easier for P123 in the long run.

-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 4, 2019 9:59:20 AM       
Edit 2 times, last edit by Jrinne at Dec 4, 2019 10:01:50 AM
Doug
Re: To Quant Or Not To Quant, That Is The Question

For what it's worth, here are my two cents on the subject. To increase interest in your service, Portfolio123 should do the following:

A) Focus less on promoting optimized ranking systems. The severe underperformance of the DM models should have set off alarm bells. Perhaps the overemphasis of super-optimized quant models--and not the changing dynamics of the market, i.e., growth vs. value--is the main culprit. The result of this poor performance has led to 1) the people designing these models dropping out of your service and 2) newcomers looking at the results and getting discouraged (That DM ranking screen is horrible advertisement for your service!).​ To believe that these DM builders would have outperformed their benchmarks if they only had more quant tools is hard to believe. (Note: I'm all for new tools! I just don't think that is the solution to the main problem of over-optimized models leading to poor performance, leading to fewer subscribers)

B) Focus more attention, and marketing, on (yes, lowly) screens. The average do-it-yourselfer loves screens and understands them! I would argue that most screens are less optimizable than ranking systems. I have no data to show if they in fact perform better, but try this experiment: Start a new screen and put in just three factors: Your favorite value, quality, and growth fundamental factors (your factors are probably better than mine). Next, take the top 20% of each factor. Add a minimum liquidity value (try $100K a day) and eliminate the most shorted stocks (try bottom 50%). Run a two year backtest. My simple three-factor screen--and, probably your screen, too--would have beat over 80% of all the DMs! I realize these aren't out-of-sample results, but, still, how is that possible? After all, people spent thousands of hours optimizing (torturing?) the data into ranked systems.​

P.S., I believe the "showing off" of optimized, simulated portfolios in threads (that show amazing stats, of course) is wrong and misleading, especially without proper disclosure. Why do people rarely, if ever, include out-of-sample performance? As a relative newcomer, I look at these beautiful charts and then look up the person's DM performance and say "what the hell?"

P.S.S., I really enjoy Portfolio123!

Doug

Dec 4, 2019 11:32:49 AM       
hemmerling
Re: To Quant Or Not To Quant, That Is The Question

Here is my two bits.

I was able to use some very powerful tools at WorldQuant. They had Python integration and every analytic you could shake a stick at. After a number of years they reduced pay for the Python-generated strategies as people were cranking out tens of thousands of hyper-optimized systems that failed. Last year they did horrible on their fund. Then last month they let go all of their part-time consultants (hundreds of them, me included) and shut down WebSim (the quant platform). It didn't work they way they had hoped. A failed experiment. They had even offered a free 1-year program to learn quant techniques but this didn't produce what they wanted.

It is my belief that slowing down the process and creating systems without excessive automation and machine learning is better. That being said, I do think there is room for P123 to automate some data-collecting processes such as having a 'factor page' where hundreds of factors are displayed with charts showing the bucketed returns with a user-defined time frame and universe. I am not against making my life easier, but with each automated step there is an increasing responsibility for the creator know what he is doing.

I am dubious as to how many hard-core quants would be attracted to P123 with a few added tools. I think there are other platforms that have more granular data (tick bars), pay-per-use analytics and Python integration such as Quantopian which are a better fit for that market. My personal experience is that hard-core quants want total control at the programming level and that is not something P123 can provide.

I am not is disagreement with you Jim that more quant like tools could help a certain sub-set of people already using P123. Maybe a few people would sign-up as well. But I worry that the money made from this would be too little - too late. I view P123 as being at a critical juncture and I want it to grow even if its in ways that don't immediately benefit me. My thought would be to target a mass market of lower-hanging fruit until earnings climb and then build out additional tools.

These are my ideas on how to boost revenue and profit for P123 while leaving the door open for more features down the road whether it be for quants, retail investors or someone in the middle.

1) A separate site focused just on themed stock screens. Every retail investor I have ever known has been overwhelmed and afraid when they see the vast tools of P123. I have been here 8 years and I am still learning new things and feel overwhelmed at times. Make a site like AAII stock screens. Names and themes that people already know and love. Net nets, Piotroski, Graham, etc. etc. Have half the screens for free and the other half available for something like $10 per month. Eventually, some people will take the plunge to develop their own and sign up.
https://www.aaii.com/stockideas/performance

2) Bridge the gap between P123 programmers and capital. Showcase our work to family offices and smaller RIAs. Become the workplace so P123 users can make money. P123 can be like agents helping us find work and P123 takes 25% off the top plus charges the RIA or family office platform fees to house the models that we design for them. Become the Elance or UpWork of the stock model world.

3) As the revenues come in, by all means keep working on the tools, more analytics and features which are requested by firms and P123 users.

I can attest that P123 still has loads of juice. But I don't find it coming from doing the same old thing over and over. People I consult with are always pushing me to test out new theories and ideas. Ones that I am not comfortable with initially. And every once in a while something beautiful emerges.

I would be happy to work on themed stock screens (although I think P123 already has quite a few) designed in the fashion of AAII and on a separate website. I would work for free on this.

Dec 4, 2019 2:17:42 PM       
SUpirate1081
Re: To Quant Or Not To Quant, That Is The Question

I'm not sure what "quant" means, or if I should feel offended at being called one. /s

P123 is a great service. The Point-In-Time database is worth the subscription price on it's own. The simulation and screening engines are powerful and flexible. I'm a Python programmer, and I consider P123 superior to any of its competitors. My only real feature requests (international data and older historical data) are already in the works. We use P123 to effectively manage our investments, and have the real returns to convince us it works.

I'm not an expert on machine learning, but I'm a competent enough programmer and have done the work to gather the data and test many of the ideas thrown around on these forums (for example, running various forms of equity curves through Sci-kit Learn's machine learning algorithms). I have not been impressed with the results so far. Most of the machine learning field appears to be about designing ever more complex variations on linear regression. I have had much more success employing the same boringly basic methods Marc and Yuval advocate effectively for. And P123 provides excellent tools to support those methods.

Python, and programming / machine learning generally, cannot do anything that you can't do in Excel. Python just does whatever you tell it to do faster and without human interaction. It is not possible for P123 to build a tool that is as powerful as Python without that tool also being at least as complicated as Python.

Dec 4, 2019 2:23:54 PM       
Jrinne
Re: To Quant Or Not To Quant, That Is The Question

Kurtis,

Thank you.

I would be interested in what you actually saw being run as far as programs.

Boosting? A Random Forest?

I might also add that I will bet $1,000 here and now they were not running what I run. And for $200,000 you can have what I have been running.

BTW. I am not as married to this as one might think. For the longest time I kept things a big secret. Then it became obvious a lot of people had access to machine learning tools with stock data—as you illustrate here. The secret was already out.

But it has never been that important to me that everyone here at P123 have access to this. It would allow me to do some things with more data but I am caring a little less about whether other people at P123 having access today than I did yesterday even.

That having been said I have re-read some of my posts and I get that I can give a really hard sell. I truly get it.

Anyway, would be interested in what they were running if you know.

Thanks again!

-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 4, 2019 2:31:48 PM       
Edit 5 times, last edit by Jrinne at Dec 4, 2019 2:41:13 PM
hemmerling
Re: To Quant Or Not To Quant, That Is The Question

Jim,

Guaranteed that you would win $1,000 and $200,000 in your bet. My point is more along the lines of the average user not being able to benefit from these tools. WQ tried to train quants and made them prove their skills in a contest before being hired. They gave them free tools. And it failed. That's the group I could see P123 enticing with a few extra tools.

Guys who really know how to handle the tools like you might be more inclined towards a different platform whether that be Quantopian or otherwise. I am just concerned that P123 with some additional quant add-ons might not bring in the dollars they need to survive.

Dec 4, 2019 2:47:33 PM       
Jrinne
Re: To Quant Or Not To Quant, That Is The Question

I'm not sure what "quant" means, or if I should feel offended at being called one. /s

P123 is a great service. The Point-In-Time database is worth the subscription price on it's own. The simulation and screening engines are powerful and flexible. I'm a Python programmer, and I consider P123 superior to any of its competitors. My only real feature requests (international data and older historical data) are already in the works. We use P123 to effectively manage our investments, and have the real returns to convince us it works.

I'm not an expert on machine learning, but I'm a competent enough programmer and have done the work to gather the data and test many of the ideas thrown around on these forums (for example, running various forms of equity curves through Sci-kit Learn's machine learning algorithms). I have not been impressed with the results so far. Most of the machine learning field appears to be about designing ever more complex variations on linear regression. I have had much more success employing the same boringly basic methods Marc and Yuval advocate effectively for. And P123 provides excellent tools to support those methods.

Python, and programming / machine learning generally, cannot do anything that you can't do in Excel. Python just does whatever you tell it to do faster and without human interaction. It is not possible for P123 to build a tool that is as powerful as Python without that tool also being at least as complicated as Python.

Andrew,

You do not post much so I just want to say I have always been impressed with you math skills. I do not even know your training and its does not matter. You either had a lot of training and/or you paid attention in class.

You have helped me with a couple of things I think are important. I probably do not remember this accurately but I remember you saying I worry about slippage too much. You were clearly correct about that.

I also think you first exposed me to i.i.d. I probably still do not get all my assumptions correct when I do some of the things I do. But perhaps I do better.

Anyway, Thanks

-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 4, 2019 2:53:15 PM       
Edit 1 times, last edit by Jrinne at Dec 4, 2019 2:54:22 PM
Jrinne
Re: To Quant Or Not To Quant, That Is The Question

Jim,

Guaranteed that you would win $1,000 and $200,000 in your bet. My point is more along the lines of the average user not being able to benefit from these tools. WQ tried to train quants and made them prove their skills in a contest before being hired. They gave them free tools. And it failed. That's the group I could see P123 enticing with a few extra tools.

Guys who really know how to handle the tools like you might be more inclined towards a different platform whether that be Quantopian or otherwise. I am just concerned that P123 with some additional quant add-ons might not bring in the dollars they need to survive.


Kurtis,

Marco turned me onto Quantopian. I keep going back and looking but I do not seem to be able to get what I want. It could be my programming skills but I do not think so.

They do have some cool stuff there like pairs trading.

I need that m x n matrix that has the ticker and date as the (hierarchical) row index and the column is the P123 factors or functions. The label is the next weeks returns. I suspect this is created by P123 when running a sim.

With that you can run a multiple regression, a kernel regression, a support vector machine Random Forest, Boosting…. literally dozens of algorithms.

You can cross validate, do a walk forward validation to reduce the overfitting.

Not all of these will beat a P123 sim. But I can say a little deep reading of some of the advanced texts and well……..

Anyway, I very much appreciate this. And as I said more to share with you and perhaps Marc or Marco that to convince anyone.

Appreciated.

-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 4, 2019 3:06:21 PM       
Edit 3 times, last edit by Jrinne at Dec 4, 2019 3:38:49 PM
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