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geov
Re: Factor and data series importing

Georg, I will be changing the behavior to resolve to the latest date before the trading day, so Saturday and Sunday values will no longer be delayed.
I'll let you know when the change is in place.

Aaron, it does not look as if this has been implemented yet?

What works now:
Sell on weekday= 5
Buy on weekday= 6

Feb 21, 2020 8:24:15 AM       
Edit 1 times, last edit by geov at Feb 21, 2020 8:47:57 AM
aschiff
Re: Factor and data series importing

Georg, it looks like your data set doesn't implement Walter's approach. The data should have inserted on Saturday and Sunday in order for the data to be observed at the same time. For the date in question, it should either be on 2012-12-29 & 2012-12-30 to be observed on 2012-12-31 or on 2013-01-05 & 2013-01-06 to be observed on 2013-01-07.

An alternative approach would be to use a single date for each holding period (e.g. 2012-12-31) and import a "0's" spreadsheet followed by a "1's" spreadsheet, where the second import would overwrite the 0's for the symbols which don't drop out with 1's. As always, the "0's" data derived from the "1's" data by shifting the dates forward by one holding period (without subtracting a day this time) and replacing the 1's with 0's.

Aaron
Portfolio123 Staff

Feb 25, 2020 11:12:29 AM       
geov
Re: Factor and data series importing

Aaron, thank you for looking at this.

I checked and found that using Walter's method and your rules:
Sell on weekday= 7 (Saturday)
Buy on weekday= 1 (Sunday)

gives identical returns to:
Sell on weekday= 5 (Thursday)
Buy on weekday= 6 (Friday)

Both rules result in trading on Monday.
That is good to know because I am getting excellent results by using the "piggy-back" strategy on various base funds with the excellent Ranking Systems from P123.

Also, it would help a lot when uploading a csv-file into a stock factor that the duplicate entries are automatically deleted while parsing the data.

Feb 25, 2020 12:53:35 PM       
geov
Re: Factor and data series importing

P123 Team,
Stock Factors are a tool to import historic holdings of an ETF or other fund into P123 and use this in stock strategies.

The problem is that P123 only recognizes ticker symbols which are current and delisted symbols which are designated as TICKER^year when they became delisted.

So when a delisted stock is in a CSV upload file without the appended "^year" one gets an error message "Security could not be mapped: TICKER"
Then one has to search for the year when this stock got delisted. I recently tried to upload a file and got over 100 such error messages. Now I have to find the ticker symbols that P123 recognizes for those stocks.

That is just too much work to make the Stock Factors useful. I suggest that P123 posts an excel file of all delisted stock symbols since 1999, together with the historic symbol under which the stock traded. This surely cannot be too difficult to do?

If we had such an excel file one could quickly do a VLOOKUP to find the correct symbol that P123 recognizes now.

Here is a list, good to Aug-06, which I found on the internet, but we need a listing to 2020.
https://web.archive.org/web/20120211024956/ht...harts/delisted_stocks.txt

Mar 2, 2020 8:35:26 AM       
Edit 1 times, last edit by geov at Mar 2, 2020 8:41:58 AM
yuvaltaylor
Re: Factor and data series importing


That is just too much work to make the Stock Factors useful. I suggest that P123 posts an excel file of all delisted stock symbols since 1999, together with the historic symbol under which the stock traded. This surely cannot be too difficult to do?


Does this help? It's a list of all delisted stocks along with their current symbols. Almost all the time the previous symbol will be in there if your lookup tool is smart enough.

You can get this list by going to https://www.portfolio123.com/stocklookup.jsp, typing ^ in the symbol box, and checking Any in the Status line.

- Yuval

Attachment inactive stocks.xlsx (1272256 bytes) (Download count: 5)


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

Mar 2, 2020 9:41:09 AM       
Edit 1 times, last edit by yuvaltaylor at Mar 2, 2020 10:26:07 AM
geov
Re: Factor and data series importing

Yuval,
Thank you, this is extremely valuable and make the piggyback task much easier.
I didn't know it would be so easy to extract this. I have modified it a bit so one can do a VLOOKUP on columns A and B.

Attachment inactive+stocks GV.xlsx (1796380 bytes) (Download count: 7)


Mar 2, 2020 10:28:07 AM       
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