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geov
Re: Factor and data series importing

Here is the Trading System for $$USMV which I use.

Attachment USMV Trading System.png (48019 bytes) (Download count: 96)


Jan 22, 2020 8:51:03 AM       
RTNL
Re: Factor and data series importing

Thanks Very much. So it seems that I can use any universe, as along as I have the $$series= 1. Is my understanding correct?

Jan 22, 2020 2:35:48 PM       
geov
Re: Factor and data series importing

You can use any universe, but to make sure you get all the stocks you should use All Fundamentals.

Jan 22, 2020 4:01:39 PM       
Edit 1 times, last edit by geov at Jan 22, 2020 4:02:43 PM
nisser
Re: Factor and data series importing

If I'm importing stock tickers I have no idea what to put into the third column...
First column is date (which seems meaningless), next is the ticker, and then what?

I import that and try to run a sim using $$XXX=1 as the buy rule but nothing happens.

Jan 22, 2020 7:52:23 PM       
Edit 1 times, last edit by nisser at Jan 22, 2020 7:57:44 PM
geov
Re: Factor and data series importing

If I'm importing stock tickers I have no idea what to put into the third column...
First column is date (which seems meaningless), next is the ticker, and then what?

I import that and try to run a sim using $$XXX=1 as the buy rule but nothing happens.

In the csv file the 1st column is the date, 2nd column the stock symbol, 3rd col is 1 or 0.
1 when the stock is in the holdings, 0 when the stock exits the holdings.

The whole exercise is tedious. Also the dates for 1 and 0 must be weekday=6 (Friday) for Monday's trades. If Friday is a non-trading day you have to use weekday=5 (Thursday).

Jan 22, 2020 9:01:06 PM       
RTNL
Re: Factor and data series importing

thanks Georg. You are immense help. Yes, building the universe was very tedious

Jan 23, 2020 7:33:31 AM       
aschiff
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
Portfolio123 Staff

Jan 23, 2020 10:58:27 AM       
wwasilev
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.

That's great, Aaron! Will that apply to both the port and screener backtester?

Walter

Jan 23, 2020 11:39:13 AM       
aschiff
Re: Factor and data series importing

Yes; it will behave this way for all usages.

Aaron
Portfolio123 Staff

Jan 23, 2020 12:55:05 PM       
aschiff
Re: Factor and data series importing

There's a few small issues to sort out with this. I'm going to try to have it all squared away tomorrow.

Aaron
Portfolio123 Staff

Jan 23, 2020 3:10:09 PM       
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