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Jrinne
Re: Factor and data series importing

That is an awful lot of lines of code for a sim rebalanced weekly.

Jim, Agreed. Especially problematic if it runs up against a rule count limit. I plan to stick to stock factors for this use case. However, as Yuval pointed out, stock factors are meant to capture continuous data. Say you had AAII's Sentiment Survey data, you wouldn't want to clear older entries when there's an update.

Walter

EDIT: I was going to suggest adding commands to stock factors, but that has issues, too. Maybe.

Walter,

Agreed. I like this feature and it is even possible that I will use it someday.

My only real point, that is new, is that InList is a non-starter for many things unless I am missing something.

A bit of a "red-herring" I think. But again I could be missing something.

Marko has already made an articulate point about automatic zeroing and I will not belabor that point.

-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

Jan 27, 2020 8:14:01 AM       
wwasilev
Re: Factor and data series importing

My only real point, that is new, is that InList is a non-starter for many things unless I am missing something.

Jim,

I used InList because it was there for a prior use. I don't think it's required. Ticker() may work too.

Walter

EDIT: auto-zero has problems, too. I don't think that's a solution.

Jan 27, 2020 8:52:17 AM       
Edit 1 times, last edit by wwasilev at Jan 27, 2020 9:04:15 AM
Jrinne
Re: Factor and data series importing

My only real point, that is new, is that InList is a non-starter for many things unless I am missing something.

Jim,

I used InList because it was there for a prior use. I don't think it's required. Ticker() may work too.

Walter

EDIT: auto-zero has problems, too. I don't think that's a solution.

Walter,

Definitely agree that auto zero only works if it works as an option.

As far as InList it is great to have as another option. I have only used it for live ports to date.

I will have to look at its potential use in sims before commenting much more. I think there are some thing it I do not know about it.

Thank you.

-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

Jan 27, 2020 9:25:35 AM       
Edit 1 times, last edit by Jrinne at Jan 27, 2020 9:47:10 AM
wwasilev
Re: Factor and data series importing

I will have to look at its potential use in sims before commenting much more. I think there are some thing it I do not know about it.

Jim,

Let's not overlook the lack of documentation. That's the real problem.

Walter

Jan 27, 2020 9:50:21 AM       
yuvaltaylor
Re: Factor and data series importing

Normally I don't like to talk about what we're planning very much because even the best laid plans etc. But in this case, since there's so much discussion about it, I'll tell you. We are planning to subscribe to a service that will give us the historical holdings of ETFs. We will then enable any ETF to be named using the Universe command in universes, screeners, and simulations. That will be point-in-time. From there we will introduce more functions, one by one.

As for when this will be implemented, I don't know. We have a lot of improvements in the works, and in the meantime the FactSet transition requires a great deal of attention.

Obviously, once this is implemented, you won't have to use custom factors to define an ETF-based universe.

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

Jan 27, 2020 10:35:57 AM       
Edit 1 times, last edit by yuvaltaylor at Jan 27, 2020 10:37:24 AM
wwasilev
Re: Factor and data series importing

Wunderbar, Yuval!

Jan 27, 2020 10:51:09 AM       
Jrinne
Re: Factor and data series importing

since there's so much discussion about it,

There has been a lot of discussion and it has me interested.

It will be nice to thoroughly test how piggybacking off of ETFs works.

Thank you.

-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

Jan 27, 2020 10:56:25 AM       
Edit 1 times, last edit by Jrinne at Jan 27, 2020 11:00:53 AM
geov
Re: Factor and data series importing

Yuval that will be great having all those ETF holdings in P123.
You can even charge a few $ extra for this add-on.

As you may know I have had this idea already almost 6 years ago when I periodically downloaded the holdings of USMV and VDIGX. At that time it was difficult to decide what ranking system and rules to use, for obvious reasons.

Now, I have all the stocks for USMV in a stock factor and can check on how a port would have performed with various number of stocks from USMV , and different ranking systems and rules.

I can confirm that I can always outperform the ETF easily. Attached is a screen of the Top25 from USMV since approx. date of inception of USMV.

We can also contemplate running shadow ETFs this way, that would be very annoying to the ETF providers, but there is nothing they can do about it because they have to publish their holdings every day.

Attachment Top 25 from USMV since 1-1-2012.png (108910 bytes) (Download count: 54)


Jan 27, 2020 11:47:16 AM       
RTNL
Re: Factor and data series importing

I thought this was the correct syntax for stock factors series. But i am getting some errors
2020-01-25 INTC 1
2020-01-25 CRM 1
2020-01-25 NOW 1
2020-01-25 BLK 1
2020-01-25 BMY 1

can someone help me out?
I did the same thing before for a different series and that worked fine

Jan 27, 2020 12:15:28 PM       
geov
Re: Factor and data series importing

Your date syntax is wrong.
Should be
2020/01/25 INTC 1

Jan 27, 2020 12:17:16 PM       
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