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RTNL
Re: scoring system based on 0/1 ranks

Thanks Yuval, that helps. Are you using NA's are negative then? I mean is that the default in Frank?

Jul 27, 2020 9:32:42 AM       
yuvaltaylor
Re: scoring system based on 0/1 ranks

Thanks Yuval, that helps. Are you using NA's are negative then? I mean is that the default in Frank?

Yes, with FRank NAs are always ranked lowest.

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

Jul 27, 2020 10:33:08 AM       
jmh
Re: scoring system based on 0/1 ranks

Yuval,

As a side question would it be possible to add an option in FRank to force "NA neutral" (like for the ranking systems)?

I will put it as a request but was curious to get your take on feasibility first given what you guys already have on your to-do list?

The business case is to be able to replicate in custom universes exactly all the possible outputs of a ranking system.

Thank you,

JMH

Jul 27, 2020 1:03:08 PM       
yuvaltaylor
Re: scoring system based on 0/1 ranks

Yuval,

As a side question would it be possible to add an option in FRank to force "NA neutral" (like for the ranking systems)?

I will put it as a request but was curious to get your take on feasibility first given what you guys already have on your to-do list?

The business case is to be able to replicate in custom universes exactly all the possible outputs of a ranking system.

Thank you,

JMH

I'm afraid I don't understand the "business case" here. And given what we have on our to-do list, I can't see this being a very high priority. I wish I could be more helpful!

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

Jul 27, 2020 10:30:42 PM       
Jrinne
Re: scoring system based on 0/1 ranks

Yuval,

As a side question would it be possible to add an option in FRank to force "NA neutral" (like for the ranking systems)?

I will put it as a request but was curious to get your take on feasibility first given what you guys already have on your to-do list?

The business case is to be able to replicate in custom universes exactly all the possible outputs of a ranking system.

Thank you,

JMH

I'm afraid I don't understand the "business case" here. And given what we have on our to-do list, I can't see this being a very high priority. I wish I could be more helpful!


All,

JMH is the most polite person on the form with the most polite way of asking for something. He didn’t even ask for anything here. He just politely wants to know how much trouble it would be.

And obviously, if there is a reason to do this with ranks (which P123 does) if might be useful with Frank. There can be no doubt that this is a reasonable thing for JMH to want.

If I used Frank I would want to set it as neutral for NAs for a number of specific purposes. Fortunately for me, not for any purpose that cannot use regular rank at this time.

Very good thing for me as not having this option in the ranking system would cost me tens of thousands of dollars per year.

I am not a professional programmer, but how NAs are to be handled has been one of the first things discussed in any (all) programming course(s) I have ever taken. It is one of the most basic thing to be considered in programming. It should be a consideration for everyone—not just JMH.

The business case would be that JMH is a long-time user that has been, not just polite, but a strong vocal supporter of P123 and is making a reasonable request here.

There may be other higher priorities but there is a business case. Of that there can be no doubt.

Best,

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

Jul 28, 2020 4:55:35 AM       
Edit 12 times, last edit by Jrinne at Jul 28, 2020 8:23:42 AM
piard2
Re: scoring system based on 0/1 ranks

I am looking to develop a score that outputs 1 or 0 for each component. ( Like Piotroski's F score)

How does one go about doing that?

Traditional ranking will not work


This may be inelegant, but here's my formula for the g-score:

eval(roa%ttm>roa%ttmind,1,0)+eval(frank("(opercashflttm+cashfrinvestttm)/asttotttm",#industry,#desc)>50,1,0)+eval(opercashflttm>netincbxorttm,1,0)+eval(frank("$incomevariability",#industry,#desc)<50,1,0)+eval(frank("$salesvariability",#industry,#desc)<50,1,0)+eval(frank("capexttm/asttotttm",#industry,#desc)>50,1,0)+eval(frank("isna(randda,0)/asttota",#industry,#desc)>50,1,0)+eval(frank("isna(sgandaa,0)/asttota",#industry,#desc)>50,1,0)

That's one way of doing things. Paul's way is more elegant but this way you only need one custom formula.


As the booleans True and False are the integers 1 and 0 in P123 rule language like in many programming languages, you can remove most, if not all, eval functions from the formula, which will greatly improve readability and also allow putting more code in the maximum length of a formula.
Basically eval(roa%ttm>roa%ttmind,1,0) and roa%ttm>roa%ttmind are equal, even when one side of the ">" is "NA".

Jul 28, 2020 6:15:00 AM       
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