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geov
Re: FactSet beta site v1.0, NOW LIVE

Yes, starting this evening you'll be able to select use or exclude prelims in screens, simulations, and rank performance. Fundamental charts and aggregate series will default to use prelims, at least for now.

Yuval, where can I set the option to exclude preliminary data?

Jun 26, 2020 6:31:51 PM       
sglinski
Re: FactSet beta site v1.0, NOW LIVE

It’s under the tabs trading system - general

Jun 26, 2020 6:48:24 PM       
geov
Re: FactSet beta site v1.0, NOW LIVE

It’s under the tabs trading system - general

Where is that on the menu? Can't find it.
Why did they not just leave it were it was before?

OK, I found it.
A screen print would have been helpful.

Attachment PIT Method.png (31943 bytes) (Download count: 115)


Jun 26, 2020 8:55:11 PM       
Edit 2 times, last edit by geov at Jun 26, 2020 9:06:50 PM
dkalmuk
Re: FactSet beta site v1.0, NOW LIVE

It seems the PIT method may not be feeding through for rolling tests - just noticed that if I run a sim through a rolling test with / without prelims it's still showing exactly the same results (even though manual runs of the sim show differences).

Jun 26, 2020 10:01:50 PM       
yuvaltaylor
Re: FactSet beta site v1.0, NOW LIVE

It seems the PIT method may not be feeding through for rolling tests - just noticed that if I run a sim through a rolling test with / without prelims it's still showing exactly the same results (even though manual runs of the sim show differences).

Good catch. We'll get that fixed.

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

Jun 26, 2020 11:33:30 PM       
SpacemanJones
Re: FactSet beta site v1.0, NOW LIVE

every transition is difficult, I adapted my ranking system and my backtest results now match almost my prior results.
38% new data, 40% old data, last 10 Years. But capital curve so far is worse with the new data.

But this can change to the positive if we find out to utilize the strengths of the new data provider and some more functionality
is comming (Short interest, international data etc.). All in all I am very fine with the new data provider and the transition phase.


Andreas, this is my expectation also. Once the new data has settled in I expect to go back through my factors and reevaluate them. Given many mentions of how compustat and factset standardize data in different - but consistently different - ways - I expect to make adjustments as needed. I anticipate I have some factors over-optimized based on a particular way computat calculates things and need to respecify or modify. Screen results currently are fairly similar presently which is a positive sign though.

Jun 27, 2020 12:13:27 AM       
geov
Re: FactSet beta site v1.0, NOW LIVE

FactSet data works well for me - glad that P123 got rid of Compustat. The P123 Team needs to be congratulated for this huge effort. Now I am looking forward to Europe and Australia data.

Also, thank you for providing access to data from 1999 now. That is a big improvement over the ridiculous 15-year limit imposed by Compustat.

Jun 27, 2020 8:36:25 AM       
test_user
Re: FactSet beta site v1.0, NOW LIVE

I am very happy with the transition, this has gone much smoother than I feared. My models survived with roughly the same results using FactSet data, and with some tweaking I actually ended up with much better (and seemingly more robust) backtests than I managed to get with Compustat, though as always we'll have to see how the models hold up in the real world.

If we get to keep the short interest data and get data back to '99 this transition seems to me to be a big improvement overall over the Compustat days. A very big thank you to Portfolio123!

Jun 27, 2020 8:57:38 AM       
pfrommert
Re: FactSet beta site v1.0, NOW LIVE

Are the fundamental charts with prelims or without? Is it possible to add an option there?

Jun 27, 2020 11:56:53 AM       
wwasilev
Re: FactSet beta site v1.0, NOW LIVE

Factset is working well for me, too. Thank you P123 for making this a successful transitions. I'm not going to miss Compustat as much as I thought.

Walter

Jun 27, 2020 12:56:37 PM       
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