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Re: FactSet beta site v1.0, NOW LIVE

Doug - I get 1,4567 records back with that rule. First thing to check is to make sure the universe setting on the screen is All Fundamentals - USA (at least for now to test this). I'm assuming ConsEstMean(#EPSY,0)>ConsEstMean(#EPSY,0,4) is the only rule in the screen and there is no a previous rule that would have eliminated all the stocks. If you have other rules in the screen, disable those for now.

If that doesn't help, then maybe the system thinks you are still a Compustat user. If so, then you would get 0 records from that rule. Try clicking the reload button in the top left corner of the browser. if that doesnt work, then log out of p123, close your browser, reopen it and try the screen again. If the screen still doesnt return any rows, please look at the very bottom of your p123 window and confirm that it says "Copyright © 2020 FactSet Research Systems Inc...." - then we will know that you are setup as a FactSet user.

Thanks again, Dan. Yes, the system thinks I'm a Compustat user. I tried your first two fixes and they didn't help. Do you think I ne:ed to restart my computer?

Edit: okay, I did a restart and I'm on Factset--thanks!

Jun 30, 2020 11:03:53 AM       
Edit 1 times, last edit by Doug at Jun 30, 2020 3:46:36 PM
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.

Any eta on when it will be fixed? Hoping to re-verify systems that have real money in them that seem to behave better without prelims (but the rolling tests seem to always default to use prelims).

Following up on this one again - I see through the trello board that the issue is now marked "done" but when I try a rolling test with use vs. exclude prelims the results still always match the "use prelims" setting.

Jul 1, 2020 10:45:15 AM       
Re: FactSet beta site v1.0, NOW LIVE

Hi, sorry for the inconvenience. The issue was marked done but it didn't get deployed; it should be available later today with a new build.

Portfolio123 Staff

Jul 1, 2020 11:15:54 AM       
Re: FactSet beta site v1.0, NOW LIVE

Does FactSet offer historical data with daily updates? Ie. what is preventing us from backtesting with daily data as opposed to the weekly we have now?

Jul 1, 2020 1:08:45 PM       
Re: FactSet beta site v1.0, NOW LIVE

Hi, been reading through the document again and wonder if I have to adapt my ranking system, I especially wonder about the earnings factors:

Abs(CurFYEPSMean) / Abs (CurFYEPS4WkAgo)
Abs (NextFYEPSMean) / Abs(CurFYEPS4WkAgo)

Also, are those factors o.k. using?






(mktcap + DbtTotQ - (CashPSQ * ShsOutMR)) / Eval(FCFQ>0,FCFQ,NA)

I am not asking to give advise in terms of if I should use those factors in general, only in the context of factors that have
been added, changed with the new data provider (and might not work or have vastly different effects now).

Also It would be great if the community could give some feedback if and how you used the following factors, examples are very welcome.

ConsEstMean(item[, period, weekAgo])
ConsEstHi(item[, period, weekAgo])
ConsEstLow(item[, period, weekAgo])
ConsEstCnt(item[, period, weekAgo])
ConsEstMedian(item[, period, weekAgo])
ConsEstStdDev(item[, period, weekAgo])
ConsEstUp(item[, period, weekAgo])
ConsEstDn(item[, period, weekAgo])
period: 0-4 (0 is current, 1 is next, etc.)

Thank you very much!!!

Best Regards


Jul 11, 2020 3:40:15 AM       
Edit 1 times, last edit by judgetrade at Jul 11, 2020 3:41:27 AM
Re: FactSet beta site v1.0, NOW LIVE

Hi Andreas. I have a comment regarding the Abs(CurFYEPSMean) / Abs (CurFYEPS4WkAgo) formula you show above. It is just a general comment and unrelated to the FactSet migration. Calculating growth is complicated whenever both the numerator and denominator can be either positive or negative and I dont think using Abs for both will give the desired results in all cases. For example -100/10 would be 100/10=10 which would get a high rank even though it is a very bad stock. I usually use (CurFYEPSMean - CurFYEPS4WkAgo) /abs(CurFYEPS4WkAgo) but that doesn't work in all cases either.
There is a general growth function available and it gives good results for this example. Try Gr%(CurFYEPSMean , CurFYEPS4WkAgo). But I dont know what the code looks like and if it handles all the possible cases of positive and negative numbers in the numerator and denominator. Another option would be to create a complicated nested Eval statement to handle the various cases, but I dont know if that would fit in the allowed character length for a formula. I would be very interested to hear from other members on how they calculate growth in cases like this.


Jul 11, 2020 11:24:10 AM       
Re: FactSet beta site v1.0, NOW LIVE

Gr% does something different--I'm not 100% sure what. Take DHX. CurFYEPSMean is 0.02, CurFYEPS4WkAgo was -0.01. Growth should therefore be 300% but Gr% gives 267%. At any rate, the correct formula is indeed (CurFYEPSMean - CurFYEPS4WkAgo) /abs(CurFYEPS4WkAgo). I usually add Max to the denominator: (CurFYEPSMean - CurFYEPS4WkAgo) /Max(0.02, Abs(CurFYEPS4WkAgo)).

This and other factors should work fine on FactSet. But do your due diligence. Run each as a ranking system on your universe and look at the decile behavior.

As for the consensus estimate functions, the NTM ones (next twelve months) are great. We've always had to use CurFY and NextFY no matter where in the fiscal year we were. Now we can use NTM for forward PE, forward price to sales, forward FCF to EV, etc. You can use it for growth ratios too--(ConsEstMean(#EPSNTM) - EPSExclXorTTM)/Max(0.05,Abs(EPSExclXorTTM)).

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

Jul 11, 2020 3:53:47 PM       
Edit 1 times, last edit by yuvaltaylor at Jul 11, 2020 4:00:10 PM
Re: FactSet beta site v1.0, NOW LIVE

the correct formula is indeed (CurFYEPSMean - CurFYEPS4WkAgo) /abs(CurFYEPS4WkAgo)

There is nothing "correct" about it. It isn't a growth formula unless the parameters are significantly positive. The formula as is highly ranks stocks operating about CurFYEPS4WkAgo=0. THat can be useful but doesn't represent growth by any means.

Jul 11, 2020 11:03:10 PM       
Re: FactSet beta site v1.0, NOW LIVE


Thank you for your comments. I use (CurFYEPSMean - CurFYEPS4WkAgo) /abs(CurFYEPS4WkAgo) too.

I have also used something similar to CurFYEPSMean - CurFYEPS4WkAgo) /Max(0.02, Abs(CurFYEPS4WkAgo)). I think it is a good idea. I have found it does not seem to make much difference in sims so I do not use the Max in the denominator out of pure laziness.

I just have a questions about programing with FactSet. Mainly about the defaults, I guess. Do period and weekAgo both need to be specified? If not, which gets defaulted for sure.

Or on a practical level, I just want to be sure that the analogous equation to the above using NTM would be: (ConsEstMean(#EPSNTM,0)-ConsEstMean(#EPSNTM,0,4))/abs(ConsEstMean(#EPSNTM,0,4).

Basically, I want to be sure that this last equation is doing what I think it should and that I am not missing something. Any error correction appreciated.

I guess I am unsure because the equation works but does not seem to be quite as good as using some combination of (CurFYEPSMean - CurFYEPS4WkAgo) /abs(CurFYEPS4WkAgo) and (CurNextFYEPSMean - CurNextFYEPS4WkAgo) /abs(CurNesxtFYEPS4WkAgo) in a node.

Intuitively I would have thought (ConsEstMean(#EPSNTM,0)-ConsEstMean(#EPSNTM,0,4))/abs(ConsEstMean(#EPSNTM,0,4) would have worked better than the combination in the previous paragraph.

Maybe I am doing something wrong.

And if you know, how is #EPSNTM calculated? I assume it is a function of FY and nextFY as analyst do not generally make a prediction of the next 12 months that I have ever seen. It would be easy to weight FY and NextFY based on the number of months left in the fiscal year, however. Is it just a weighted combination of the two?

Thank you.


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 12, 2020 6:54:16 AM       
Edit 2 times, last edit by Jrinne at Jul 12, 2020 7:34:19 AM
Re: FactSet beta site v1.0, NOW LIVE

I use (CurFYEPSMean - CurFYEPS4WkAgo) /abs(CurFYEPS4WkAgo) too.

There is nothing wrong with using the formula. It just doesn't represent growth in the majority of applications. You are most likely flagging companies operating around the knee of the sales/earnings curve, which is not a bad thing if you are looking for companies with growing sales that are likely turning the corner on profitability. If you ignore the logic behind it (i.e. earnings growth) and "go with what works" then you might have some success with it.


Jul 12, 2020 9:16:04 AM       
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