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yuvaltaylor

Yuval, 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. Jim Yes, you're using ConsEstMean correctly. NTM is calculated by adding the next four quarters' estimates. CurFY is calculated by adding the estimates and actuals for the four quarters in the current fiscal year. Yuval Taylor Product Manager, Portfolio123 invest(igations) Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC. 


Jrinne

Yuval, 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 


InspectorSector

But my appreciation for these factors does not matter. Those who have complained about value factors not working should logically be looking at other factors (including growth). I hope you will expand on your knowledge of growth factors. OK  I'll throw you guys a bone because you are putting up with my ranting :) I don't find the earnings growth formula or earnings estimate growth, as the case may be, very satisfying because it isn't doing what I would want it to do. Instead, I use a formula that I call operating leverage although the name is probably not correct. My understanding is that it is impossible to calculate the operating leverage. The formula is (Lower is better): ZScore("$STD_OpInc/$STD_Rev") The custom formulas are: $STD_OpInc LoopStdDev("OpInc(CTR,TTM)",12) $STD_Rev LoopStdDev("Sales(CTR,TTM)",12) This formula puts you at the knee of the operating curve income versus sales. But more importantly, the income is normalized by sales. This overcomes one of the big problems with the growth formula where change of EPS from 0 to 0.1 can either be extremely meaningful or have little value depending on the size of the company. When you combine low "operating leverage" with sales growth, you will see some great results. So I have to qualify that. I don't chase value stocks and I don't know how it will perform with value stocks. I have a custom universe of digital transformation stocks, essentially S/W stocks with strong growth characteristics. This stuff is my breadandbutter so I don't want to reveal any more. Contact me privately with any questions. Thank you! Steve Steve 


InspectorSector

For what its worth, I developed a fourfactor ranking system back in November with the following factors:  3year sales growth  Operating Leverage (as described above)  smoothness of sales growth  Weighted quarterly sales surprises Attached is the most recent 6 months which are outofsample for the PRussell3000 and my digital transformation stock universe. RS_Test.gif (58016 bytes) (Download count: 92) 

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last edit by
InspectorSector
at Jul 12, 2020 12:02:24 PM

judgetrade

hey thank you for all the great feedback, will try out all suggestions! Best Regards Andreas 


judgetrade

@inspectorsector how did you form your universe of digital transformation stocks, discreationary? How many stocks? Best Regards Andreas 


judgetrade

@ Dan: For example 100/10 would be 100/10=10 > that might be a great stock! It just might have just turned around and the price might not reflect that > I am with Jim here, it might not capture a growth, but it can be a good sentiment factor, especially on small caps. I tried: (CurFYEPSMean  CurFYEPS4WkAgo) /Max(0.02, Abs(CurFYEPS4WkAgo)) (NextFYEPSMean  NextFYEPS4WkAgo) / Max(0.02, Abs(NextFYEPS4WkAgo)) and I tried (CurFYEPSMean  CurFYEPS4WkAgo) / Abs(CurFYEPS4WkAgo) (NextFYEPSMean  NextFYEPS4WkAgo) / Abs(NextFYEPS4WkAgo) they give (much!) less performance then Abs(CurFYEPSMean) / Abs (CurFYEPS4WkAgo) Abs (NextFYEPSMean) / Abs(CurFYEPS4WkAgo) Both above factors in one node and a rank weight of 12.5%. at least with my ranking systems (which has some heavy quality and momentum components) and a filter on small caps on the buy rules 

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last edit by
judgetrade
at Jul 16, 2020 4:14:50 AM

judgetrade

@Steve The formula is (Lower is better): ZScore("$STD_OpInc/$STD_Rev") The custom formulas are: $STD_OpInc LoopStdDev("OpInc(CTR,TTM)",12) $STD_Rev LoopStdDev("Sales(CTR,TTM)",12) Where do I put the custom formulas, so the ranking formula ZScore("$STD_OpInc/$STD_Rev") works? Thank you very much!!! Best Regards Andreas 


InspectorSector

Judgetrade  I have a custom universe of approximately 170 stocks. I started with the constituents of the SKYY ETF then added more stocks from there. I've been researching these stocks for about a year. They are mostly highgrowth s/w stocks. You define the custom formulas in the P123 custom formula module. It looks like cloudcomputing is starting to have a meltdown :) 

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last edit by
InspectorSector
at Jul 16, 2020 5:59:19 AM

