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rodbarcv2
Re: New engine released

I am still unable to run sims on the new engine - I keep getting Invalid uid in PriceHistory. Anyone else experiencing this?

May 7, 2020 5:29:58 PM       
marco
Re: New engine released

Daniel, we'll investigate
philjoe, the engine is our ratio & backtest engine which runs your screens, ranks, backtests, etc.
Nicoletta, what are the settings for you r two runs ? is it Factset vs Compustat ?
dnevin123, issue with CompleteStmt should be ok now

Thanks

Portfolio123 Staff.

May 7, 2020 5:44:04 PM       
aschiff
Re: New engine released

Hugh,
WeeksIntoQ, WeeksToQ, and WeeksToY now use additional dates (i.e. news date, filing date, and final date), taking the earliest date available to compute the result. Some issues were recently addressed causing some unwarranted differences beyond that. Apologies for the delayed response here.
I'll have to check into MScoreSGAI tomorrow. Thank you for your diligence with these differences.

Aaron
Portfolio123 Staff

May 7, 2020 6:20:59 PM       
Edit 2 times, last edit by aschiff at May 7, 2020 6:22:28 PM
C_Ibex
Re: New engine released

My simulations are not working on either a daily or weekly rebalance basis under the "current" system, but do work in "legacy" mode

May 7, 2020 7:13:45 PM       
atw
Re: New engine released

Hi Aaron and Marco,

Aaron's explanation about the new WeeksIntoQ, WeeksToQ, and WeeksToY is helpful to understanding the issues involved: The new WeeksIntoQ, WeeksToQ, and WeeksToY variables measure something different than the old WeeksIntoQ, WeeksToQ, and WeeksToY.

It's possible to make a case for both. For example, I use the legacy WeeksIntoQ, WeeksToQ, and WeeksToY at times to try to avoid holding certain positions through earnings reports. It's not perfect in that regard but the best proxy I could find. Losing the legacy WeeksIntoQ, WeeksToQ, and WeeksToY has had severe effect on some of my models.

As described, the new WeeksIntoQ, WeeksToQ, and WeeksToY may be useful at judging the freshness of a company's financial data. Now that I know what these variables mean, I'm going to explore their usefulness. In the meantime they are causing problems.

BOTH versions (legacy and current) of WeeksIntoQ, WeeksToQ, and WeeksToY could be useful. I STRONGLY recommend that p123 make them BOTH available in the new engine.

(Please forgive the capitalization that follows but we have been through this a number of times...) WHEN P123 MAKES BEHIND-THE-SCENES CHANGES TO DATA POINTS, VARIABLES, CALCULATIONS AND FORMULAS WITHOUT INFORMING SUBSCRIBERS AHEAD OF TIME ABOUT WHAT IT IS DOING OR WHAT IT HAS DONE, IT CAUSES A GREAT WASTE OF TIME. Many subscribers either are already or aspire to be serious traders. Real money is on the line. PLEASE DON'T MAKE THESE CHANGES, HOWEVER WELL-INTENTIONED OR CORRECT, WITHOUT LETTING US KNOW!!!

Along these lines... WHAT OTHER CHANGES TO DATA, VARIABLES, CALCULATIONS, FORMULAS AND/OR WHATEVER ELSE MIGHT BE OF CONSEQUENCE TO SUBSCRIBERS HAS P123 MADE DURING THE TRANSITION FROM THE COMPUSTAT LEGACY TO THE NEW COMPUSTAT (CURRENT/BETA) ENGINE?

I can't see how any subscriber can begin to measure the consequences of transitioning to FactSet data without working through these engine-related issues first. Once the transition to FactSet has been finalized it is going to be near impossible to trace these behind-the-scene changes that may have nothing to do with FactSet itself or its data but will still effect everything involved with FactSet and its data.

Hugh

May 7, 2020 9:15:37 PM       
atw
Re: New engine released

p.s. I believe the new engine is having issues handling "Ind" variables such as Inst%OwnInd I mentioned this before but don't believe a trouble ticket has been created. Before I go looking for more examples, has p123 made any engine or data-related changes in this regard?

Thank you.

Hugh

May 7, 2020 9:22:34 PM       
dnevin123
Re: New engine released

Hey guys, I took a couple of minutes this evening to compare the Compustat Legacy and Compustat Current engine behavior with respect to the Core Combination Ranking System.

When you run the ranks for today on the P123 Large Cap Universe at first everything seems basically the same, but when you dig in you start to see some rather large differences which appear to driven by the Final Stmt flag. First thing to notice is that the Final Stmt Flag is set to "Y" for all tickers on the Compustat Current engine, while 65 of the 388 tickers have a "N" value for Final Stmt on the Compustat Legacy engine.

This difference is not merely cosmetic as the tickers which have a "N" value on the Compustat Legacy engine have significantly different Rank Positions (RankPos) on the Current engine. On average the absolute RankPos difference between tickers on the two engines is 1.8, but if the ticker has a "N" on the Legacy engine then its average absolute RankPos difference is 4.5.

Is the lack of Preliminary Stmts on the Compustat Current engine by design? From my limited perspective, it looks like the Current engine is failing to incorporate Preliminary Stmt data like the Legacy engine did. Could this potentially explain some of the drop-off in performance many of us are seeing in our Strategies when we run on the Compustat Current engine vs the Compustat Legacy engine?

Thanks,

Daniel

May 7, 2020 9:35:13 PM       
marco
Re: New engine released

Daniel , CompleteStmt will be fixed later today. Should not affect RankPos though, it's purely a display issue. THere are other fixes that will be released that like fix the differences.

Hugh, lets discuss WeeksTo/Into in a separate thread. Your use case is why they were added: to avoid ( or focus ) on companies about to announce. It was purposefully made fuzzier by using weeks instead of days since we do not have exact announcement dates in the future. But now they are more precise in the past (albeit still +/- week). You could add a separate factor DaysTo that is more precise and leave WeeksTo as before. Lastly, I'm assuming your past results are being affected with the greater precision. That could be a sign of trouble for the strategy itself too.

C_Ibex, still investigating daily sims

Portfolio123 Staff.

May 8, 2020 7:47:13 AM       
Nicoletta
Re: New engine released

Daniel, we'll investigate
philjoe, the engine is our ratio & backtest engine which runs your screens, ranks, backtests, etc.
Nicoletta, what are the settings for you r two runs ? is it Factset vs Compustat ?
dnevin123, issue with CompleteStmt should be ok now

Thanks

The 2 graphs shown are just a re-run done yesterday against the saved graph I had saved on 02/16/2020, So is Compusat Lagacy against current. I here attach the same Sim with the four possibility. Unbelievable differencies...
Fabio (Nicoletta)

Attachment Legacy Compusat.JPG (116862 bytes) (Download count: 101)


Attachment Current Compusat.JPG (118054 bytes) (Download count: 100)


Attachment FactSet Prelim.JPG (135433 bytes) (Download count: 103)


Attachment FactSet Exclude.JPG (134856 bytes) (Download count: 101)


May 8, 2020 8:23:34 AM       
Edit 2 times, last edit by Nicoletta at May 8, 2020 9:34:18 AM
dnevin123
Re: New engine released

Marco,

Thanks for the response. I am curious about the comment that the FinalStmt flag difference is purely cosmetic. If that is the case, why I am seeing such a difference in RankPos for the companies which have an "N" for FinalStmt in the Legacy engine. Note that this discrepancy is even more pronounced if we look at universes other than the P123 Large Cap Universe. For the P123 Micro Cap universe the average difference of RankPos across all securities is 9.9, but if I focus on just the securities flagged with an "N" on the Legacy engine the average difference in RankPos is 28.4.

This definitely seems more than cosmetic. There appears to be a fundamental difference in the way the "non-Final" Stmt data is being handled between the two Compustat engines.

(EDIT) - Added the stuff below

In the interest of comity, I went ahead and attached the spreadsheet I was using to do this analysis. Might be a bit difficult to follow at first, but if you focus on Rows 2-5 of the "P123LC - Compustat Delta" tab I think it might be helpful. Note that Row 5 calculates the Absolute Average difference in the Rank assigned to a particular Stock in both engines for each of the Factors used in the Core: Combination Ranking System. The higher the number the worse the difference. (I also color scaled the cells, so the redder the cell the worse the difference.) Row 4 calculates the same Average Absolute difference in Rank for just the Stocks flagged with an "N". Rows 2&3 should be easy to figure out from there. Based on this quick analysis it looks like the major differences between the Current and Legacy Compustat engines come from the following Core:Combination Factors in descending order of severity.

Unlevered Free Cash Flow to EV
EBITDA/EV
Free Cash Flow to Price
EPS Acceleration - recent
Gross Profit to EV
EV to Sales
Pr2SalesTTM
EPS%ChgTTM
Surprise%Q1
IntCovTTM
Surprise%Q2
Excess Gross Margin
PR52W%ChgInd
EPS5YCGr%
EPS Acceleration - longer term
Interest Coverage (5-year)
Pr2TanBkQ

You can also see from comparing Row 4 to Row 5 that the differences in Absolute Rank for these Factors are significantly worse for the Stocks with the "N" FinalStmt flag.

I'm sure you guys have seen all this yourselves, but I figured I would send it across in case it might help.

Thanks,

Daniel

Attachment Core Combination Ranking - Engine Comparison.xlsx (2421821 bytes) (Download count: 5)


May 8, 2020 8:34:55 AM       
Edit 4 times, last edit by dnevin123 at May 8, 2020 9:30:48 AM
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