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marco
NEW: Data Miner App & P123 API -- v1.0 (beta)

Dear All,

The new Data Miner stand-alone app (built on top of Portfolio123 API) is now available for use. Data Miner is a Windows application for non-programmers. It can run thousands of unattended operations with ease, speed and reliability. Currently it features several data mining operations, such as rolling screens , rank performance tests, and rank downloads. Data Miner can also be used to download point in time factors (data license required). We'll be adding several operations soon, so let us know what you think. In addition, we're also releasing it as an open source project so you can create your own versions or, if you like, contribute to the official release.

This is version 1.0 so bear with us. We think it's worth releasing it now because it has many nice features that can help you run comparisons between FactSet & Compustat.

You can download Data Miner in the link below. Be sure to download the samples and read the pdf.

https://www.dropbox.com/sh/08lu93jqio254m2/AAB8f3zelalF3DOE0yEJfvaCa?dl=0

Programmers: the API documentation can be found here
https://api.portfolio123.com:8443/docs/index.html

The Open Source project will be available soon here:
https://github.com/portfolio-123



NOTE: You will need your own private API key. To generate it click on your picture on top right, then Account Settings -> Subscriptions -> API and click ‘Create’.

Portfolio123 Staff.

May 11, 2020 3:01:16 PM       
dnevin123
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

Awesome! Thanks for the hard work putting this together.

May 11, 2020 4:11:52 PM       
Jrinne
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

Marco,

Thank you! This has awesome potential (whether I end up being able to use it or not).

I have downloaded it and I have been able to use one of the samples (Ranks-inlined ranking system).

I have a question about labels. None of your samples provide labels: i.e., the returns.

Is that something that can be obtained without a data provider license?

Ultimately to be useful I will need the returns (or labels for supervised learning) and I will have to learn the indexing method to concatenate the returns of a ticker (for a specific week) with the ranks (for that week).

How is this indexed? I do not see what I normally consider an index. Will the P123 UID function as an index?

Ideally, the data would have a hierarchical row index of the date and the ticker for download. The factor ranks would be the column index (along with the label or returns of the next week). Ultimately, I would probably prefer to download the data and run it though Jupiter Notebooks, Colab or Spyder.

I could probably even hire a graduate student to help me with this if need be. So the details of how to do this may not be important in this thread.

Anyway, this is great! And thank you in advance for any information. If I cannot ultimately use this that is probably okay: the price I pay for not taking enough courses in programming. Although, I think you will be rewarded for making this usable for the average graduate with a finance degree (at the undergraduate level). I think you will want to attract people who want to run econometrics models that they learned getting undergraduate finance degrees which may not have involved a lot of programming.

For now my only question is whether a license is required to get data on returns (the label for supervised learning). If a license is requried, I will probably continue using what P123 already offers without spending a lot of time on learning how to use this addition now.

Thank you.

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

May 12, 2020 9:04:55 AM       
Edit 13 times, last edit by Jrinne at May 12, 2020 12:00:13 PM
Quantonomics
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

I get this error:

2020-05-12 11:39:27,152: API request failed: Your current membership only gives you access to historical data after 2015/01/01.

How come I can run backtests from 1999-2020 on the website and with the Data Miner it's only 2015?

Other than that, seems really promising, excellent work.

May 12, 2020 10:40:40 AM       
Edit 1 times, last edit by Quantonomics at May 12, 2020 11:07:19 AM
Barn
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

I get this error:

2020-05-12 11:39:27,152: API request failed: Your current membership only gives you access to historical data after 2015/01/01.

How come I can run backtests from 1999-2020 on the website and with the Data Miner it's only 2015?

Other than that, seems really promising, excellent work.


I get the same error

"2020-05-12 12:15:19,888: API request failed: Your current membership only gives you access to historical data after 2015/01/01"

Just my $0.02 ... Actually I need that back for my port.
Barn

May 12, 2020 11:16:44 AM       
marco
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

What's the operation? The 'Data' operation is the only one that is not the same as your P123 membership since it requires a data license

Portfolio123 Staff.

May 12, 2020 11:39:38 AM       
Quantonomics
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

What's the operation? The 'Data' operation is the only one that is not the same as your P123 membership since it requires a data license


Main:
Operation: RankPerformance
On Error: Stop

Default Settings:
Engine: Legacy
Vendor: Compustat
PIT Method: Prelim
Buckets: 5
Start Date: 2000-01-01
End Date: 2020-01-01
Rebalance Frequency: 13Weeks
Universe: S&P 500
Benchmark: SPY
Minimum Price: 1.0

Iterations:
-
Name: EBITDA/EV
Ranking:
Formula: EBITDATTM/EV

May 12, 2020 11:40:24 AM       
Edit 1 times, last edit by Quantonomics at May 12, 2020 11:41:02 AM
Barn
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

What's the operation? The 'Data' operation is the only one that is not the same as your P123 membership since it requires a data license


I was trying out the sample rank performance only. I posted after I got the same error and figured there was a bug.

Just my $0.02 ... Actually I need that back for my port.
Barn

May 12, 2020 12:24:42 PM       
marco
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

Can you try again? Should be fine now

Portfolio123 Staff.

May 12, 2020 12:27:54 PM       
Quantonomics
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

Can you try again? Should be fine now


You fixed it, have a small question tho:

-
Name: EBITDA/EV
Ranking:
Formula: EBITDATTM/EV

Is there a way to specify RankType (i.e. Lower) and Scope (i.e. Industry)?

May 12, 2020 12:43:43 PM       
Edit 1 times, last edit by Quantonomics at May 12, 2020 12:44:12 PM
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