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yuvaltaylor
FRED series

We have now made available to our subscribers dozens of economic activity series from the Federal Reserve's Economic Data (FRED) for use across our website. The complete list of series is in the Factor and Function Reference under MISC / TIME SERIES IDS. Much of this data goes back much further than twenty years.

In addition, these series being introduced in this release have a PIT version (though the pre-existing FRED series like ##UST10YR don't). So if you want to use the Real Gross Domestic Product in a screen or simulation, you can use either the data from the revised series (e.g., Close(0, ##RGDP)) or the point-in-time series (e.g. Close(0, PITSeries(##RGDP))).

A potential pitfall of using the series as point-in-time is that there can be significant jumps when series are revised. To see a demonstration of this behavior, try using Fundamental Charts to plot the past 10 years of Close(0, ##RGDP) and Close(0, PITSeries(##RGDP)).

If you need to download any of these series, you can do so at https://fred.stlouisfed.org/ or by using an Aggregate Series with a rule like UnivAvg("True", "Close(0, ##RGDP)").

We are working on phasing out the Compustat time series for economic indicators. All the non-economic indicators in that series already have FRED equivalents in our system (e.g. ##UST10YR and ##FEDFUNDS). Now the economic indicators have FRED equivalents too. At some point in the near future we will be replacing your existing commands using Compustat time series with the FRED equivalents (along with the appropriate multiplier/divisor if series are equivalent except for a 100:1, 1000:1, or 1:1000 ratio).

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

Jul 16, 2020 4:57:13 PM       
geov
Re: FRED series

We have now made available to our subscribers dozens of economic activity series from the Federal Reserve's Economic Data (FRED) for use across our website. The complete list of series is in the Factor and Function Reference under MISC / TIME SERIES IDS.

Yuval, where do I find the Shiller CAPE reatio, #SPPE10 ?

Jul 17, 2020 8:15:53 AM       
yuvaltaylor
Re: FRED series

We haven't changed the S&P 500 functions at all. They remain the same.

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

Jul 17, 2020 10:01:38 AM       
geov
Re: FRED series

Yes, but the CAPE ratio is not available to be used in formulas. It is not under Time Series IDs.

Attachment S&P 500 IDs.png (79913 bytes) (Download count: 158)


Jul 17, 2020 10:09:28 AM       
Edit 1 times, last edit by geov at Jul 17, 2020 10:10:56 AM
yuvaltaylor
Re: FRED series

Yes, but the CAPE ratio is not available to be used in formulas. It is not under Time Series IDs.

It hasn't been under Time Series IDs for a long time. I don't know why. The latest data we have for it is over a year old. I'll look into this.

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

Jul 17, 2020 10:40:36 AM       
Edit 1 times, last edit by yuvaltaylor at Jul 17, 2020 11:20:34 AM
atw
Re: FRED series

This is a GREAT development and another example of P123's continuing effort to expand the data and tools it offers.

Question... Is there any kind of tutorial related to working with this data?

In particular, I could use help getting up to speed with both fundamental charts and downloading data/aggregate series. To be honest, all aspects.

Thank you.

Hugh

Jul 17, 2020 11:40:09 AM       
pdemartino
Re: FRED series

On the one hand, using these series is easy. To get the most recent reading, just use Close:

Close(0,##RGDP)


That should work in any technical rule that has the series parameter. For example, if you want to take a 10-period simple moving average, that would be:

SMA(10,0,##RGDP)


The issue, of course, is that it is a 10-period simple moving average. So you need to know what the periods of the time series are. In this case, real gross domestic product is quarterly, so the 10-period average is over the period of 2.5 years. Write your rules accordingly.

I'd be happy to help you with more specific rules. Just email me.

Jul 17, 2020 2:01:41 PM       
Edit 1 times, last edit by pdemartino at Jul 17, 2020 2:49:28 PM
yuvaltaylor
Re: FRED series

This is a GREAT development and another example of P123's continuing effort to expand the data and tools it offers.

Question... Is there any kind of tutorial related to working with this data?

In particular, I could use help getting up to speed with both fundamental charts and downloading data/aggregate series. To be honest, all aspects.

Thank you.

Hugh

You might find these helpful: https://www.portfolio123.com/doc/side_help_item.jsp?id=32 and https://www.portfolio123.com/doc/side_help_item.jsp?id=34 A few things may be a little out-of-date (e.g. "Custom Series" is now "Aggregate Series"), but otherwise they're solid.

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

Jul 17, 2020 10:48:36 PM       
atw
Re: FRED series

Thank you, Paul.

Thank you, Yuval.

I have printed the tutorials which appear to be very helpful and will let you know if I have any further questions.

Hugh

Jul 20, 2020 10:12:10 AM       
ivillalongabarreiro
Re: FRED series

Dear Yuval,

When you mean, PIT data, are you refering to the non-revised data, or real PIT data?

I mean, for example, unemployment is published the first friday of the following month. So the data of January is published the first friday of February. When you download FRED data, the date asigned to that realeased is 1st of January, so you need to calculate the real date of the release.

Could you explain further how the PIT works in P123 for the FRED data?

thanks in advance!

Jul 23, 2020 3:34:48 AM       
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