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paulnovell
Re: FRED series

Since we're on the topic of times series, any chance we can get some of the other VIX indices added to the time series? The ones I'd like to see are VIX9D, VIX3M, VIX6M, and VIX1Y.

Thanks.

Paul

Jul 24, 2020 2:10:03 AM       
yuvaltaylor
Re: FRED series

Since we're on the topic of times series, any chance we can get some of the other VIX indices added to the time series? The ones I'd like to see are VIX9D, VIX3M, VIX6M, and VIX1Y.

Thanks.

Paul

You can download these from the CBOE website. You just have to log in (it's free). You can then put them in an imported data series and use that series throughout your research.

I hope this helps.

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

Jul 24, 2020 9:25:19 AM       
paulnovell
Re: FRED series

Thanks Yuval. That is what I do now. But I would need to do that everyday if I wanted to use them in a system in real time.

Paul

Jul 24, 2020 10:02:12 AM       
yuvaltaylor
Re: FRED series

Thanks Yuval. That is what I do now. But I would need to do that everyday if I wanted to use them in a system in real time.

Paul

At the moment we can't add any new $VIX series, I'm afraid. We're not getting any time series from FactSet yet.

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

Jul 24, 2020 11:44:23 AM       
aschiff
Re: FRED series

Ignacio,

When we say PIT data, we mean the entire revision history is represented, so it can be observed in the state it would have been for any given date. For FRED PIT series, the values are provided with effective dates when the series is retrieved, so our PIT series should exactly represent what is available on the FRED API.

To take advantage of the PIT series, you have to use the PITSeries function as detailed in the original post. Here's a demonstration for PITSeries that Yuval came up with:
SMA(4, 0, PITSeries(##RGDP)) * SMA(12, 0, PITSeries(##CPI))
"The use case for this is to adjust minimum market cap or minimum sales in universes for long backtests by this factor. So if your minimum market cap is $100 million in 1999, you would use this series to calculate the minimum market cap in 2020."

Aaron
Portfolio123 Staff

Jul 24, 2020 12:33:18 PM       
Edit 1 times, last edit by aschiff at Jul 24, 2020 12:33:52 PM
piard2
Re: FRED series

It generally makes more sense to use revised data for series based on sampling and polls (RRSFS, HOUST, UNRATE). Their average revisions are smaller now than 10 years ago or more (it's a fact), because tools and methodologies have improved (it's my interpretation). PIT data consider noise due to old measurement errors is a part of the information. I have looked into this thanks to ALFRED legacy data series for the above-mentioned series. I also noted that UMCSENT (poll) is not revised. In the case of INDPRO (sampling), revisions have sometimes been large enough in the last few years to occasionally change a trend calculation. INDPRO revisions may happen a long time after the 1st release (more than 6 months), so I prefer ignoring this series.
Yuval and P123 team thanks a lot for including more FRED data and giving the choice of PIT or not.

Jul 28, 2020 5:25:50 AM       
Edit 5 times, last edit by piard2 at Jul 28, 2020 7:21:56 AM
aschiff
Re: FRED series

For most series, the revised series will work just fine, but for the following five series, I recommend using the PIT series instead of the revised series to get them to work properly historically.

Revisions on these five series incrementally discard old values such that the revised series may not work as desired if historical values are needed (e.g. SMA):
  • ##INV2SLS (Total Business: Inventories to Sales Ratio) has had values back to 1948-01-01, and the latest revision has values back to 1992-01-01. The maximum supported offset for continuous usage is 111.
  • ##INVTOT (Total Business Inventories) has had values back to 1980-12-01, and the latest revision has values back to 1992-01-01. The maximum supported offset for continuous usage is 111.
  • ##ORDERSCAP (Manufacturers' New Orders: Nondefense Capital Goods ex.Aircraft) has had values back to 1968-02-01, and the latest revision has values back to 1992-02-01. The maximum supported offset for continuous usage is 109.
  • ##ORDERSDUR (Manufacturers' New Orders: Durable Goods) has had values back to 1958-02-01, and the latest revision has values back to 1992-02-01. The maximum supported offset for continuous usage is 110 (starting 1999-08-04).
  • ##RPCE (Real Personal Consumption Expenditures) has had values back to 1959-01-01, and the latest revision has values back to 2002-01-01. The maximum supported offset for continuous usage is 7. (There is a large revision around 2004 that causes this.)

For these five series, it is also recommended that you plot your technical functions on Fundamental Chart to ensure that they work properly.

Aaron
Portfolio123 Staff

Jul 28, 2020 2:17:54 PM       
Edit 3 times, last edit by aschiff at Jul 28, 2020 2:20:11 PM
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