Everything I build with actuals and higher volume stocks (mid to big caps) data is going through the roof (out of sample, short timeframe (about a year), but significant. The backtest is a bit worse than the OOS time, so I suspect the data provided gets better… Anybody build systems with actuals da…

I really like the actuals data, it is more accurate than the previous historical data. I did not get the level of boost you experienced, but it is better

[image] Are actuals pit? General What backtest parameters are you using? I’m not seeing anything unusual here. [image] This may be due to the recent popularity of actual data-related factors. But at least it proves that the actual data may be useful and is unlikely…

well, I got different stuff in my head concerning actuals data Popularity more companies posting actuals now than in the past recent data (that comes into the database from the day p123 implemented might be better than the historic (that was bulk loaded when P123 implemented it) surprise…

One more thing --> all my actuals models explode 2020 --> that was the change to Factset, so they might have better actuals data...

I mean, this is pretty cracy -- > [image] [image]

Is it possible that this is because P123 collects its own actual data?

fed pumped the market with money after April 2020, price went up for everything, run the same on data from 2014 to 2024, if the strategy is decent it should return around 8x to 11x from jan 2014 to around jan 2020 on major tech, regarding data P123 keep tinkering and this sometimes is reflected wh…

Yes, that could be it (FED Pumping, Market structure definitly changed then!) Results from 2014 - 2020 are about 30% / 35% DD, so very decent for a mid to big cap model. The actuals models I am looking at are out of sample since about a year and they did great, so I will start put some allocation …

I am sorry, i have been reading two threads on this topic but is unclear to me what actuals are. Do you mean actual data released by companies as opposed to expected ? Do you mind providing an example ? Thank you

There is some background here: [image] Full set of “Actuals” released Latest Release Dear All, We released a full set of factors and functions to access “Actuals”. Until today we were mostly using Actuals to calculate earnings surprises (sales and EPS), by comparing the v…

Actuals Data --> really powerfull!

General

test_user October 10, 2024, 7:52am 11

There is some background here: