Would it be possible to have the CDN symbols changed from xxx:CN to xxx.TO, perhaps as a user option? Yahoo doesn’t recognize the :CN format and I have no easy way to figure out what the stocks are.
Also, can the CDN universe be used in R2G models?
Steve
I think it can but there is no proper hedge available yet. It’s my roadblock atm as I would post an R2G right away otherwise.
I am seeing the impact of this change in some sims I was running. Can you please keep the old USA database available for a while (couple weeks??) until I have finished the project I was working on? thanks, Debbie
Hi Marco,
is there a way to use USA-Fundamentals + Canada Fundamentals as Base-Universe?
I would like to trade Canadian and US stocks in one system.
It is certainly possible, and in fact, the choice of suffix was vigorously debated in-house with me being the main advocate for use of :CN. We’re going to have a big problem whichever way we go. With use of :CN, we can’t precisely match Yahoo. But to match Yahoo, it’s not really a matter of substituting .TO for :CN. The Toronto exchange is not the only game in town. Many Canadian stock trade on other exchanges, so if we were to use .TO, you would not be able to use any ticker on p123 unless you first figured out what exchange the shares traded on.
On Yahoo or p123, you can start typing the company name into the ticker search boxes and have choices appear to you, so the burden would be manageable either way. But it could get very clunky on p123 if you decided to do something that requires use of the ticker function. Note, too, that with Canada, we’re trying to establish protocols we think will serve us well in other countries as we progress in what we hope will be a gradual march around the world. (Canada is not the only country with multiple exchanges.)
So a change in ticker protocol to TO is not out of the question. But before taking such a step, I think we’d have to hear from a significant portion of the p123 community of prospective global strategy builders. So to other users who are interested in venturing outside the U.S., please add your views.
Its a bit of a shame that the data service doesn’t identify the exchange. Does MSN or other financial site recognize :CN? I can’t seem to get quotes from MSN via the P123 site.
Ctrl + f “CN”
Replace all by .TO?
CN works with Bloomberg. I vote for CN because as Marc said TO is old school as the capital markets are expanding.
There are two main exchanges: Toronto & TSX Venture Exchange. Most larger companies trade in Toronto. I found only two companies with market cap greater than $2B that trade in TSX.
We chose Bloomberg ticker format , which is simply appending :CN to the ticker, but we could do what others are doing, which is appending .TO for Toronto & .V for TSX Venture. Yahoo, StockCharts & YCharts do that, which makes it handy since they are much more popular than Bloomberg (for us anyway)
Either way is fine with us.
I believe the strongest reporting requirements are for the TSX and it is likely(?) that TSX companies will all have the interim reports. So it may be an advantage to have a Universe(TSX) filter for that reason. Also, I’m not sure if you have any OTC stocks in your database but they are not allowed inside RSPs (tax sheltered accounts). This is a big consideration but of course that goes away if you don’t have any OTCs.
Steve
Steve, the data source does identify the exchange. If we want to go the Yahoo route, we can. The question is whether we’d find that more satisfying.
Here’s the problem. Yahoo is a U.S. stock service that decided to shoe-horn other data (global shares, mutual funds, etc.) in without really considering the implications of what that means for users.
You can see an example of that by going to Yahoo Finance, typing AAU and hitting return. Do it quickly. Don’t look at the various items Yahoo’s script shows as you type each letter. Just type AAU and hit enter. You’ll see a page for a NYSE stock called Almaden Minerals. That’s simple, normal, user, friendly, easy, etc. You need not identify which exchange it trades on; Yahoo addresses it automatically.
But there’s also a Canadian company with the ticker AAU; it’s AndeanGold. Because Yahoo, despite their dreams and likely PowerPoint-jockey fantasies of being more, of being more, is still essentially, a U.S. equity service, you can get AndeanGold but you’ll have to jump through hoops. You’ll have to type in AAU slowly and scan the possibilities offered to you in addition to the default U.S. company and eventually locate AAU.V, the eighth listing out of the 10 you see in the pop-up box and scroll down and click there – assuming you’re lucky. After ten listings, there’s a link that invites you to click for the rest of the results. Hopefully, the Canadian listing you seek will be visible somewhere in the top ten, otherwise, you’ll have to go on to step two. And by the way, the presentation you’ll get on Yahoo for the Canadian firm is very skimpy. You won’t be able to click to Sedar if you want filings; with Yahoo, it’s SEC or nobody. Click in the Financials for AAU.V; you’ll see blanks. Other items are greyed out.
I think it’s indisputable that Yahoo’s handling of non-U.S. stocks in pretty clunky; not the sort of user friendly approach that enabled Yahoo Finance to grow up and become Yahoo Finance in the first place. HYad they given serious thought to usability, they’d have used the CN convention rather than taking the lazy way and just loading what they got from a data provider whose data is also used on platforms that serve traders; folks who really need to be sensitive to exchange.
At present, p123 remains a bit U.S. centric too since we don’t make those who seek the U.S. company with the AAU ticker to input AAU:US. But going global always going to be more complex and at least we are trying to keep the extra complexity to a bare minimum. If you need the Canadian AAU, perhaps not just for a ticker search where you can benefit from our less bulky script bot for a Ticker () function, at least we don’t force you to go company by company to figure out if you need TO or V.
So my question to you, Steve, and others who aren’t thrilled with :CN, is why you need compatibility with Yahoo Finance. Is it just a matter of downloading tickers into Excel that can be imported into a Yahoo portfolio or watch list? There may be ways to meet your needs without having to adopt Yahoo’s exchange-centric protocol. quantmaven is on the right track with his suggestion of an Excel-based search-and-replace, but we’d have to go further since we need to know if we need to substitute .TO or .V.
2nd try:
Will there be a base universe : all fundamentals USA + Canada ?
Hi Mark,
In you reply to Steve, you said that the data source does identify the exchange. But the exchange is shown on the Snapshot screen in p123. Doesnt that give you what you need to determine if it would be .TO or .V?
For example, AAU:CN shows that the exchange is CVE (Canadian Venture Exchange). CVE is another name for the TSX Venture exchange, right? If so, those would be .V.
The only other exchange I have seen in any p123 sims is ‘TSE’ which I assume would all be .TO
I’m also trying to get an understanding of some of the other conventions used in the tickers. Any info on these would be appreciated.
.UN like NIF.UN:CN - it looks like these are all funds or trusts.
.H like BEV.H:CN - venture exchange. But not all that trade on the venture exchange have the .H. For example, MCR:CN.
.Z - delisted?
.U, .1 - Inactive?
Marc - I like the ability to be able to hover over the five day and 1 year links to see the Yahoo graphs and also hit the Yahoo quotes button which takes me directly to yahoo with the list of stocks so I can see the intra-day quotes. This is vastly superior to downloading a list into EXCEL and then converting to .TO or sometimes .V then trying to get quotes from Yahoo. So if Bloomberg provides the same functionality as Yahoo and you can incorporate a Bloomberg quotes button instead of Yahoo and MSN then I’d be happy with that, assuming Bloomberg is free and I don’t have to log in.
I also don’t understand why there is a problem with AAU defaulting to a US exchange while adding an extension modifies the result to be a specific or foreign exchange. For me, that is the best way of approaching this.
Apart from the above, and I guess it is a separate topic, but Universe filters for the TSX and Venture exchange are almost a necessity in my opinion. The Venture exchange is for junior stocks that have close to a junk status. There are a lot of fly-by-night companies listed on the Venture exchange. TSX, on the other hand, has strong reporting requirements. Even if there is no Universe filter, there needs to be a way for the user to easily differentiate between stocks listed on the two exchanges. Hence the need for .TO and .V
Steve
Bloomberg is 1800$/month minimum with no subscription to real time data feeds.
Wait a second, are you saying by having CN we will not have the 5d and 1y charts anymore and the one displaying the buy/sell point? Then that’s a big deal. We should keep it functional with yahoo terminology if that’s the case. Otherwise CN is much better for the Bloomberg users and in general.
quant - the chart with buy/sell points is generated by P123. I’m just talking about when you go to the list of current holdings. The list is displayed with [5day] [1yr] beside the stock symbols. A Yahoo chart automatically pops up when your cursor hovers over each of the links. At the bottom are buttons for Yahoo Quotes. Click on the Yahoo quotes and you automatically get a yahoo summary of all the stocks in the list.
Steve
In addition to appending “.TO” to Canadian tickers, Yahoo! changes periods to “-”. So, ACO.X becomes ACO-X.TO
I think “.U” appended to a ticker means the stock is traded in US dollars.
I’ve seen .U used for some ETFs. If there are any stocks with .U then it would be a problem for P123 regardless of notation.
Steve
Is there any way to implement a switch to choose between the database pre- Canada et. al. changes of March 19 and post changes in order to lend consistency across back tests? The way it stands now, apparently, all sims run after the change will give different results and stats than before; this means all R2G results are no longer repeatable, so reported back-test results are now erroneous, all Portfolio 123 pre-built ranker results are non- repeatable, and all user developed sims, ports, and rankers cannot statistics can not be replicated?
I fully get what P123 has done.
I would be curious (maybe I might learn something useful) as to why the changes occurred. Is it all just because of the earnings estimates of type A and B shares? Hard to believe.
There have been several posts recently suggesting that earnings estimate are not perfect. Do we have the best provider for the price? Zacks Rank is proprietary, of course, but doesn’t Zacks provide other earnings estimate data? If so, I bet it is expensive.
I like what we have (it has been useful and I have made money), but I would bet that imperfections in earnings estimate data is the largest single reason that out-of-sample data is not as good as backtested data. All those arguments about curve-fitting being the cause assume the data is PIT which it really isn’t for our data as Marco has informed us: See this thread
I appreciate Marco’s continuous quest to improve the data.
Didn’t Marco say the “old” universe was at http://65.84.1.52/index.jsp ?
I think there are additional issues with ADRs - some estimates are in their home currency. It would be helpful if portfolio123 could state exactly what has been changed.
Certainly, taking the ADR universe, I have found that most of my standard factors work poorly, leading me to believe it is better to block ADRs from all universes.
I think this is very interesting from the point of view of model robustness- it is possible that previous models were taking advantage of certain currency effects, which may have vanished since the fix. However, that was not a robust effect, so it is good to find out now rather than later. It is similar to the previous SI issue.
It also validates further my idea that nothing beats real time out of sample testing. I am already approaching 500 portfolios spread over two accounts - I want to be very clear on the difference between backtested performance and performance that has had to be generated in real time, and by definition, cannot contain any accidental look-ahead or anything like that.
I have noted that some sims that have no estimate data have had very little effect, but those relying heavily on it there has been a change. It seems to have less effect on small/microcap simulations, but that may be because we know estimate data is a bit flaky or non existent anyway.
I think that running a good simulation is more than just about finding the factors - it has a lot to do with data handling too. How do you actually conduct a “clean” ranking, when some data is missing, incomplete or, for example, in the case of “Press releases” may mix current numbers with numbers from the prior quarter.
I think portfolio123 is unique in that it really recognises the difficulty of these issues- I think it is important for model developers to be aware of, and think about it too.