Thanks. This sounds like a better version of something I posted feature requests on a few times over the years. I think it’s a great idea. When do you think something like this might launch?
Will this 50 year ‘market timing’ backtest ‘tool’ still include the ‘basics’…like index (SP500) price data, volume and synthetic historical vix? I am looking forward to playing with the new data series and expect to learn a lot, but still initially expect that basic price series, vix and vol. activity will probably turn out to be the most robust predictors. With possibly market breadth next. Would love 50 years of history to backtest on these ‘basics’.
Many thanks to Marco and all P123 assistants! External economic data is / was my number one desired addition. I hope the data will help market timing from a technical and fundamental / philosophical perspective. Of course, I’ll have to explain to my wife why I need to spend more time online…
This really is great news, and wonderful that you are going to the trouble of extending the time period to 50 years while insisting on PIT data as well.
I tried to use a couple of the monthly indicators in the hedge module but not with much success. The long term 20 and 30 year Bonds #BOND20YR,#BOND30YR don’t seem to do anything… no error message, they just don’t switch hedging on and off when comparing short term and long term EMAs. I also got an error message when trying to use with FHist. I understand that these are a work in progress. So should we be waiting until the indicators are fully developed before trying to use them?
Steve
We’re really happy to see such a positive response to all this.
Just some quick usage notes:
We’re using seasonally adjusted data (we actually have data for auto sales but what we download from Compustat is not seasonally adjusted so we aren’t using it; when we switch to downloads from the Fed, we’ll undoubtedly get what we need). Because the numbers are seasonally adjusted, you can use consecutive-period (like PQ) growth rates much more comfortably than is the case with company fundamentals (which are never seasonally adjusted). In fact, headline numbers are often presented in terms of consecutive-period growth rates.
That said, don’t abandon year-over-year comparisons (analogous to PYQ computations). There are voices in the economics community that maintain that this approach is more valuable.
Thank you for adding this series.
Unfortunately from what i understand today, most of these indicators as standalone may not be relevant as in prior recessions
Unemployment can be 6.6% but with a labor participation rate under 65% at one of lowest levels, i am not sure how unemployment will apply in today’s structurally impaired labor market.
Second, who knows what the real shape of a yield curve ought to be anymore? The Fed’s repeated interventions have distorted valuations in treasuries - Eric Janszen used the term price fixing which i agree to.
One indicator that Eric does suggest looking at which always turns negative before a recession is the rate of change in Gross Private Investment. This is one of 60 plus charts that he uses but it is one to consider. If you are not a subscriber to itulip.com, then it might be worth to pay $40 for the month to access this well done and researched article with many charts.
The point is i’d love to use some indicators but unemployment and treasury yield do not float the boat.
Thanks for all you are doing to make Port123 an incredible value add tool
joe
As of now, this data is not too useful or nearly useless minus the interest rates (give them daily by the way) because some of the most important indicators are not there, I need absolutely:
ISM manufacturing & non-manufacturing
Conference Board LEI
Initial Claims
Non farm Payrolls
With these at the minimum I can develop new cool stuff guaranteed!
Question: For the figures listed as quarterly, i.e. #GDP#CABGDP2, will an sma calculation go back at quarterly intervals, e.g. sma(4,0,#GDP) returns the trailing 12 month GDP?