I want to explore a sector rotation strategy using ETFs, but several key ETFs do not appear to be in the P123 database according the following report when I tried to set up a custom list:
“You entered 9 tickers of which up to 1 were valid. Invalid tickers are : IEV ILF IWM EWJ EPP GLD TLT BIL”.
P123 has SPY but it does not have IWM (the Russell 2000 ETF), nor ETFs for Europe, Latin America, Japan and Asia without Japan, nor does it have ETFs for Gold, long term bonds and T-Bills.
Is it possible to add these and other sector ETFs? I do not need any evaluation metrics, just price would enough.
Its a good point, it would be nice to have access to the ETFs as we could do some interesting market timing experiments. I tried to create an SPY sim but it doesn’t work:
You are right. Sims do not seem to buy SPY even if it is the only choice. I made a custom list that only had SPY in it and P123 stopped the sim after 26 weeks saying no buys had been made.
I am going to put in a feature request for ETFs. Recently I have noticed that few users take the time to vote. I hope the ETF does not fly under the radar.
I am going to put another plug for http://fundbuster.com
Fundbuster provides a very nice screening and b/s signals for ETF’s mostly are momentum based.
I just went thru a down cycle and many sell were triggered yesterday after close, just my bad luck I was called for Jury Duty and was not home to effect those sales, only IIF triggered a Stoploss I entered previously so no big loss.
Counting today and yesterday’s decline still on the green.
You may take this opportunity of such marked declines and actually see those recent buys and sales and see if could have helped in your particular case or you could have done better on your own, just a thought
DavidG
DISCLAIMER
Also reiterate I have no financial gains from recommending it nor any EXTRA benefits.
Another DISCLAIMER
I am not advocating about Fundbuster as a choice instead of P123 but as another tool in conjunction, they are two different systems.
DavidG
ETFs are in the database but they are not available in any of our tools (ports, sims, screenere and ranking).
The current future plan for ETF’s in P123 is as follows:
Ranking systems for ETFs. The only factors that will be available for ranking are price based only
Port/Sims/Screens for ETFs. Again the factors available for rules would be only price based. A ranking system can be used if it’s an ETF ranking system.
There will be no ability to create ports/sims/screens that mix stocks with ETFs
Initially we thought that ETFs could be treated as stocks since Reuters does give us some stock like ratios (for example PE). However we found this to be very sparse and inconsistent. Furthermore the industry/sector classification for an ETF is mostly impossible because of the diversification nature of ETFs. This would create problems with rules like IndWeight and SecWeight.
This sounds wonderful!
If I understand what you are saying, we will also eventually be able to use the Index ETFs like benchmarks, and write buy/sell rules that would satisfy this long standing Feature Request .
If you added Factors like; Close(ETF,Bars Ago)
We couild use Buy Rules like; Close(SPY,0)/Close(SPY,20) > 1.0, and Sell rules like: Close(SPY,0)/Close(SPY,20) < 0.80.
This would open up a wide range of possibilities for other Factors and hybrid systems that include timming with ranking.
Thanks for the reply Marco. The only reason I was trying to run a sim for ETFs is because we cannot short stocks. I was therefore implementing a ranking to buy short ETFs. I can then export the daily transactions to excel along with another sim that I use for long positions. I then weigh the long portfolio and the short portfolio based on my long/short strategy.
The issue with the back-tester from the screener is that it does not provide any cash balances and/or daily data.
I guess I could construct a ranking system for stocks instead of ETFs and reverse all the transaction signs since it is a short ranking model.
My apologies if this issue has been discussed and the answer is in the archives. I searched through some sections but may have missed where this was discussed. I have returned to using P123 after a long absence and was trying to build some custom user lists in which to screen against. The following ETF’s appear to be missing from the database and I was trying to see if there was a common theme as to why they may be missing i.e. trading history, volume etc. Any pointers would be appreciated. Some from the same family are in the database so I was trying to pinpoint if I was missing something simple.
We are aware of the missing ETFs. They are all relatively new ETFs with little price data (few months). We are investigating with reuters to see why we are not automatically adding new ETFs
