I had the same question as Dan - if the pledge can go against Gold memberships that makes a big difference.
Did you guys read Marco’s answer one post above yours? Marco said you can apply the credit to any membership you currently have.
@ danparquett and @dkalmuk
you can use it with your old gold memberships.
So any money you pledge is not lost.
Also, if the 150 00 are not reached, no one will pay the pledge anyway.
Your scenario is only if we reach the 150 000 and P123 does not deliver fast enough, then the money will be used for your current membership (also old gold memberships, etc…)
current data on Europe is absolutely fine with me.
We would not be able to backtest on European stocks, but
we could still trade portfolios on European stocks,
using our models we backtested on US and Canadian data.
Value, size, momentum, quality, sentiment generalize around the globe with or without backtesting.
In my opinion all this backtesting only ends up in overfitting and does not generalize out of sample anyway.
So you can easily take a US backtested model and trade it in Europe.
P123 would beat Stockopedia on European Stock screening.
Stockopedia only has 4 standard ranking systems (value, momentum, quality and VMQ aka stockranks), P123 has endless possibillites of individual ranking systems.
P123 beats Stockopedia with TRADE,
stockopedia only offers stock screening, so you have to rebalance manually, by checking if each holding is still in the screen results and selling it manually. This is a real pain in the ass with stockopedia.
Plus P123 offers backtesting in Canada and US.
So current European (and Asian) Data would be a great advantage, if the historic data pledge fails.
cool!
Marco needs to fix the TRADE tool so we can actually trade on non-US exchanges.
Tobias,
I am not so sure. While a successful backtest is no guarantee for anything I would like to
test my ideas going back several years.
Taking US models and trade European data is a little bit like driving your car in nasty fog.
You may be lucky and it will work.
No question, general principles do apply: Momentum, small stock bias, value, growth. But the devil lies in the details (different accounting practices, the same number could mean vastly different things) and could still derail a US strategy for European stocks.
Werner
I pledged some money the other day when Marco replied to my question. I’m surprised that the goal has not been met yet. It would be interesting if some P123 users would let us know what is preventing them from pledging money for this project.
Here is a simple simulation running P123 QVGM against European ADRs. Not particularly pretty!
I’m sure it would be possible to improve it but not without backtesting.
Argument for or against using current European data?
10 stock model using QVGM ranking system with PRussell 2000 universe and Rank < 70 sell rule. Variable slippage.
The results seem pretty comparable and the small size of the European ADR universe is a consideration.
This sim comparison is far from conclusive evidence either way but supports the use of current European data, IMHO. That having been said, I probably would not invest without the backtests.
My Canadian sims can be quite a bit different than my US sims. But then again: is that just a result of overfitting my US sims? I guess that could a strong argument for getting European data whether you plan on investing in those markets right away—the opportunity for more out-of-sample backtesting.
Another thing I was thinking about is that I will probably stay with Ports that have out-of-sample results. But even this could be used as a strong argument for developing some European ports now.
Hmmm. I seem to be convincing myself that European data (with backtesting) will be useful and the sooner the better—whether I plan to invest right away or not.
-Jim
I have tried to drum up a little interest on LinkedIn but the issue is that interested parties would first need to have an existing account (I think) to pledge. Many others will come on board once it is here - new users from Europe rather than existing customers paying a small premium.
*Perhaps another e-mail saying that small pledges add up. Even a pledge of $100 if multiplied by 1,000 users will reach the goal.
*Another idea is to let users pledge out of their affiliate/designer model earnings. Maybe this time of year credit card gift buying is a worry - I don’t know.
I couldn’t agree more Jim.
5 minutes of twiddling improves ugly results so as to be almost useable but, without the backtester, how would I know?
Steve
[quote]
I pledged some money the other day when Marco replied to my question. I’m surprised that the goal has not been met yet. It would be interesting if some P123 users would let us know what is preventing them from pledging money for this project.
[/quote]Dan,
I am currently invested in the U.S., Singapore, Canada, Australia, and Hong Kong. That’s where I am finding opportunities and it’s working well for me. I’d pay thousands for the ability to backtest and fine tune my investment system in Singapore, Australia, and HK. But I don’t see myself investing in European stocks until there is a major stock market crash over there.
Regards,
Chaim
Chaim,
My market timing skills have proven to be horrible. Trying to invest in some countries and avoid others would probably end up just as bad for me. So it is probably best if I continue to maintain global coverage. My goal is to replace some of my ETFs and mutual funds that hold European stocks with P123 picks.
Before pledging, I wonder if members currently trading on European exchanges might shed some color on the following…
I find at any given time that about 40% of the current fundamentals universe has enough volume for me to trade effectively. I trade on Interactive Brokers.
Obviously, I need access to the full p123 universe in order to identify this changing group of 2800 or 3000 stocks, which includes ADR’s if they have enough liquidity.
Could anyone make a guess based on the above information about how many additional stocks might be added to my tradable universe if information on European stocks were made available on p123?
Also, could anyone comment on the practical issues of being an American based investor trading European stocks directly through IB? How much higher will my transaction costs be for these relatively liquid European stocks than their US counterparts (plus ADR’s)?
Related, is IB the right platform for an American-based investor to trade European stocks?
Thanks very much for taking the time.
Hugh
In the major markets (UK, Germany, France, Italy, Switzerland etc.) my guess would be another 1.500 - 2,000 but it really is a guess.
IB’s commission costs in the UK are not the lowest but they are close. They are perhaps a little more than for an equivalent trade in a US stock but not by much. One issue in the UK market is stamp duty on purchases (.5%) but the way round that is to trade CFDs with IB rather than buying the stock itself - no stamp duty is payable on CFD purchases.
Hope the above helps a bit.
I have also posted this event on LinkedIn.
Maybe this is just ambiguous wording, but if my understanding is correct then you won’t be able to merge any new universes into your existing one because they are different base currencies. You would get access to many new stocks which have enough liquidity to be traded, but you can’t add them into a universe with US stocks.
I’m content with just US Markets, which provide GAAP accounting standards, robustness of sectors and industry (wary of smaller national economies which are almost entirely dependent on a few cyclical industries), a rich history of academic and empirical research into pricing anamolies (specifically with using Compustat dataset). Basically, I know that the data has been well vetted. I also don’t believe that the developed European Markets are really that uncorrelated to the SP 500 to really provide much diversification if there’s a large correction in the US. I"m open and eager to be won over, but I’m fine with being a later adapter on this one
Maybe this helps:
Value vs Glamour: A Global Phenomenon
As there is no reason to assume that international markets are more efficient, maybe even less efficient, the simple fact that the universe expands by a factor of two would lead to twice the number of opportunities.
What will twice the number of opportunities bring?
An experiment:
My favorite model adds +/- 10% extra return when it’s universe doubles:
Return top bucket of 100 buckets: 66.3%
Return top bucket of 50 buckets: 54.7%
Return top bucket of 25 buckets: 44.8%
So is 10% more return per year worth double the P123 fees?
Depends on your portfolio size:
Portfolio Size: $1,000,000
10%: $100,000
Increase in P123 Desinger fee: $1,000
Yearly Profit: $99,000
Portfolio Size: $100,000
10%: $10,000
Increase in P123 Desinger fee: $1,000
Yearly Profit: $9,000
Breakeven Portfolio Size: $10,000
10%: $1,000
Increase in P123 Desinger fee: $1,000
Yearly Profit: $0
So, in this case, if all P123 users with non-ETF portfolio sizes > $10,000 would be willing to invest 1 year of extra profit the goal should be easy to reach.
To get an indication of what your extra profits could be you can simply run the bucket experiment on your favorite models as well.
Please feel free to post your bucket experiment findings to get an idea if the 10% business case makes any sense for you and other users as well.[/b]
Also, please feel free to share your thoughts on this bucket experiment.
Edit: Lowered fee increase from 100% to 60%.
