IMPORTANT: rolling back changes in the main site. New version is on beta.portfolio123.com

Announcements
1

Dear All,

We’re rolling back most changes for a while till we examine the impact of the changes some more. The “alt” site has been decommissioned. The new version is now on https://beta.portfolio123.com

Current production now does not include holidays in the price series (like before) and the Ind factors are based on the previous logic (all stocks excluding adrs rather than Primary stocks only). Ind factors for the North America universe will return NA.

The only change that has not been rolled back is the taxonomy series. It should have a minimal impact since only people that use something like [font=courier new][color=seagreen]Close(0,#industry) / Close(21,#industry) [/color] [/font] will be affected. We’ll try to roll it back before the Monday rebalance but cannot guarantee it.

We do not recommend using North America in production since, without holidays, the backtest will not be supported. Things will not line up properly because CAN & USA have different holidays. If you want to to play with North America, you can do so in the beta site which includes holidays in the time series.

Thank You for all your feedback

NOTE: judgetrade, you will still get different results . We have conclusively determined that the changes to the Ind factors were due to this . We were able to reproduce the exact Ind values using the previous universe and industry constituents. But we cannot go back to those previous universes. The new ones are more complete and include more stocks since FactSet has a bigger coverage.

2

Rebalances for all live models on Monday will use production , not the new version on beta.

3

Ok, I was happy with the new site, but if it takes a while to get it right that’s not a problem. I’ve worked a tiny bit in IT, transitions can be brutal.

A question though: I have already implemented a North America universe in my live portfolios (with mixed USA/CAN holdings) will this continue to work? Do I have to split the portfolios into separate US/Canada parts? Should I then “sell” my Canadian holdings from my live portfolio or do I have to delete the original buy transactions?

Or can I do the following: perform the ranking & screening on the beta site, and add the necessary transactions in my live portfolio (on both the main site and the beta site)?

4

Backtests for North American universes on the production site will be a bit off since the holidays will be slightly different for the US and Canada. The same goes for ranking based upon the current screen. For example, US markets were closed on January 17 while Canadian markets were open that day, so if any of your functions look back more than 50 bars, they won’t be looking back at the same date. Beta and Sharpe functions may give different results as well for the same reasons. A beta function with a 5-day period may be referencing different dates for US and Canadian stocks after 45 or 50 bars.

Everything else about North America should work OK on the production site. But personally, I think I’ll use the beta site just to be sure.

5

Just to clarify one thing. Marco wrote that “Current production now does not include holidays in the price series.” This is true for all functions and factors. But if you download the price series for a backtest or live strategy, you will see prices for all holidays, which is different from what you’re probably used to.

6

Thanks Yuval!

7

Thank you Yuval, thank you Marco!!!
I tested my models on the main production site and some models get hit about 5% others win about 5%. So I can keep on trading them and I will have time to readapt to the industry stuff that has beeen changed in Feb.

Very much relieved, thank you!!!

Best Regards

Andreas

8

Also my main designer model does not loose, but wins with the site now in production (both in the historical backtest with market timing and with the revised version that has no market timing!!!)

1st! 3# QuantStrike 25 Stocks Revised: no market timing!

So I can let it run.

Also I played around with the new industry definition that has been implemented in Feb. and I see some potential (more stocks in the industry is a good thing!) to improve all my models.

THANK YOU!!!

9

Please keep us updated on the development of the beta site, so we can deliver feedback testing our systems and also concerning design decisions.

What is important in context of the design decisions, please do not go the route of academics that are backtesting factors but exclude too much stocks on the microcap and low volume part, they need to do this so they can say the factor is scalable.
But since a ton of retail investors trade small accounts, which can trade micros and capture the alpha of it, do not go that way.

Also, I am really looking forward trading international stocks.
The alpha will be great, since whole the country factor is a very strong one. If a country is in goldilocks (gdp roc up, inflation down) or reflation (gdp up, inflation up) it can decouple of other markets that might be in other economic phases (and the momentum factor on the stocks and industries will capture that!!!).
Also, different countries have different factor weightings. If like now value momentum is strong, we will be able to get much more exposure to this factor since the US is very growth oriented.

10

Thanks for the doing the rollback. I’m sure this hasn’t been much of a weekend for you guys.

Just to note, when I run my strategies without using the IndWeight factor things are back to normal (they never changed much to begin with), but when I run those same strategies with the IndWeight factor in place I am still seeing a performance hit. So, despite there being no obvious logical reason why the taxonomy changes are effecting the IndWeight calculation, I remain suspicious that they might be.

Let us know when the taxonomy changes have been rolled back, and I will run my backtests again to see if the performance hit goes away. It will be an excellent chance to see if there is something unexpected going on.

Cheers,

Daniel

11

P123 staff: I just noticed that the simulations & rankings on the main site and the beta site are kept synchronized (or using the same database). Is every change in the beta site propagated to the main site (and vice versa)?

12

On beta site, when I run multi-country simulations I get different results that previous. What type of changes were implemented?

13

Thank you, Marco and p123.

I appreciate the rollback (and effort) but think there is at least one additional cause of quirky but real model degradation which does not fall into either of the “We found a longstanding error while we were making other changes and corrected it” or “Your model sucks and should have been abandoned years ago” buckets.

I could of course be wrong, but I can’t find any mention of what follows in the recent threads and I think it is a very good example of unexpected consequences created by hastily made changes even when they sound like no-brainers.

And what is this hidden change?

In theory, it seems that removing companies without fundamental data makes sense. Removing these useless companies is a primary difference between the new universes and the old, correct? It is also one change p123 has not rollbacked even temporarily?

Here is the problem that creates…

When using a rule such as Frank(“p123 function”)>20, that rule is now cutting out a different slice of companies than would have been the case if the now-removed-from-the-universe missing data securities were still sitting in the middle of that ranking.

Frank is a fabulous tool. My models that use it the most have been hit hardest by the changes.

There may be other related consequences to the removal of these companies I’m not imagining. By the way, I think this is one reason p123 is seeing such a difference in subscriber reactions. If you’re not using rule-based ranking functions, you’re probably a lot less unmoored by the recent changes.

Would it be possible to recalibrate? Absolutely, but that takes time and some stability regarding other changes being considered on a parallel basis.

I have two additional considerations:

  1. For those who are using CompuStat data, S&P and MSCI are supposed to announce what could be significant changes to the GICS classifications any day now. In fact, the announcement was scheduled last month but delayed. Possible changes to GICS were published last fall for comment. Is p123 ready in this regard? I mention this in part because it seems crazy to begin a major overhaul based on p123’s recent changes and then get hit in the middle of that work with a need to do another overhaul based on GICS revisions.

  2. Sims seem to be running much slower since p123’s recent changes. As mentioned in a previous post, it’s a subjective observation but also a really worry. Even if multiyear sims ran as quickly as daily production screens, it would still take a lot of time to recalibrate and especially when relying on multiple models. With sims running as slowly as they seem to be, it feels like retuning anything is going to take forever.

In the meantime, it’s clear that even the remaining non-rollbacked changes are causing an expected (and may I add unnecessary) loss of alpha.

Help!

Thanks.

Hugh

14

I have one other concern that is specific to the possibility of repeating “last day traded” data on “next day market holidays.”

Has p123 examined what the effect of this change would be during force majeure like circumstances? The first instance that comes to mind, unfortunately, were the days when the market closed during 9/11. Another example, unfortunately also, but especially relevant since the changes are being made to facilitate trading in foreign markets, is the recent closing of the Russian stock market.

p123’s data would be presenting perfect stability during periods when circumstances are so completely unstable that the market(s) in question could not even open.

Hugh

15

This is the first example of an actual issue with the new method - thanks! But: how often does this happen? It’s hard to see how this would be a big problem, I still think the benefits outweigh the costs. In addition, the current solution would still be problematic: Running pctdev(10,1) on the day after reopening would still give completely misleading output (since it would use only the days before the shutdown).

16

This is a minor nit, and forgive me if this has been addressed or if I’m posting in the wrong place(I couldn’t figure out how to post my question as a new thread and instead have to post it as a reply), but on all of my screen results, after the ticker symbol it has “:USA”. Is there a way to make the “:USA” disappear? It’s just kind of annoying, visually distracting when trying to read results, and completely useless and superfluous for me since every single one of my results has it and always will. Thanks.

17

See https://www.portfolio123.com/mvnforum/viewthread_thread,13264#80896

18

We have not changed the compositions of the All Fundamentals and All Stocks universes. They’re exactly the same as they were, just given new names. All Fundamentals USA is now United States (incl. ADRs & dual listed) while All Stocks USA is now United States (all listed stocks). The same goes for the Canadian universes.

The North American database is based on the US and Canadian universes formerly called All Fundamentals but excludes companies whose primary listing is not in North America. There are a few bugs regarding which companies are included and excluded, and we’re working on fixing those.

Don’t worry, Hugh. We deal with GICS and RBICS changes quite often and, in my opinion, quite well. We stay current.

19

Thank you, Yuval. I agree that p123 has handled GICS changes very well in the past.

But if the universes are the same, then a) why are my screens including different companies than they did last week? and b) what could be causing my loss of alpha when running sims?

Do you think it’s a coincidence - it could be - that the models I’m using that employ more rule-based “Frank” functions seem to have suffered more that those that use fewer Frank functions?

If I could identify what is causing the change, I could focus on those factors or functions involved.

Thank you.

Hugh

20

Any update on when this change will be rolled back?

Thanks,

Daniel