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

[atw]

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

[atw]

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

[test_user]

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

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).

[viseks]

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.

[Chipper6]

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.

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

[yuvaltaylor]

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?

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.

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.

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

[atw]

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

[dnevin123]

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]Close(0,#industry) / Close(21,#industry) [/font] will be affected. We’ll try to roll it back before the Monday rebalance but cannot guarantee it.

Any update on when this change will be rolled back?

Thanks,

Daniel

[atw]

Are the rollbacks permanent or interim?

If interim, do we know for how long?

Under the circumstances, it’s very hard to know what changes to focus on or try to adjust for, or even whether I should be working on the old or Beta site.

Thank you.

Hugh

[yuvaltaylor]

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]Close(0,#industry) / Close(21,#industry) [/font] will be affected. We’ll try to roll it back before the Monday rebalance but cannot guarantee it.

Any update on when this change will be rolled back?

Thanks,

Daniel

Daniel -

I was mistaken about the taxonomy series. It does not affect the series parameters. The taxonomy series only affects charting and the Industry and Sector pages. It should not affect screens, simulations, or ranking systems.

[atw]

So what are best guesses at this time for issues on the rolled back site that could be still be causing some models’ sims to degrade and/or screens to return a different set of stocks than the week before when p123 initiated the changes?

Thanks very much.

Hugh

[marco]

I was mistaken about the taxonomy series. It does not affect the series parameters. The taxonomy series only affects charting and the Industry and Sector pages. It should not affect screens, simulations, or ranking systems.

Sorry folks that is not correct from Yuval. Taxonomy series do include holidays at the moment for stock pages, screens, sims, etc. You can see this by running this screen with as-of date of 2/22/2022 (around prez day holiday)

ticker("ibm")
showvar( @0,Close(0,#industry))
showvar( @1,Close(1,#industry))
showvar( @2,Close(2,#industry))
showvar( @S0,Close(0))
showvar( @S1,Close(1))
showvar( @S2,Close(2))

You will see a duplicate value (carried forward) for the industry close price variables @1 & @2, but not for the stock.

Sorry about the confusion during this time. We’re working on a solution that should please everyone

---

[judgetrade]

I am a bit confused.

Questions:

1. What do you want us to do with the beta site? Do you want us to test the changes and give feedback so you can decide which changes will be implemented in the production site?

2. Which leads to the second question: What will be permanently be rolled back in the production site?

3. What changes are in effect in the production site (as a summary, I am really sorry, I am getting lost tracking the answers).

Thank you!!!

[dnevin123]

I second Andreas’ questions.

I am also confused, and don’t trust any of my models at the moment. This means that despite P123’s heroic efforts over the weekend I am unable to trade or make any progress this week.

Marco, why not just roll back all the changes that were made instead of trying to develop a new solution on an abbreviated timeline?

Thanks,

Daniel

[marco]

We’re coming up with a solution that should please everyone. As I mentioned in the other thread here I think we have a solution that will allow us to keep the data structures with weekdays (so everything lines up) , but keep existing TA functions using bars by substituting a pre-built time-series with no holidays on the fly. Which means your systems will look exactly the same. And we’ll introduce new TA functions for weekday operations that we think should be used for multi-country strategies.

Sorry for the flip-flop. It’s a solution we did not think of before.

What this means for the current production is this
[list=1]
[]It should be used for now for rebalances and backtests
[]Taxonomy series still have weekdays. We’re going to try to roll them back today. They are accessed like this for example: Close(0,#Industry).
[]The North America universe is for testing only, things won’t align properly with TA functions, and will go though changes
[/list=1]
What this means for beta
[list=1]
[]It should be used only to test the effect of weekdays in single country and multi country
[]Any system developed on beta will have to be rewritten using weekday functions (since TA function will revert back to bars)
[]The North America universe is in beta, it will go though changes in Primary issues
[/list=1]
Again I apologize for this messy release. It’s a big refactoring with support for currency, holidays, Primary issues.

Thank You for your feedback

[test_user]

Well, this is a bit of a problem for me since I’ve converted completely to NA setup. I think I’ll be fine for a little while, but do you have any idea how long time it will take to develop/deploy the new weekday functions?

[marco]

Well, this is a bit of a problem for me since I’ve converted completely to NA setup. I think I’ll be fine for a little while, but do you have any idea how long time it will take to develop/deploy the new weekday functions?

Can you provide a list of the ones you need?

[test_user]

Well, this is a bit of a problem for me since I’ve converted completely to NA setup. I think I’ll be fine for a little while, but do you have any idea how long time it will take to develop/deploy the new weekday functions?

Can you provide a list of the ones you need?

Sure! The revelant functions are:

Mediandailytot, avgdailytot, medianvol, close, pctdev, sortino.

I think that’s all of them, I’ll dig a bit deeper and let you know if I discovery anything more.

[test_user]

Sure! The revelant functions are:

Mediandailytot, avgdailytot, medianvol, close, pctdev, sortino.

I think that’s all of them, I’ll dig a bit deeper and let you know if I discovery anything more.

I also use FHist, perhaps that too has to be updated?

[marco]

FHist uses weekly samples on the weekend so not affected by holidays