Hi,
Was there a change in how imported stock factors works?
It looks like it now drops rows from more than 1 year ago?
There was a recent update to Stock factors. See;
Currently Max days cannot be greater than 1600.
Thanks Walter. The existing factor I had was auto assigned Max days 365 - which is explains:
Why enforce a Max days cut off? Shouldn’t the default be no cut off? and Max days an opt in?
The 1600 cut off doesn’t help with PIT analysis going back more than ~4 years.
Thank you.
I don't think there's a 1600 cutoff. I should know I wrote some of the code. I'll check.
The reason we needed a staleness window is to constrain how much data is loaded. We have some users with millions of rows spanning 20 years that were being loaded unnecessarily for a rebalance.
Yes a 1600 Max Days limit was introduced during testing.
That's not how it works. It's 1600 from the observation date. For example if you run a screen 5 years ago it will load your factors between 5 years - 1600 days to 5 years ago. Same thing for simulations. It just works
Let us know if you you need higher than 1600.
You have messed up my live models by doing this. I noticed on Sunday, when I reconstitute the models that there was a long list of sales because of “no rank”. Please reverse this ASAP.
What Max Days limit would satisfy your model requirements?
For existing imported factors the engine defaults to loading around 4 years ago (1Y max days + 3 years lookback). We thought that was conservative enough.
You have factors that have been updated 5 years ago. A simple SQL check would have revealed that to us. But we did not do that check.
As a work around I updated all your factors to max days = 9999 (27+ years) via direct SQL by-passing the front end check. I did that for other users as well that have old data.
The front end will still not let you enter a number greater than 1600 but we'll have a fix soon so you can enter up to 9999. We cannot use 0 to indicate infinite since 0 means that the data must match exactly the as-of date.
Again, apologies.
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My stock factor was used as a universe inclusion tag. So say in 2020, the stock was allowed into the universe. Then it should remain in the universe until explicitly excluded in the future.
But with a 1600 day look back from 2026, the stock that was allowed in in 2020 drops off because of NO RANK.
I’m happy to wait for the front end UI fix.
Thank you.
Not a problem. I did not allow these “no rank” trades because I manually update. If rebalancing was automatic then this would have been a bit more work. Thank you for addressing this so expeditiously and the great platform you provide.