I am also very interested in European data,
I had a subscription to
valuestockscreener
they offer high quality world wide data including Europe with screening but without backtesting.
.
I’m am in!
As far as ideas from the competition. Bloodhound system handles range of returns in this way: Bad Screen Shot Here. Click on return probability.
I’m not sure they did it right (e.g., Monte Carlo?). Just consistent with the original post in the thread.
For now, the most accurate method might be to randomly select a year from The “Annualized Performance By Calendar Year” in the performance statistics, plug several (n = target years) of these randomly selected returns into a spreadsheet, average (consider using the geometric mean) and do it a few times. Use you best and worse value as your range of annual returns. Realize there will be a Black Swan (something way outside of your sample) at some unknown date in the future. If I really wanted to know this, I think that is what I would do.
Not a priority: in fact I’m happy to do it on my own rather than use P123 computer resources. I get that some of this may be for the SEC. If so, a modified (improved) version of the short algorhythm above could give a wide range that may protect you well–there will be a wide range over the shorter time periods and this may be realistic.
Hi Marco,
Quantopian limits your universe to 500 stocks max
What I found interesting about Quantopian was the possiblity to import your own data.
The only problem is that you have to upload it again for every backtest.
Probably they do not want to store your data permanently on their servers.
Thanks,
Toby
I would like to see a Quantopian type of fundamental portfolio creation/management platform.
I’d love to see P123 get there first but also want to see P123 deliver on daily data, auto trading and Canadian TRADE.
The “industrial strength” ClariFI Modelstation combines PIT data sources, time-aligned database, ability to create robust factors and flexibility in creating ‘scripts’ of how the portfolios are created (screens and ranks), rebalanced and risk-managed. PIT data is external to the platform. Time alignment is now solved in many languages, in Python everyone uses the Pandas package. Creating factors robustly is not very hard, for example if a data point is NA, you can look back and carry a number forward, or forecast it, or insert an industry mean or median.
The portfolio management programming flexibility is the key to the value add. For example, every time new data is updated for a company in the portfolio, rerank and if out, you have the choice to continue to hold till next rebalance, replace with new company, re-weight existing holdings, hold cash, buy sector ETF or buy index. This is done daily. “Rebalance dates” can be selection and reweighting dates or just reweighting dates with the portfolio selection done daily or based on tracking error drift or on returns of individual positions. “Reweighting” can be done for targeting minimum variance or tracking error or volatility targets.
I am interested in participating in P123 crowdinvesting.
Omnivest is somewhat like Motif. Purely technical autotrading of either canned or self built / designed portfolios. Trades through IB, MB Trading and GXTrader. http://v2.myomnivest.com/index2.aspx.
count me in!!!
Hi Marco, You’re a very wise man. Getting input from customers who could become potential investors is smart. Count me in, too!
Walter
I) Marco,
Count me in.
If you want, you can Keep all (100%) my Money I make with all my r2gs on a permanent base, this would / could be my Investment to p123.
II)
Just want to second the following, Position sizing and Limit order Simulation would be super great:
“MUST-HAVE features like position sizing, simulating order types (such as LMT orders), broadening data to EU (and later Asia)”
Regards
Andreas
Marco,
I think the fund launch will end up allowing for (forcing) the development of much better portfolio (book) construction tools and ‘backtesting’ of port construction. I also think it will force upgrades in autotrading. Both of these will be great for general, long-term users.
I would suggest higher liquidity limits on the fund positions. This will keep the interests of long-term sub’s trading their own money in lower liquidity systems in line with the newer fund subscribers.
By the way, I’m not a lawyer and haven’t thought much about it, but there’s no reason investors have to be accredited, is there? P123 just needs to register as an RIA and then offer fee based active money management through an on-line portal with monthly liquidity. You will use the new better tools to create a risk controlled investment strat’ for them or put them in 1 of 3 buckets - low risk, growth, speculative. Each bucket will feed into some set of P123 strats that are autotraded and have some core capacity. Not sure why this would require hedge fund structure or accreditation, so long as you register as an RIA?
Best,
Tom
I’m looking forward to the pitch, but why wait until September?
I’d sign up to get the pitch for the accredited investors – if that is possible. If you can get 10 people @ 250k each that’s 2.5m alone.
How/where to spend the money?
- broaden out usage of available instruments: currencies/commodities/futures, using backadjusted continuous contract data such as CSIData – tradable at Interactive brokers
- international/European stocks – again, all tradable at Interactive brokers.
- marketing: the p123 team probably knows best where to spend marketing dollars, I am not sure if ad-buying brings any positive ROI. The offering is fantastic, the value is there, it seems like a huge opportunity to educate people.
I am keen to see the pitch as well and am pretty sure I will invest anyway.
P123 is the most robust and reliable platform (at an accessible price point) I have seen so far for stock picking using (mostly but not solely) fundamental data. Marco and the team are also extremely competent and very reactive.
Quality of the “final product” is the key differentiating factor in my views e.g. data, simulation reliability, etc. This is what matters most when dealing with real money. A simulation delivering a theoretical 30% per year is not particularly useful if it does not translate to something similar in the real world - whatever the reason (not PIT data, using untradable penny stocks, etc).
Whatever happens, please please please, do not lose this quality…
In line with several of the prior comments, I would therefore favor:
- Any feature / improvement on quality / robustness / reliability / backtesting speed
- Any improvement / feature to broaden out instruments or what can be simulated: int’l stocks, Futures (at least ES to hedge), options (on index to get started), position sizing, etc
- Anything that improves “implementability” (e.g. when one moves from a simulation to live trading): more order types on TRADE etc.
Some of the above can be done with “post-processing” excel spreadsheets but not as neat and more prone to individual errors.
As for R2G and extending to a broader client base, I am unsure how far one can really hope to take this:
-
Individuals investing in R2G invest -from their perspective- in a black-box that they have to trust w/o really knowing what is in it. So, in reality they invest in the individual who designed the black box. But to really trust someone with ones’ money would require knowing the system designer to understand how he/she thinks. As long as times are good and the markets are broadly up, it is OK. My concern is that we will probably see a massive outflow from R2G systems at the next market crash (It won’t be an exception: there will also be an outflow from traditional equity funds). So, if the economics of P123 are based on R2G, there is a sustainability risk there.
-
The other reality is that trying to do better than most on equity markets takes a lot of time and effort. In this regard, P123 is an enabler as it gives us the tools to do that. But one still needs to put in -considerable- hours and have minimum programming skillsets. Most individual retail investors do not want or cannot do that.
-
So, some suggestions to broaden the customer base could be either to:
-
Approach existing small to mid-size funds / family offices / etc to replace or upscale whatever tool they use now (using the full feature advanced P123 capabilities) and/or
-
Market something “a la Betterment” to the unsophisticated retail market to provide another income stream to P123
- I.e. imagine a simple but pretty interface allowing to combine ETFs or large cap stocks together via drag and drop. Use the hedging possibility as well (something simple i.e. moving averages only would have already helped a lot in 2000-03 and 2007-09). Then use the existing engine to provide reliable backtest results. A few examples / starting points can be provided as is done today). The key objective here is “make it as simple as possible”.
- This could also be coupled with a partnership with IB (a trader referral payout already exists) - which would also enable the customer to use TRADE. IB is not user-friendly enough for the average Joe but P123 could provide the front-end to design a simple strategy, backtest it accurately, and implement it via TRADE with IB as the broker.
- IB has done at least one partnership(?) with Multicharts to complement their own charting package → https://www.interactivebrokers.com/en/software/tws/usersguidebook/technicalanalytics/multicharts.htm
So why would they not want to help their customers design and execute strategies?
My 2 cents…
Cheers,
Jerome
This is a wild idea, but with the move to nickel spread for low liquidity stocks, I think the door is open for new approaches to trade execution. If P123 were to start using machine learning in conjunction with Trade then they would stay ahead of the game in smallcap value investing.
See the video https://vimeo.com/122578969
Steve
I would be happy to invest if this will help keep P123 healthy and growing as an independent entity.
I will likely participate. If you have a mailing list for news about the business plan, please put me in.
Relevant to this topic, IB sent an email a couple of days ago with the link below about their Investors’ Marketplace.
The marketplace existed before but it looks like they are revamping it.
Interestingly:
“In August we’ll be adding Covestor to the Investors’ Marketplace. Covestor is a pioneer in giving investors direct connections to exceptional money managers. They will be listed in the Investors’ Marketplace in the Advisors category as a robo-advisor.”
https://www.interactivebrokers.com/en/general/communiques/2015/06-02-15.php
I received this email as well. It looks like IB purchased Covestor, which is why they are adding them to the Investor Marketplace.
I think P123 can do much better than Covestor. Maybe there’s an opportunity to partner with IB in their Investor Marketplace as well?
Competitor: http://www.quant-investing.com/
Strengths:
international stocks
blog on investment techniques and returns (similar to Marc’s old blogs)
linked to www. quantocracy.com (formerly www.thewholestreet.com), a site known to drive traffic
Weakness
limited factor control
just starting
Risks of Crowdfunding/small & numerous investors
- There is no safe-harbor in crowd-funding. Spoke to our senate representatives when Mark Warner (S- Virginia) presented at our Virginia Startup forum. So, if you’ve violated securities laws and approached non-accredited investors improperly you are legally exposed.
- Small/numerous investors: reporting requirements - be prepared to meet them = back office expense to report to 2K investors may drive up your “cost of capital” in ways not imagined.
Recommendation:
- Stick to accredited investors and the counsel that is experienced in transacting with them, both pre-transaction (fund raising) and post (reporting requirements).
Best of luck - P123 is a great tool, but let’s get financing that doesn’t inordinately distract the mgt team.
NB: I’m not an attorney and none of this is legal advice. Simply sharing comments & observations.