How do you code that in a sim? Thanks!
TL;DR: It would be nice to be able to lag the 10-k data and the analyst earnings estimate data effectively while keeping the pricing data current. SOME PREVIOUSLY DISCUSSED METHODS LIKE REBALANCING SIMS ON TUESDAY OR WEDNESDAY AFFECT THE PRICING DATA USED IN THE RANKING SYSTEM, INCLUDING VALUE RATIOS.
I just used weeksintoq > 0 in the buy rules and excluded PIT data. Inspired by this post. Does that ensure a PIT sim for the most part? You did something different or in addition to this, perhaps?
Hmmm…analysts' earnings estimates are separate and not affected by weeksintoq , but P123 has a lag still? Maybe we can ensure PIT-ness in a sim, with confidence? That would be good to know and be sure about for me, I think.
But maybe not just me. There is ongoing concern about this among P123 members expressed here: Live vs Simulated - FactSet vs Compustat - #34 by feldy.
This can be addressed and any concerns put to rest? Can we create a 5-7 day lag in earnings release data at least, and what is the best way to do this?
And what lag do we use for analysts' earnings estimates at P123 now if that information is available to members?
I believe the data at P123 is good enough to test sims and have ports perform well out-of-sample but it has taken a couple of years of good results in out-of-sample ports to confirm this for me. There is an easier way? What is the best way to do this for future reference?
Here is another post where Yuval points out problems created by Factset (not P123) data delays. I am just interested in workable solutions to known Factset data issues where possible,: Monday morning overkill