1. What we currently have in P123.
We have daily updating point in time data base, ranking tool with a lot of factors, permutation tool for ranking and simulation, rolling test, hedging, books, macro and getseries sections and many other things. So ok.
It allows us to make quite good systems with proper approach.
But, I donāt understand the following (Iām maybe wrong on some issues):
Why does the getseries tool allow to use only universe operations? Why macrodata is not available there?
Why canāt we download in excel info from macro section? Why is macro composite Boolean market timing index not available for hedging purposes in ports?
I think that stuff is easy to do.
2. Must have features:
A) Variable hedging based on MT index. Which in turn constructed on macro data and stock universe specific data. Everyone understands itās importance.
B) Results presentation. All parameters should be presented year by year from specified starting point (not only calendar years). Performance graphs everywhere (including rank performance) have to show alpha instead of simple return (better to have a switch option between return/alpha)
C) Variable port weights into the book based on set up rules ā MT index for example. It is clear too.
D) Pearson and Spearman correlation of separate stock-alpha distribution for specified rank percentiles (for example, the whole range 0-100%, or top 10% only). Using these numbers we can check rank robustness and reliability.
E) Average rank performance (and simulations too) during specified time periods combined (we can do it through permutation tool now, but we donāt see the average results) . It will allow us to quickly optimize systems on assigned history times frames (not full 16 years period as in R2G)
F) Allow short ports and books in R2G, change IS to rolling test, make more strictly disclosure requirements etc, I donāt want to repeat, many things were discussed already several times.
G) Borrowing fees and availability for short ports
3. Desirable features:
a) Individual position variable weights allocated on specified rules, proportionally to stockās rank for example.
b) Global coverage or at least europe
c) Daily rank recalculation
Regards, Yury.