I don’t think you need to worry about liquidity if you were to publish your ranking system — just rebalance your system on Friday morning to avoid any liquidity issues on Monday morning.
This would take care of the liquidity issue, but it could create a legal problem since it looks a lot like “front running” subscribers. Whether or not an appropriate disclaimer (ie, stating the designer will be trading the method on Friday) would be sufficient to keep things legit with the SEC is something a lawyer could advise.
From my perspective as a sometimes subscriber to DM, I’d be OK with the DM creator trading the method on Friday (provided it was disclosed).
My assumption is that everything (fundamentals, estimates, and prices) gets updated each night (ie Monday, Tuesday, Wednesday, Thursday, Friday nights). We get to use this fresh daily data whenever we manually rebalance a portfolio during the week.
My understanding is that things are different when you run a simulation. The simulation has access to weekly data for fundamentals and estimates (ie the final value of the week) but does have access to daily price and volume data (so daily TA formulas can be used in sims). Only saving weekly data for fundamentals and estimates saves P123 a lot of storage space.
Am I mistaken? Could one of P123’s staff shed light on whether this understanding is correct?
o806, My understanding is estimate revisions only update weekly, but other price and fundamentals are daily. I’ve bookmarked the link below that shows update status.
Brian, even much better then a monthly update on! Once again on other platforms you will be able to do with higher controll (e.g. you can program
everything yourself), but first the data is the gold and how p123 is managing data (PIT, Price + Fundamentals) should not be underestimated, here is the gold!
Factset PIT → I had understood that it was PIT “good enough” - maybe not exactly the same PIT as S&P but likely to be decent and hard to figure out if one is better than the other. (I am aware that writing PIT “good enough” makes no sense from a theoretical / purist point of view. In theory there is only one version of the truth, but in practice …)
It’s a bit of a mess to me. Raw FactSet appears not to be PIT. Some consumers of FactSet data then make and keep data snapshots in order to construct a PIT database. I suspect the PIT moniker will fall into disuse here. You can’t sell what you don’t have.
o806, I might be wrong. Maybe that estimate update date only impacts the weekly figure that is used for backtests? Probably best to ignore me on this given your info.
Some of our estimates data changes weekly, some daily. For backtesting, we only use weekly data with the exception of prices. But for current screens and strategies, some estimates data will change from day to day.
Could you clarify what “some of our estimate data changes weekly, some daily” means? The reason I ask is I typically do not trade on Mondays but I would change my routine if Monday has the freshest estimate data.
Is the reason some estimate data changes weekly because there is no change in the estimate data on any day in the week — which would typically be the case if a stock is covered by only 1 or 2 analysts. In such a case, the estimate data would be “fresh” even though there no change from the previous weekend.
Or is the reason that your data provider has a systematic bias towards updating different types of stocks more frequently than others (ie large caps get updated daily but small caps get updated weekly because the latter has a lower priority).
Or is it that some types of estimates (eg for earnings) gets update daily but other types of estimates (eg for sales) gets updated weekly.
I’m sorry I was unclear. Your last guess is the correct one: some types of estimates data get updated daily but other types get updated weekly. The EPS revisions, for instance, are weekly only, while the EPS estimates are updated daily.
I hope I’m not giving the impression I’m trying to split hairs, but I’m still not sure if the Estimate factors I use are updated daily or weekly. But I really need to know since one of my systems is very heavily reliant on the freshness of the following factors:
CurFYEPSMean
CurFYEPS1WkAgo
CurFYEPS4WkAgo
CurFYEPS8WkAgo
CurFYEPS13WkAgo
and also
NextFYEPSMean
NextFYEPS1WkAgo
NextFYEPS4WkAgo
NextFYEPS8WkAgo
NextFYEPS13WkAgo
Are the above updated daily or just on the weekend?
Thanks in advance for your attention to this. I really appreciate it.
These are updated daily. But only weekly for backtests (like all our data except for prices and volume). The only estimates data that isn’t updated daily is the estimates revisions.
There is a rather scathing article in the WSJ about the value of using AI to select stocks. The writer is Mark Hulbert and the author of the study is Prof. Avramov. Unfortunately, I do not have an online account, but it focuses on a number of topics that we have been discussing here. All interested should track it down. The upshot: like traditional quant methods, AIs market-beating performance (on paper) disappears in the real world (because of over-reliance of microcaps, slippage, etc.) In fact the portfolios of the traditional quant funds looked similar to the AI portfolios!
Relating the article to the topic of this thread brings up the question: Will going “all-in” on quant tools make P123 a more viable platform with a growing number of subscribers?
I still think the following illustrates the huge market that P123 is missing (the non-quant or semi-quant): I often get asked about what I’m doing in the stock market (people know it is my profession). I tell them I have developed these new models that HELP me select stocks and it’s FUN. I talk about screening, which they have all heard about, and I mention the backtesting capabilities which they are impressed with after a simple explanation. Then I tell them about your product (screening) and remind them that it is fairly easy and a lot FUN.