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Using Fundamentals as a Sort Value not working
Last Activity 3/11/2022 10:09 PM
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SJ

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Subject : Using Fundamentals as a Sort Value not working
Posted : 8/28/2019 10:50 PM
Post #46323

I am trying to run an OScan using a fundamental criteria as a sort value. However, regardless of which value I choose, I get no results. If I plug that criteria into the Criteria Rules, I do get results that I can filter down to the approximate number I want, but as soon as I put that fundamental parameter into Sort Value, any results disappear, regardless of the Select top xx stocks setting. Anyone else able to reproduce this?

Edit 9/1/19: I played some more and found odd behavior. I was trying to use ROE as my sort. That didn't work so I searched for other criteria, cleared, reset and selected PERatio and suddenly I got some sort results. So I replaced that with ROE and then it worked, or so I thought. Upon closer examination, what was happening was a previous technical sort criterion was doing the actual sort. Case in point: I had done a simple sort on close price. The SortValue field in the focus list contained the last close price. I was able to then insert ROE as the sort criterion and hit Apply. The sort result remained the same and the SortValue field still had close prices and not ROE values. Bottom line, fundamental sort criteria does not work.

I was next going to complain that OT wasn't letting me run such a scan dynamically, but it finally occurred to me that fundamental data is not available as a time series, so only the last quarterly results are available. :(


[Edited by SJ on 9/4/2019 4:17 PM]

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SJ

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Subject : RE: Using Fundamentals as a Sort Value not working
Posted : 1/20/2020 12:14 PM
Post #46617 - In reply to #46323

I wanted to bump this thread to get a response. OT 2020 continues to exhibit this behavior reported using OT 2019. In my earlier post, I noted that fundamental data is not available in a time series, but that is not entirely true. There are several fundamentals like EPS that can be plotted as an indicator. So I tried using EPS first as a filter to pare down the results to about 130. Works fine. I add EPS as a sort parameter, top 50, and no results.

I can approximate the desired result by tweaking the filter criteria to bring the list size down to the target number of results, but the result count will vary as the market changes and I still can't rank them. Frustrated!

Incidentally, to generate interest, I am pursuing this to attempt to replicate some of Larry Connors new work with Quantamentals.
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Barry Cohen

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Subject : RE: Using Fundamentals as a Sort Value not working
Posted : 1/20/2020 5:15 PM
Post #46618 - In reply to #46617

I must have missed this when you first posted, sorry. The fundamentals actually do work as an OmniScan rank. They just need parenthesis after. EPS() will work for example.
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SJ

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Subject : RE: Using Fundamentals as a Sort Value not working
Posted : 1/20/2020 6:38 PM
Post #46620 - In reply to #46618

I got home to try using () after the formula. Turns out that was not necessary. But I did finally figure out the weird behavior going on.

I added ROE, EPS and PERatio columns to the focus list. I could then compare the value of the SortVal column to the parameter being sorted on. If working properly, they should match.

I sorted first on EPS and the SortVal field matched the EPS field. Looks great. It turns out that EPS is listed both under the Fundamental and Technical buttons. Because it is defined as a technical formula, it works.

Now I clear the EPS sort and switch to ROE as the sort parameter. The SortVal remained equal to the EPS value, not the ROE value. So it gives the appearance of sorting, but the sort parameter has no relation to the function in place.

To further illustrate, if I hit Reset on the sort and the AVG(C,10)*AVG(V,10) default is filled in, the SortVal is based on that calculation. I hit Clear and insert ROE again and the resulting SortVal will still reflect the AVG(C,10)*AVG(V,10) values, not the ROE values. This illustrates that regardless of the sort function in place, the last technical formula will be used.

Switching to PERatio, also not found within the Technical library, the exact same false results as for ROE are produced.

I've attached a shot of the sorted list for ROE after previously using the sort EPS. Note the SortVal column values.

So the bottom line is any formula not found within the Technical library will produce false sort results.

I see no reason all the fundamentals cannot be used for sorting if they can be used for filtering. Any chance we can get this fixed?

[Edited by SJ on 1/21/2020 1:55 AM]

Attached file : Omniscan.JPG (152KB - 320 downloads)

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Barry Cohen

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Subject : RE: Using Fundamentals as a Sort Value not working
Posted : 1/21/2020 1:39 PM
Post #46632 - In reply to #46620

ROE & PERatio are not a valid formulas even with parenthesis. The formulas under the "Fundamental" button are not able to be used for rankings. If you look at the available formulas under "Technical", the ones listed there can be used as ranking formulas. If it isn't there you cannot use it as a ranking formula. And if you enter an invalid ranking formula it will continue to use the last valid formula - which explains the oddness you were seeing.
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SJ

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Subject : RE: Using Fundamentals as a Sort Value not working
Posted : 1/21/2020 3:33 PM
Post #46633 - In reply to #46632

What you state accurately matches my findings. But the question remains: Why are we prevented from using the many fundamental parameters not included under the technical list? And why was a Fundamental button with access to those criteria placed with the Sort function if there wasn't intent to use such criteria?



As far as I understand, the difference between those criteria listed under technical vs only under fundamental is whether there is historical data or just the latest value. The later would prevent building a dynamic list, but still be valuable for live trading.

I don't know, but it seems like a relatively easy software fix to make these criteria work as a SortVal. Maybe I need to go to Quantopian and run some scenarios in order to make a case for whether there is enough value here.

[Edited by SJ on 1/21/2020 4:01 PM]

Attached file : Fundamental Sort.jpg (46KB - 596 downloads)

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Barry Cohen

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Subject : RE: Using Fundamentals as a Sort Value not working
Posted : 1/21/2020 5:38 PM
Post #46634 - In reply to #46633

I do not know what it takes to get Fundamentals working as rankings, but they are not the same. The rankings use OmniLanguage & the Fundamentals that you're referring to are not available in OmniLanguage. The ones that do work were made specifically for backtesting through a differently made procedure. You can access them if you add the Fundamental indicator to a chart, then you may select the specific fundamental from there - so you can see which are available to use in this way.
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jpb

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Subject : RE: Using Fundamentals as a Sort Value not working
Posted : 1/24/2020 12:55 PM
Post #46657 - In reply to #46633

Steve, I totally agree with you. Thank you for posting this thread. I was experiencing exactly what you were seeing but I hadn't noticed that when I did get results that they were the wrong results. So, thank you for your research.

Similar to you, I was trying to use Fundamentals from the Fund button in the Sort Value area. I went further to blend this with Technicals.

CASHFLW/(SHRS*C+(SHRS*C*DEBTEQ-CASHEQ))

That's my shot at a Magic Numbers formula. Interestingly, all the components but SHRS is available via the Tech button (found in the Fundamental section, just like your EPS).

So, that put me on a journey to see, "can I derive SHRS from any of the other Fundamental data"...

(NETINC / EPS)

While not perfect, it will have to do. So, my formula becomes:

CASHFLW/((NETINC / EPS)*C+((NETINC / EPS)*C*DEBTEQ-CASHEQ))

Unfortunately OT doesn't like this. It complains with "Error 3061: Too few parameters. Expected 1.."

Trying a number of different methods to get past this, including:
CASHFLW() / (( NETINC() / EPS())* C + (( NETINC() / EPS())* C * DEBTEQ() - CASHEQ()))

With no luck. So, now I've converted it to pure "Technical" formulas and OT/OmniScan isn't happy. I'll post a solution if I find one.

Suggestions?

On the topic of Dynamic lists, I don't agree that just because a value is quarterly that this should inhibit the use and prevent the creation of a Dynamic list. It may mean your list won't change for a full quarter, but that would be the same if you walked forward from that point in time.

I suspect the problem is how OmniScan stores data and isn't carrying slowly changing data along with the faster changing daily data to conduct an efficient scan and allow for a Dynamic list to be created.

As you can see from the formula I posted above, I'm fully aware that some data (Cashflw, CashEQ, DebtEQ) are slowly changing numbers, and Shares, even slower, but Close is "fast" which will give me a different number every day. So, a Dynamic list could be calculated every day and be different.
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SJ

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Subject : RE: Using Fundamentals as a Sort Value not working
Posted : 1/24/2020 7:57 PM
Post #46661 - In reply to #46657

Wow, quite the formula. I won't even pretend to understand what it measures. I was interested in ROE as Larry Connors used it in his "Quality companies in an uptrend" trend rotation strategy. He has moved to Quantopian as a backtesting platform. One of the benefits is survivorship free professional grade data, fundamentals and sentiment data. I would be content to backtest on this platform if needed, but OT is still the solution for automated daily trading. His strategy takes the top 50 equities based on ROE and then ranks the the top 20 based on momentum. I was trying to reproduce that scan. It requires a two tiered scan list. The first list was the ROE sort. Then that list is used as the starting population for a second list using momentum as the sort criteria. So similar to the new Zack's Rank, focusing on fundamentals can help prequalify a list before applying technicals that look for either reversion, reversal or trend. As I stated earlier, perhaps we need to demonstrate value of certain fundamentals to encourage a fix to the current limitation. Admittedly a bit of chicken and egg.
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