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A few ideas / questions

Pawel

5 years, 11 months ago 919 views

Hi Ivan,

I was wondering about a few things:

  1. Do you plan to build in ability to set costs of transactions into the backtesting model? I guess low cost mgmt fee SP500 ETF purchased once and sold after 10 years will have a different cost profile than frequent sell/buy changes. One thing is brokerage fees - but more importantly taxes which are paid yearly instead of once at the cash out and hence are not reinvested for the long term.
  2. Do you plan to waiver the limit of 100 equities/ instruments for investment universe of a single backtesting? Would having 1000 equities, but with a longer processing time/SLA (even waiting overnight), be feasible? I think you can make most of the strategy testing / tweaking on a 100 sample, but once you want to go ahead with a strategy you want a broader portfolio. But I guess it consumes a lot more CPU in the cloud..
  3. Any chance to add option to save customized universes of your own? I work in strategy consulting - and have a lot of major equities on Prohibited Trading List due to potential risk of Insider Trading. I could do a proper scan and verification what I can invest in, but I would need to be able to edit it / update - as the list of companies my employer works with changes over time.
  4. And final one - what is the chance of you adding some more European markets to the tool - and in particular Polish (Warsaw) Stock Exchange. I appreciate it is peanuts from global perspective with 0,2% weight of global market. But I have some money in self invested pension plan at a Polish broker - and would also love to use your website on this portfolio.

Thanks!

Pawel

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10 replies

Pawel

5 years, 10 months ago

Ivan,

Amazing, thank you!

Best regards,

Pawel

Admin

5 years, 10 months ago

Hi Pawel,

I've upgraded my server and increased the limit for the number of stocks per backtest from 100 to 150. Hope this helps. 

Kind regards,

Ivan

Admin

5 years, 11 months ago

No problem. BTW stocks from the Korea exchange and the Toronto exchange have also been added. I have some Canada users on my website according to Google Analytics :)

Pawel

5 years, 11 months ago

Ivan,

Thanks very much! That's a shame with lack of fundamentals, as so far the best strategies I've been able to devise mix fundamentals with price / technical signals. I will try to build some workaround for my PL portfolio.

Many thanks for adding Warsaw stock market.

Best regards,

Pawel

Admin

5 years, 11 months ago

Yup, I've add it to the screen. However, there seems to be no fundamental data for Polish stocks. My data provider does not cover these stocks for fundamental data. The market caps will be null values. For Polish stocks, you should rely on price data for calculating your signals such as 6 month return or 3 month return. 

Pawel

5 years, 11 months ago

Ivan,

Massive thanks for this! This is amazing! :)

Any chance you can add this to Screen functionality? To be able to filter through it better and easily take top 100 by cap?

Best regards,

Pawel

Admin

5 years, 11 months ago

Hi Pawel,

I've added Polish stocks from the Warsaw Stock Exchange to PyInvesting. Feel free to create a backtest using Polish stocks. PLN which is the currency for Polish stocks as an option for your base currency.

Do let me know what you think about the backtest results. 

Kind regards,

Ivan  

Admin

5 years, 11 months ago

Hey Pawel,

Sure let me start with the Polish exchange and will make my way through the rest of the exchanges. 

Will add Re 1 and 3 to my TODO list. 

Kind regards,

Ivan 

Pawel

5 years, 11 months ago

Ivan,

Perfect - thanks for your responses.

Re 1 and 3 - I'd appreciate if we can put those into the backlog.

Re 2 - did you think about premium level of subscription? e.g. $30 for 300 limit (always 3x the basic). Will make upgrade quicker and in the meantime if someone really wants to increase the universe - has the option.

Re 4 - that is fantastic news! If you can kindly please add both the main Warsaw Stock Exchange and Warsaw NewConnect (which is a small/tiny-cap market for upstart businesses before they meet all the capital market requirements). 

Regarding other exchanges - my wish list is quite long (but it is nice to have - for longer term. The Polish one I'd love to have soon if possible.). I'd go for the following - in prio order: India, Frankfurt, Euronext (Amsterdam, Paris, Portugal, some of the Nordics), Milan, Madrid, Korea, Russia, Turkey.

Massive thanks!

Pawel

Admin

5 years, 11 months ago

Hi Pawel,

Thank you so much for your interest in PyInvesting. 

Here are my responses to your questions:

1. Right now I use the transaction costs from Interactive Brokers for each backtest. In future I could certainly look into pulling this out as an additional parameter for the users to fill in based on the brokers that they use. I don't include taxes which are paid yearly at the moment. 

2. Yea the reason I limit it to 100 instruments is because of computational resources. However as I'm starting to get more subscribers, I plan to re-invest all the subscription revenue into upgrading my servers gradually so that users will be able to gradually include more instruments in their investment universe. I probably won't jump from 100 to 1000 instruments right away but gradually from 100 to 200 to 300 and so on. 

3. Currently every time you run a backtest, it will use the same universe from the previous backtest which is saved. In future I could allow users to save multiple universes to choose from.

4. I can certainly add any exchange you are interested in. Recently a user requested for Malaysian stocks so I added the Kuala Lumpur Stock Exchange. Besides the Polish Stock Exchange are there any other exchanges you would like me to include?

Kind regards,

Ivan