Data Quality Improvement

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Data Quality Improvement - 2002-2012.

edited Mar 6, 2020

Today, we shipped an update that improves the quality of our FactSet data integrations prior to 2012. We recently learned of a bug that was causing a significant number of records to get dropped in our data integrations in the period from 2002-2012. The missing records would look like NaN or None in a pipeline simulation. Today’s update makes our system pick up the vast majority of the missing records. This was a systemic issue in our data processing, so we are filling in the missing data retroactively (as opposed to us keeping a point-in-time record of the missing values). Since we are backfilling the missing data, results of backtests or pipelines that use one of our FactSet data integrations and begin prior to 2012 may change if you re-run them. The changes in results will be due to your algorithm receiving more (and more correct) data than it was previously receiving.

If you have any questions or concerns, please let us know.

Jamie

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

12 responses

Joakim Arvidsson (Cream Mongoose)

Mar 6, 2020

Was there any FactSet data available before 2004? I thought it was only prices and Morningstar?

James Villa

Mar 7, 2020

I re ran a previous long backtest going back 2006 data and luckily had some improvements in overall performance.
I was trying to attach images but forget how its done...the path to my image is "C:\Users\James\Pictures\Screenshots\Chaos 3 - Before.png". Help!

Jamie Veitch (Azure Hawk)

Mar 7, 2020

@James: You need to post the image somewhere online, that path is local.

James Villa

Mar 7, 2020

@Jamie, thanks. I'll give it another try.

James Villa

Mar 7, 2020

Before:

After:

Joakim Arvidsson (Cream Mongoose)

Mar 7, 2020

Use this, and something like Imgur for the image.

![](<insert link to image>)

James Villa

Mar 7, 2020

@Joakim, Thanks, mate! Been awhile, feeling rusty!

Tim Vidmar

Mar 9, 2020

This is astonishing performance, I have never seen anything like it. Sincerest congratulations! I would greatly appreciate it if you were willing to answer just one question about this algorithm, James: is it based on price data, or on fundamentals -- or perhaps a combination of the two?
Knowing this would help me get some bearings in my attempts to produce a valid algorithm for the Quantopian competition.

James Villa

Mar 9, 2020

@Tim Thanks. It is a combination of both Price and fundamental factors (aka quantamental).

Eugenio Bruno

Mar 9, 2020

James, I think that is literally the best equity curve I've ever seen anywhere. Great job :D

James Villa

Mar 9, 2020

@Eugenio Thanks. If it survives current turbulent times then I'll start my own hedge fund, hehehe! You in?

Eugenio Bruno

Mar 9, 2020

@James Sure, let me find $499K somewhere, and then I think I should have my minimum $500K investment ready for you. :P

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In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

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