We are very excited to announce a new feature that allows users with Model Builder to add additional securities to our system matrix universes while preserving the survivor bias free history that makes them more suitable for backtesting your models. This feature will also allow you to blend multiple system matrix model universes together, combining their history in the process. This feature will be available starting on September 30, 2024.
What Do I Do?
When creating a Matrix, there is now an option to "Nest Matrices", which allows you to select one or more Matrices to use as the basis for your new Matrix. Make sure to change the Update Frequency to Daily if you want to use the new Matrix in a custom model. The below example shows a Matrix combining the Nasdaq 100, Dow, and OEX system matrices into a single universe.
You can also choose to add additional tickers to a Matrix. These can be stocks, ETFs, mutual funds, indices, etc. They will be slotted into the universe's history as far back as they can be.
You can also do a combination of the two- combining multiple matrices and adding additional tickers to fill out your universe.
Where Do I Access the New Matrix?
While you can view this new Matrix on the Matrix page, the main purpose of this new feature is to help you build custom models with more meaningful backtest data. To include this Matrix in a custom model, go to the custom model creation page and select Matrix as your model type. When selecting your model's Matrix, your new combined Matrix will be accessible under the "Custom Matrices" dropdown.
If you want to combine Matrices but do not intend to create a custom model from this new Matrix, use the "Send to..." tool instead of the Nested Matrix function. This will not take as long to generate and you would not need the survivor-bias-free history that a Nested Matrix would have to generate.
Why Is This Important?
This significantly improves your ability to customize our system universes while preserving the richer history that makes system matrices more useful for backtesting. This is a major step for Model Builder, making it an even more powerful portfolio construction tool than it already was.