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If all your looking for is the trend, why don't you use the entire
Nasdaq market (NDX)?
--- In amibroker@xxxx, b519b@xxxx wrote:
> traders,
>
> Thanks for the tip about problems using the Nasdaq 100 for longterm
> backtesting. You've saved me some time and that is appreciated.
>
> Fortunately I don't need to use the Nasdaq 100. I just need a
> reasonably good proxy for the QQQ (and I have data on over 70
trades
> ins the current QQQ data to verify whether or not something will be
a
> good proxy). I'm not looking for certainty here -- just a little
> longer overview. So here's another approach I could take.
>
> 1. Make up a couple of my own versions of the Nasdaq 100 (ones that
> will have a static membership over the test period).
>
> 2. Do a scan that selects the current 100 largest cap stocks on the
> Nasdaz (excluding the financial since the QQQ also excludes them)
> that have a minimum of 10 years of price history. Build a composite
> of these and compare to the price behaviour of the QQQ. If it a
> reasonable proxy, then analysize each of the individual stocks to
> develope my desired indicator. Then I could then extend the back
> testing.
>
> 3. The second composite proxy could be made as in 2 but using 1995
or
> 1990 as the sort year for getting the largest cap stocks.
>
> As you can tell I really want to get a proxy for the QQQ. It don't
> need to be exact, just close enough to determine how often my
> indicator model gives a really bad calls. Comments anyone?
>
>
>
> --- In amibroker@xxxx, traders10@xxxx wrote:
> > There are more problems here than just the test time involved.
> >
> > The NASDAQ 100 is in a constant state of flux. Stocks are
> frequently
> > added and deleted from the index. If you try to reconstruct the
> > index from the individual component stocks you will find it an
> > impossible task. NASDAQ does not make available a history of the
> > changes in the component stocks (AFAIK) so you are out of luck
> there.
> >
> > The current composition of the NASDAQ 100 represents a
considerable
> > survivorship bias that negates historical reconstruction for
> > component stocks. ie: all the losers got dropped from the
> > index....only the winners remain.
> >
> > I believe that you will only be able to go back perhaps two to
> three
> > years before the testing becomes meaningless.
> >
> > Sorry
> > Trader
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