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HI
b,
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size=2>
Yes,
there is a fairly easy solution to the problem you raise. I have a
database that contains the N100 list at any point in time. Sucn a
database can be obtained from various sources over the Internet. By
"joining" this list with daily price info, it is possible to have (as extra
data) whether or not a particular stock was a N100 constituent on a particular
day. Of course, you end up with about 600 stocks that have come and
gone into/out of the N100 over (say) the last 15 years. Also, many
of those stocks no longer exist in the usual data sources.
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Using
tools that I know you already have, you could put a "1" or "0" in the OI
column of your data for such stocks on each day. You then would have
to multiply your actual close by ten in order to accomodate both bits of
information. Alternatively, you could use the "getextradata"
(syntax?) thingie that you already use for such information.
<BLOCKQUOTE
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<FONT face="Times New Roman"
size=2>-----Original Message-----From: b519b
[mailto:b519b@xxxxxxxxx]Sent: Friday, October 17, 2003 2:35
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] N100
membership Puzzle (was Walk Forward
Optimization)Al,Before you invest a lot of
time on a walk forward study of trading the N100 stocks, you need to
decide how you will determine which stocks were in the N100 for past
years. Otherwise, you may be wasting your time, or worse yet, get
promising results that will not be repeatable in the future -- because
they were never possible in the past -- they just appeared to be possible
due to the bais caused by using a single N100 membership list as it stands
today.Why does is the present list not good enough? Stocks that were
once in the N100 but may not be included in today's list (likely to to
sub standard performance recently). Also, stocks that where around in
1995 but were not included in the N100 because they were too small, may
have outperformed some stocks that were in the N100 and thus are now
included in today's list. They will appear to have been N100 members in
1995 but were not so. Back testing using today's N100 list (or S&P500
list, etc) introduces a "cystal ball" effect. I have often thought of
doing what you are proposing but I have not figured out an time effective
method to get the list. Do you have one?I do have method but
it is too time consuming. The N100 has an ETF (the QQQ) and the trustees
of that ETF have to file papers with the SEC. Those papers include a list
of all the stocks included in the ETF. So one just has to pull the QQQ
filings for each year (or quarter, I forget which) and compile a list of
changes. Unfortunately the list does not include their ticker symbols. So
there would be additional paper work spent looking up tickers. Also on
will need to get price data on stocks that have gone inactive.
Unfortunately, the QQQ only covers the most recent 4 years of the
N100's history, so this method will not work back to 1993.
Alternatively an ETF like the SPY has a much longer history. However,
its membership size of 500 would be a much large task to set up.
If one had data on N100 membeship, then one could write a small
program that would put a marker into the OI field for these stocks to
indicate the dates it was and was not a member of the N100. A single AFL
line of code could test for that marker and thus enable accurate
backtesting.Does any one have a better way to handle the challenge of
handling past membership of indexes?b--- In
amibroker@xxxxxxxxxxxxxxx, "advenosa@xxxx" <advenosa@xxxx>
wrote:> Thanks, Dimitris, for the walk-forward > link. I
must have missed this. > > Regarding your second point, will
that > method work in portfolio backtester> for a basket of
stocks rather than for > one stock? For example, suppose I>
wished to optimize my system on the > N100 stocks at each 2-year
period> beginning in, say, 1993. I select the > top 7 stocks in
that period and> optimize. I then do a walk-forward test > on
those 7 stocks for 1995 (the> 1-year OOS period after the first IS
> opt period) and save the composite> equity curve developed for
trading > those 7 top stocks in 1995. Then, in the> next
optimization period, 1994-1995, > I repeated the process, this
time> getting 7 different top stocks. I > generate an OOS equity
curve for those 7> stocks for the period 1996. I keep >
repeating this, saving each 1-year OOS> composite equity, then at the
end > concatenating all those OOS composite> equity curves
together. Can this be > done with the code you developed? >
> TIA> > Al Venosa> Send
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