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Excellent point, b. Thanks for pointing that out. No, I have no magic
method of culling out stocks that no longer belong to an index. Hopefully, Chuck
will post his method.
Al Venosa
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----- Original Message -----
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>From:
b519b
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, October 17, 2003 2:34
PM
Subject: [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>
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