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Dave, in the message I replied to, you were talking about a "major
long bias." I agree that membership in the ND100 or SP100 five
years later is a future-oriented filter, but... many of the current
stocks were also members in 1998. Also, as I said before, I think the
pretty severe bear made the long bias less pronounced than it was in
Mar 00. Speaking of long bias, what about the stocks that are not in
these indices but outperformed many of the ones that are but were
somehow excluded from membership due to market cap or some other
reason? Finally, I had in mind when I posted (and should have
mentioned it) the SP 400, 500 & 600 stocks. Which, when taken
collectively, are IMO (mostly) tradeable, representative of the US
equities markets and more than sufficient for backtesting. Especially
if you segment the periods tested by market conditions. Interesting
analysis, BTW!
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> hmmm. this was an assumption on my part, one that seemed logical,
and still
> does, to me. but your questioning of it, from your vastly more
experienced
> viewpoint, made me do some actual checking, in progress as I write.
you do
> mention it being a bigger issue before 3/00, and usually the first
step of
> my basic testing runs 3/1/98 to 3/31/03, so maybe we're not saying
anything
> contradictory anyway.
>
> logically, membership in the NASDAQ 100 or S&P 100 5 years later
seems like
> it must be a very strong future-oriented filter of some kind. maybe
not to
> the long side per se, but that's a pretty specifically selected
group of
> issues, using a criteria based 5 years in the future. even with a
> tradeableness filter applied to both data sets, logically that
fails the
> sniff test for a neutral sample.
>
> mark, can you explain to me why this wouldn't be so? aside from any
actual
> observed results?
>
> at the very least, if we trade strategies on this universe in real
time,
> we're not executing what we tested, since we have only the current
> memberhips available to trade, not the ones from 2007. if the
> future-index-members-filter results are in fact comparable to real
time
> results on all stocks, for many kinds of strategies, that would
strike me as
> somewhat accidental.
>
>
> but that's theory, and we know where that gets us... some actual
numbers are
> below.
>
> ----------------------------
> DEFINITIONS
> ----------------------------
>
> "N+S" is NASDAQ 100 plus S&P 100. I don't completely trust that my
current
> watchlists for these are exactly accurate, given recent changes.
>
> "liquid" means LLV(v * c, 50) > 1000000. only stocks with at least
one
> liquid bar in the test range are included in any of these tests.
>
> "% liquid of bars in test" is the percentage of all populated bars
that were
> liquid by that definition, averaged over all included stocks.
>
> "% liquid and up of bars in test" is the percentage of all populated
bars in
> range that were liquid and closed higher than the previous day,
averaged
> over all included stocks.
>
> "% up of liquid bars" is the percentage of liquid bars in range that
closed
> higher than the previous day, averaged over all included stocks.
>
> "all stocks" is QuotesPlus current data.
>
> all figures rounded to 2 decimal places.
>
> =======================================
>
> % liquid of bars in test
> ----------------------------
> N+S all stocks
> ----------------------------
> 1998 90.96% 60.98%
> 2002 100.00% 70.94%
> ----------------------------
>
> % up of liquid bars
> ----------------------------
> N+S all stocks
> ----------------------------
> 1998 49.21% 42.49%
> 2002 45.24% 45.77%
> ----------------------------
>
> % liquid and up of bars in test
> ----------------------------
> N+S all stocks
> ----------------------------
> 1998 44.85% 28.40%
> 2002 45.24% 33.44%
> ----------------------------
>
> number of qualifying stocks
> ----------------------------
> N+S all stocks
> ----------------------------
> 1998 181 746
> 2002 190 1430
> ----------------------------
>
> =======================================
>
> not sure what of this is statistically significant, but...
>
> - not too surprisingly, fewer bars were liquid in 98 than in 02. the
effect
> is somewhat stronger in all stocks than N+S, but not radically so.
>
> - in 02, an almost identical fraction of liquid bars were up for N+S
and all
> stocks. in 98, somewhat MORE than that were up for N+S, and FEWER
were up
> for all stocks. long future bias and volume inflation respectively,
maybe?
>
> - the similarity between '98 and '02 in % up of liquid bars is
surprising to
> me, since '98 "looks" up and '02 "looks" down on most indexes.
>
> dave
>
>
> > Well, IMO, it is absolutely not necessary to test against "all
> > stocks." Only a representative sample. And oh, BTW, the stocks
of
> > some indices are more representative than random samples, not to
> > mention more tradeable. I hear you on the looking into the future
> > argument but that was more applicable before Mar 00. I don't see
a 5
> > year "major long bias" when I scroll through the ND100 stocks.
But I
> > do see a lot of bear.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> > wrote:
> > > not chande, don't play him on tv, but here's my take fwiw. IMO,
the
> > > selection of the initial universe to test is the result of
another
> > set of
> > > filters with another set of parameters that aren't being talked
> > about at the
> > > moment, and are just as subject to (over)optimization as
anything
> > else.
> > >
> > > most fixed universes smaller than All Stocks are really hard to
> > backtest
> > > reliably without bias, so I don't when I'm testing for real. for
> > example,
> > > testing in '98 using the '03 N100 is looking into the future and
> > selecting
> > > only stocks that ended up big 5 years later -- a major long
bias.
> > even if
> > > you have historical N100 membership data, for example, it's
hard to
> > apply it
> > > on a continuous basis over the life of a test.
> > >
> > > so, I often test ideas out on small subsets for speed, but
nearly
> > always
> > > plan on running against all stocks eventually, and build in the
> > criteria
> > > needed to narrow the stocks considered as required. if you do
> > anything else,
> > > I'd suggest it needs some careful thought.
> > >
> > > dave
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