RE: [amibroker] The demise of 23 systems...

["Jayson" <jcasavant@xxxxxxxxxxx>]

<FONT face=Arial color=#0000ff 
size=2>Chuck,
does 
this suggest that all of your systems were simply curve fitted to the current 
nas100? Or perhaps simply over optimized?
 
Regards, 
Jayson 
<FONT face=Tahoma 
size=2>-----Original Message-----From: Chuck Rademacher 
[mailto:chuck_rademacher@xxxxxxxxxx]Sent: Tuesday, December 30, 2003 
7:05 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] 
The demise of 23 systems...
I 
thought that I would share the following with you.  Perhaps you can 
see how the results of my research may affect your own 
systems?
<FONT face=Arial color=#0000ff 
size=2> 
I had 
what I thought to be 23 "good" to "very good" systems that I backtested 
against a current NASDAQ 100 watchlist.   After spending two 
days updating symbols and accounting for de-listed stocks, I came up with nine 
separate watchlists, as at January 1 each year between 1995 and 
2003.   Thanks to some of you, I modified my AFL to make sure that I 
used the correct watchlist depending on the date.   The results... not 
one of my 23 NASDAQ 100 systems now backtest with acceptable 
performance.  Many went from nice, positive returns with low drawdowns to 
negative returns and almost total loss of capital.
<FONT face=Arial color=#0000ff 
size=2> 
What 
does it all mean?   IMO, working with only a current NASDAQ 100 
watchlist can give you a real sense of false security.   Not only are 
de-listed stocks not in the current list, but many of those de-listed stocks had 
lacklustre performance before their demise.
<FONT face=Arial color=#0000ff 
size=2> 
I 
encourage you to think about the impact of using only a current watchlist, 
regardless of how that list is constructed, for backtesting 
purposes.   I see it all the time.   System designers create 
watchlists of high-beta or high-yield or low P/E or whatever stocks based on 
current information to backtest a system starting perhaps five years 
ago.   Think about it!Send BUG REPORTS 
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