|
PureBytes Links
Trading Reference Links
|
Back when I started with AB as a tool I though I'd try the IBD 100
as a watchlist..the ultimate example of survivorship bias. I was
raving about the great results I was getting until a friend of mine
pointed out what was happening. Try it! The NDX 100, and the NASDAQ
are less severe cases of this bias. I tried a version of the
Columbine 1500 of my own making. 1000 highest ranked and high
volume stocks(using something like QRP) plus the SP500 and that
seems to move it away from a bias but would not necessarily include
the new issues.
Best personal regards
JOE
Geaux Tigers - Hope Fred T. cheers for the right team when he
attends the Sugar Bowl.
-- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> Chuck,
> does this suggest that all of your systems were simply curve
fitted to the
> current nas100? Or perhaps simply over optimized?
>
> Regards,
> Jayson
> -----Original Message-----
> From: Chuck Rademacher [mailto:chuck_rademacher@x...]
> Sent: Tuesday, December 30, 2003 7:05 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [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?
>
> 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.
>
> 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.
>
> 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 to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
>
> -------------------------------------------------------------------
---------
> ----
> Yahoo! Groups Links
>
> a.. To visit your group on the web, go to:
> http://groups.yahoo.com/group/amibroker/
>
> b.. To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
> c.. Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service.
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Yahoo! Groups Links
To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|