|
PureBytes Links
Trading Reference Links
|
Chuck,
If I may ask, do you run many of these 23 systems concurrently in your real
life operations? If yes, do you run them ONLY on N100 issues? Or on your whole
universe, knowing that you backtested them against current N100 only.
Also,
with your new findings, are your going to throw them all out (of course, you
might just do some modifications) and start developing new systems base on the
new setups?
You
must have tracked the performances before and after the backtest period; can
you say that the new findings more accurately reflect the real life
performance?
Thanks.
Thomas
<span
>-----Original Message-----
From: Chuck Rademacher
[mailto:chuck_rademacher@xxxxxxxxxx]
Sent: Tuesday, December 30, 2003
4:05 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] The demise of
23 systems...
<span
>
<span
>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?
<span
>
<span
>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.
<span
>
<span
>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.
<span
>
<span
>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@xxxxxxxxxxxxx<font size=2
face="Courier New">
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: <a
href="">http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: <a
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
<font size=2
face="Courier New">
<font size=2
face="Courier New">Yahoo!
Groups Links
<font size=2
face=Symbol>·<font
size=1>
To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<font size=2
face=Symbol>·<font
size=1>
To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<font size=2
face=Symbol>·<font
size=1>
Your use of Yahoo! Groups is subject to the <a
href="">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 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 the Yahoo! Terms of Service.
|