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Ken,
I failed to answer your last question which was
"Running such a segregated
list approach vs just the current list should show much improved results,
am I correct?".
IMO, backtesting this way would give you
worse results more often than not, at least with a long-only
system. Think about it. Compare the results of a
"buy and hold" approach based on the 2000 list compared to the
2003 list, starting in (say) 2000. The 2003 list contains the
best performing stocks. By definition, the results using a
historical list should be worse.
The important thing, to me, is that the results should be more
accurate. In spite of saying that I would expect worse
results using historical lists "more often than not", many
systems will perform better simply because you would be including the
de-listed stocks and, therefore, providing a larger universe for your
system to consider.
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