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Chuck: thanks for the thoroughness
of your reply—your consistency, diligence, followup and general overall
helpfulness has no equal on this list or any other I have come across….many
thanks.
This subject is proving to me to be one of
the more complex to “visualize” an end result or consequence.
I am gradually moving from general disbelief to at least planning on devoting
time for testing to “see for myself”. Trouble is, I right now
am fuzzy about what I “will see”, and thus confused about the learnings
and benefits that will accrue. Thus I asked the question which you
answered and the answer was unexpected.
“…worse results more often
than not….”, but more “accurate” results??? Thus,
a system tests to an x result on current data but to a y result on past
segregated data, so how do you decide to move forward?? Set minimum
response AA from the segregated results and then if this is exceeded, you can
have high expectations of a good result moving forward with real trades??
Boy, it is very circular for me, and I suspect only a long series of tests then
observations will give me a feel for the value of this kind of construction.
If anyone has a “clear” and
concise view of how this is a “requirement”, much less just a “nice
to have”, then I would sure like to know. What about all the folks
(surely there are some), who blindly backtest using current data, find a set of
equations that give good results (using historical rules of thumb), trade those
results moving forward, and make lots of money (or some money----or
satisfactory money for them)?? Could these folks do better if
they knew and adopted this segregated list approach? Or not?
Grrrrrrr.
But, Chuck, do not let my confusion and
frustration confuse the fact that I appreciate, as I said above, all that you
do for us here.
Ken
-----Original Message-----
From: Chuck Rademacher
[mailto:chuck@xxxxxxxx]
Sent: Tuesday, January 20, 2004
10:14 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Russell
2000 constituent lists
<font size=3
face="Times New Roman">Ken,
I failed to answer your last question which was "<font
size=2 color=navy face=Arial>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.
Send BUG
REPORTS to bugs@xxxxxxxxxxxxx<span
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