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Chuck:
LightBulb!!
It is a fail safe check – does your
system do well on segregated lists AND on current list, then it is likely to be
ok moving forward.
If it does well on current list but does
not do well on segregated lists, then there is HIGH RISK that it will
disappoint moving forward.
I suspect this will be less true if one
tests one’s entire universe vs specific lists like the NDX100.
However (I guess), the entire TC2000 database, or (especially) the VectorVest
database, is no better than the current NDX100, only the best and non-delisted
stocks still remain.
Thanks for the replies, that has been
quite helpful. I hope some others got the same benefits that I have in
plowing thru this with you.
Ken
-----Original Message-----
From: Chuck Rademacher
[mailto:chuck@xxxxxxxx]
Sent: Tuesday,
January 20, 2004 <span
>11:46 AM<font
size=2 face=Tahoma>
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Russell
2000 constituent lists
Ken,
Thanks for your comments. I'll try not to let you down.
To a degree, all of this "stuff" about historical lists came about
when I posted an observation about a system I was going to use to trade N100
stocks. Here is a bit of a summary of those events:
1. I continuously read on this board and others (such as the Holygrailism
board) about people who have backtested some new fangled system against the
current N100 list.
2. Up until a few weeks ago, I never looked at systems that only traded a
finite basket of stocks, such as the N100.
3. I was frustrated by posts on various boards where people were talking
about getting backtested results showing 100%, 200% and more in the way of
annual returns.
4. I put together what I thought would be a good system to trade the N100
stocks and started my research with the current list since it was easier than
using the historical lists.
5. I also got performance figures in the 100% CAR range with a reasonable
charge for slippage.
6. I was about to start trading this system with real money, but I
decided to try replacing my "secret" logic with a simple, random
entry method. I do this with any system before deciding to trade
it.
7. The random method also made 100% CAR. So, my
"secret" system was no better than random entry.
8. Then, I put the effort into using forward-looking historical lists
rather than a backward-looking current list.
9. CAR went from 100% to 20% and my bubble was burst.
10. I then started a thread on the subject and started sharing the
historical lists.
You may wonder why I share the lists? Mostly because of the amount
of work that goes into getting them accurate. It takes hours to
complete each list and it would be a shame to simply file them away on my
PC. So, at the risk of people telling me that the work isn't worth
the effort, I share them.
As to whether you should bother coding the additional logic into each system, I
have to say emphatically "yes".
We see examples of what I think is the wrong thing to do all the
time. People say things like "I sit down every three months
and prepare a watch list of stocks that have done well over the last
year"... or something equally concerning to me. They might be
looking for high yield stocks, low P/E stocks or simply stocks that have gone
up the most. What a biased list? Why not prepare such a
list based on what you knew a year ago and then test your system on that list
going forward one year with real data? That will give you a
much better idea of how well your system works than taking a list of good
performing stocks and then backtesting to see how well your system did with
that list. Surely the later must seem silly in the context I am
describing?
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
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