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Chuck -
Want to add my thanks for your work and
insight. Speaking for myself and our local group in Houston, I like to
add that there are believers here and strong interest here in what you're
doing. We've discussed the problem with <FONT face=Arial
size=2>backtesting with dated lists giving a survivorship bias, but know
there's no easy way to handle the changes. Your way <FONT face=Arial
size=2>handling multiple lists on an annual basis is
straight forward enough and should certainly be more representative
then going back 5 years with say the RU2K or NDX100. We also have
additional interest in backtesting families/screens coming from
uncorrelated sources like the IBD 100 in addition to the market composites but
the amount and complexity of the code goes up exponentially (?) I think;
since one would have to track weekly changes and have the
historical lists in their archive. Multiple watchlists for each week may work
for a years backtest. If not then one might have to pack around
100+ ATComposites arrays to reflect individual
equity membership over time (or the Osaka plugins for data file
input/output) but that shouldn't be a burden for today's disk drives
or systems, only to my coding ability.
Best regards
Joe Landry
----- Original Message -----
<BLOCKQUOTE
>
<DIV
>From:
Chuck Rademacher
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, January 20, 2004 8:50
AM
Subject: RE: [amibroker] Russell 2000
constituent lists
Ken, I'm so glad that you and others are finding these
historical constituent lists to be of value. To me, it makes
absolutely no sense to take a current list (say the N100) and test a system
backwards over the last few years of stock data. First of all, unless
you keep the tickers in that list up to date, stocks will fall out of it every
day. More importantly, such a list contains the survivors... the
best performers... in the past. As a minimum, I would encourage system
developers to use a single historical list (2000?) and test going forward from
there. At least that approximates how trading systems MAY perform
on the current list going forward.Ken, you asked for an example of how
to use these lists. I posted this code before, but I didn't have too
many believers then. It seems that interest in (what I think is)
more realistic backtesting is on the rise. Here is what I
do:1. Let's say we only want to trade NASDAQ 100 stocks and that
we want to backtest starting in 2000.2. I would build five
contiguous watchlists (2000, 2001, 2002, 2003 and 2004) using the N100
constituent lists that I previously posted. Actually, looking at
my code, they don't have to be contiguous.3. I would build a
composite watchlist containing all of the tickers in the five
lists.4. I would set AB to look at the composite
watchlist.5. In my trading system, I would have code similar to
the following:<FONT face="Courier New, Courier"
size=2> InList = <FONT
face="Courier New, Courier" color=#0000ff size=2>IIf<FONT
face="Courier New, Courier" size=2>(<FONT face="Courier New, Courier"
color=#0000ff size=2>Year() ==
2000<FONT
face="Courier New, Courier" size=2>, <FONT face="Courier New, Courier"
color=#0000ff size=2>InWatchList<FONT face="Courier New, Courier"
size=2>(<FONT face="Courier New, Courier" color=#ff00ff
size=2>26<FONT face="Courier New, Courier"
size=2>),
IIf<FONT
face="Courier New, Courier" size=2>(<FONT face="Courier New, Courier"
color=#0000ff size=2>Year() ==
2001<FONT
face="Courier New, Courier" size=2>, <FONT face="Courier New, Courier"
color=#0000ff size=2>InWatchList<FONT face="Courier New, Courier"
size=2>(<FONT face="Courier New, Courier" color=#ff00ff
size=2>27<FONT face="Courier New, Courier"
size=2>),
IIf<FONT
face="Courier New, Courier" size=2>(<FONT face="Courier New, Courier"
color=#0000ff size=2>Year() ==
2002<FONT
face="Courier New, Courier" size=2>, <FONT face="Courier New, Courier"
color=#0000ff size=2>InWatchList<FONT face="Courier New, Courier"
size=2>(<FONT face="Courier New, Courier" color=#ff00ff
size=2>28<FONT face="Courier New, Courier"
size=2>),
IIf<FONT
face="Courier New, Courier" size=2>(<FONT face="Courier New, Courier"
color=#0000ff size=2>Year() ==
2003<FONT
face="Courier New, Courier" size=2>, <FONT face="Courier New, Courier"
color=#0000ff size=2>InWatchList<FONT face="Courier New, Courier"
size=2>(<FONT face="Courier New, Courier" color=#ff00ff
size=2>29<FONT face="Courier New, Courier"
size=2>),
IIf<FONT
face="Courier New, Courier" size=2>(<FONT face="Courier New, Courier"
color=#0000ff size=2>Year() ==
2004<FONT
face="Courier New, Courier" size=2>, <FONT face="Courier New, Courier"
color=#0000ff size=2>InWatchList<FONT face="Courier New, Courier"
size=2>(<FONT face="Courier New, Courier" color=#ff00ff
size=2>30<FONT face="Courier New, Courier"
size=2>),False))))); Buy =
myBuyIndicator AND Inlist; Sell =
mySellIndicator;6. Of course, you could take the trouble to quit
positions in a stock if it falls out of the watchlist even though it is still
trading. These NASDAQ lists are "as at January 1", however, and
aren't precise enough to incorporate this additional
logic.Further notes:a. I will upload the
N100 lists to the amibroker-ts site for those who are interested (later
today).b. If you know a better way to code around this issue, by
all means post it. The above works for me, but there are probably lots
of ways to achieve the same objective.c. I realise that I can
default to 2004==false, but I prefer the above style for documentation
purposes.d. Remember that the lists that I post show de-listed
stocks with a prefix of '~'. While I feel that using (more)
accurate watchlists is essential, I feel quite strongly about including
de-listed stocks. e. I will upload some zip files
containing de-listed stocks and I encourage you to give it a try using
them. I probably won't have time to do the uploading until next
week. I may also need another site to store them as they are quite
large. f. If there is sufficient interest and people
are willing to incorporate more logic in their AFL, I will make semi-annual or
quarterly lists. For the record, I use daily lists using my own (non-AB)
systems.g. Enjoy!!At 07:32 AM 1/20/2004
-0500, you wrote:
Chuck: I add my thanks for this
generous sharing you are doing. Can you or
someone else offer me a code snippit that would illustrate how to best use
these SEGREGATED lists in a basic backtest? Running such a segregated
list approach vs just the current list should show much improved results, am
I
correct? Ken Send
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