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Ken,
You said "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."
IMO, the smaller the list, the bigger the problem.
Depending, of course, on the nature of the list. In the whole
universe of stocks (7,000 active, 12,000 inactive), you don't have the
"success bias" that you have with the N100 stocks.
You still have the survivorship bias, but the impact of one or two
companies in or out of the N100 can make a big difference.
We see this come a lot when two or three people run the same system
against their own version of what they think is the N100 list. They
may have downloaded this list from the NASDAQ site just a few weeks
apart, but their lists will be different. We see the emails
going back and forth.... "mine makes 82%"... "but mine
makes 63%"....etc. Then, after a flood of dialogue, we
all hear that the difference was in their data. No surprise,
is it?
So, a small list (N100) with a few variances can make a big percentage
difference to the performance figures. A large list
(total universe) with a few variances amongst thousands of trades makes
negligible difference.
Sorry to others about taking up so much bandwidth...
At 12:32 PM 1/20/2004 -0500, you wrote:
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 11:46 AM
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?
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