RE: [amibroker] Russell 2000 constituent lists

["Dave Merrill" <dmerrill@xxxxxxx>]

<SPAN 
class=482544217-20012004>I'd agree in principle with your last suspicion, but 
not in degree. 
<SPAN 
class=482544217-20012004> 
<SPAN 
class=482544217-20012004>Yes, most historical data is missing the issues that 
did so badly they got delisted, and that does constitute an inherent bias. 

<SPAN 
class=482544217-20012004> 
<SPAN 
class=482544217-20012004>But the N100 is more selective than that. Not only 
didn't they get not delisted, by definition it contains stocks where the 
underlying company actually did well enough to be one of "100 of the 
largest domestic and international non-financial companies listed on The NASDAQ 
Stock Market based on market capitalization", NOW, IN 2004.
<SPAN 
class=482544217-20012004> 
<SPAN 
class=482544217-20012004>If you're testing in 1998, for example, pre-filtering 
by whether the company achieved that status 6 years later is no way a neutral 
sample. It's even less neutral than pre-filtering on whether it got delisted 
within the next 6 years.
<SPAN 
class=482544217-20012004> 
<SPAN 
class=482544217-20012004>Dave
<BLOCKQUOTE 
>
  <FONT face=Arial color=navy 
  size=2>It is a 
  fail safe check &#8211; does your system do well on segregated lists AND on current 
  list, then it is likely to be ok moving forward.
  
  <SPAN 
  >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.
  <SPAN 
  > 
  <SPAN 
  >I suspect this will 
  be less true if one tests one&#8217;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.<FONT face=Arial color=navy 
  size=2><SPAN 
  >.
  <SPAN 
  > 
  <SPAN 
  >Ken


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