RE: [amibroker] Russell 2000 constituent lists

["Dave Merrill" <dmerrill@xxxxxxx>]

<SPAN 
class=892425917-20012004>Mumbledee mumble correction below. - 
Dave
<BLOCKQUOTE 
>
  <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  <FONT color=#ff0000 
  size=4>DID  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><SPAN 
    >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 
    >KenSend 
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