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Hi Chuck,
What you mean by "random entry"
in :
"...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."
ie, do you mean entry at random times/days, entry
on random symbols, or ??.
and could you point me to some code that
accomplishes it?
thanks,
-john
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Chuck Rademacher
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, January 20, 2004 8:46
AM
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?At 11:15 AM 1/20/2004 -0500, you
wrote:
Chuck: thanks for the thoroughness of
your reply your consistency, diligence, followup and general overall
helpfulness has no equal on this list or any other I have come
across&.many thanks. This subject is proving
to me to be one of the more complex to visualize an end result or
consequence. I am gradually moving from general disbelief to at least
planning on devoting time for testing to see for myself . Trouble is,
I right now am fuzzy about what I will see , and thus confused about the
learnings and benefits that will accrue. Thus I asked the question
which you answered and the answer was
unexpected. &worse results more often than
not&. , but more accurate results??? Thus, a system tests to an x
result on current data but to a y result on past segregated data, so how do
you decide to move forward?? Set minimum response AA from the
segregated results and then if this is exceeded, you can have high
expectations of a good result moving forward with real trades?? Boy,
it is very circular for me, and I suspect only a long series of tests then
observations will give me a feel for the value of this kind of
construction. If anyone has a clear and concise view of
how this is a requirement , much less just a nice to have , then I would
sure like to know. What about all the folks (surely there are some),
who blindly backtest using current data, find a set of equations that give
good results (using historical rules of thumb), trade those results moving
forward, and make lots of money (or some money----or satisfactory money for
them)?? Could these folks do better if they knew and
adopted this segregated list approach? Or not?
Grrrrrrr. But, Chuck, do
not let my confusion and frustration confuse the fact that I appreciate, as
I said above, all that you do for us
here. Ken <FONT face=tahoma
size=2>-----Original Message-----From: Chuck Rademacher [<A
href="" eudora="autourl">mailto:chuck@xxxxxxxx]
Sent: Tuesday, January 20, 2004 10:14 AMTo:
amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker] Russell 2000
constituent lists<FONT
face="Times New Roman, Times"> Ken,I failed to
answer your last question which was "<FONT face=arial color=#000080
size=2>Running such a segregated list approach vs just the current list
should show much improved results, am I correct?".<FONT
face=arial size=2>IMO, backtesting this way would give you worse results
more often than not, at least with a long-only system. Think
about it. Compare the results of a "buy and hold" approach based
on the 2000 list compared to the 2003 list, starting in (say)
2000. The 2003 list contains the best performing
stocks. By definition, the results using a historical list
should be worse.The important thing, to me, is that the results
should be more accurate. In spite of saying that I would
expect worse results using historical lists "more often than not", many
systems will perform better simply because you would be including the
de-listed stocks and, therefore, providing a larger universe for your system
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