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> I was curious after reading Yuki's post. My backtests encompass a
> period from 1990 to present and Yuki reported results from 1998 to
> present.
>
> So I re-ran my backtests from 1998 to present and got a tremendous
> boost in all performance metrics. I've mentioned this curiosity in the
> past and have not figured out the cause... but I still work on it.
>
Are you trading a universe of stocks? Could it be a reverse survivor bias where a high percentage of stocks that exist now may have been spec stocks back then and so highly volatile, I am getting something similar on the ASX. Except for indexes I don't backtest prior to 1999 as I get wierd results (Until I invest in some better data that includes all of the companies have since failed and get some index constituents from the early years)
Michael
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