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Peter and Michael,
Each of your speculations might have some merit.
It is a coincidence that two completely different backtesting systems
are experiencing the same pre-97 bust and post-98 boom.
Regards,
Dennis
--- In amibroker@xxxxxxxxxxxxxxx, "Janos, Michael"
<michael.janos@xxxx> wrote:
>
>
>
> > 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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