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Just a quick comment on comparing test / investmet results to S&P500.
Since S&P is capitalization weighted, it will differ from any portfolio
results as those would not be capitalization weighted.
If one took the average return of all S&P components equally weighted, the
results would be considerably higher because of the large cap lower
performance.
----- Original Message -----
From: "sgfuchs" <sgfuchs@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, July 20, 2005 2:40 AM
Subject: [amibroker] Re: Tomasz, GetExtraData() Array Question
> RJS
>
> AB provides a list of QP datafields which can be accessed via
> getextradata function - see helpfile "Getextradata" function.
>
> In order to retrieve "historical data" for these fields ( if
> provided
> by QP )you need to use also the "ref(Getextradata("XXXXX")" function
> and to enter the days/periods for how long AB should look back in
> the QP database.
>
> EPSRank i.e. is available back to January 8th. 02
>
> I have created a fairly complex strategy / Exploration /
> Tradingsystem around the datafields available from QP which I can
> backtest in AB because there's no other way to check the validity of
> stock selections performed in SPP based on fundamentals. However, I
> needed to create a lot own "datafields" and ratios to be calculated
> by AB in order to "simulate" rthe selection and ranking process in
> SPP/ HGSI. It seems, that this system works quite well in real live
> trading. But the possibilities for backtesting are still very much
> limited due to the fact, that I cannot access certain QP datafields
> in AB ( in particular the ranking values and A/D letter ranks )
>
> Hence I would second the proposal to include some more QP
> datafields - at least those, which one can already access also in
> Excel via the QP Excel plugin. For most other fields, I fear, they
> are calculated during each update and / or no historical figures are
> kept.
>
> That's one of the drawbacks of QP / HGSI - backtesting of
> fundamental
> strategies or combined fundamental / technical strategies is
> impossible without 3rd. party software like AB - and even this
> combination is rather limited.
>
> I used Vectorvest Online including their ProTrader application for a
> 5
> week trial because it allows a quite convenient backtesting of
> fundamental strategies because it stores historic fundamental values
> and their ratings, partially back to 9 years. The software is very
> easy to use and very stable. However, TA is
> However - 60.- etxra a month + a 495.- USD one time fee for
> Pro-Trader
> in addition to my current data subscriptions is a bit too much for
> me.
> ( I use already AB, Omnitrader, QP and TC2005 )
>
> 123portfolio.com allows also portfolio level backtesting on more
> than
> 500 fundamental andf technical parameters, including a quite
> sophisticated ranking system for selection of trades. Several users
> over there are very educated and experienced. Some of them have
> already posted their real live portfolio results vs. hteir
> backtesting
> strategies. At least from these documents, one can draw the
> conclusion, that this stuff works - and it has to, because it makes
> no
> sense to have a portfolio turnover of 500% a year with mediocre
> results.
>
> For what I can see, 123portfolio standard folio's outperform the S+P
> by about 40% a year. Take this with a grain of salt - almost all
> strategies are small cap related and hence the SP 600 or RUT would
> be
> a more realistic comparison for perfomance.
> I compare those results with either small-cap mutual funds or the
> new
> Powershares ETF's ( i.e. PWO, PWC ) because they offer a mechanical
> way to invest in a quantitative strategy without the hassel of a
> 500%
> portfolio turnover / year and no tax problems due to shortterm
> gains.
> Up 'til now, their performance is very impressive for Indexbased
> ETF's
> ( Intellidex Indexes ) see www.powershares.com
>
> regards
> Stefan
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "razorruss17" <rsebring@xxxx>
> wrote:
> > Please Help!
> >
> >
> > Gary over at Quotes-Plus told me on QP's message board that QP
> > database contains historical earnings and revenues data fields. If
> > this is the case shouldn't we be able to use the GetExtraData()
> > command to extract array's beyond the QRS, and EPSRank arrays?
> There
> > seems to be a strong interest in many QP and Amibroker users to be
> > able to accomplish this. What's the verdict, Tomasz? Anyone??
> >
> >
> > RJS (Russ)
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
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>
>
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>
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