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Ara,
totally agreed. The S&P 500 never ahs been a good comparison index
for me, exactly for the reasons you mentioned.
In my own comparisons, I use an equally weighted index created by
myself. It fit's nicely between RUT and the Dynamic Intellidex
Index, despite the fact that I exclude most of smallcaps with MC <
250 Mio and sales < 100 Mio and a have a stockmarket history of less
than 5 years and a 50 day average volume of at least 100K shares.
( which leaves out, I believe, about 800 or 900 companies from the
current RUT index ) My Index consists of about 1800 companies and
contains also quite few midcaps with a MC up to max. 10 B.
I'm definetively not in any microcaps - to volatile and thinly
traded for my strategies.
regards
Stefan
--- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@xxxx> wrote:
> 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@xxxx>
> 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
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
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