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RE: [amibroker] Re: Tomasz, GetExtraData() Array Question



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Stefan,

 

Again, another great post.   Thanks.

 

Questions about the issues you raised below…

 

Regarding, “Survivorship bias, especially in the Small & Midcap segments”, I’m not familiar with this.   Could explain more?

 

Regarding, “Actual prices vs. split adjusted prices”, I understand the concept in general, but don’t understand the significance of the issue.   Is it related to scans and backtesting that they will change because they include specific price levels (e.g., close < $60), or is it something more subtle?  

 

On the second issue, I would think (simplistically) that you would want price-adjusted information under all circumstances because it would allow you to match apples to apples.  Am I missing something here?

 

Again, many thanks and best regards,

 

Dan.

 


From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of sgfuchs
Sent: Wednesday, July 20, 2005 11:25 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Tomasz, GetExtraData() Array Question

 

Dan you're right in your assumption that TC uses a subset of MG
Sector and Industrygroups. I recall, that we had a similar
discussion over on the TC board for a while. I tcame up again
recently but I haven't followed all the posts around this subject.

Maybe you remember that Worden told it's clients the reasoning for
the change to TC2005. One of their arguments was, that the
architecure of their current plattform ( TC2000 that was ) does not
leave any room for further improvements and major changes.....

Whatever this means. Could be that they recognized the limitations
you described and wanted to prepare TC for the future. However, I
can live with it as it is as long as my scans produce profitable
trades ;-)

One or better two major issues with all the backtesting stuff are :
1. Survivorship bias, especially in the Small & Midcap segments
2. Actual prices vs. split adjusted prices.

The latter has already been adressed in vectorvest, where you can
select actual prices for backtesting purposes. Any scan which
includes something like ( close > 5 $ ) brings completely different
results when using actual data rather than all the split adjusted
data because other stocks are selected.
VV also confirmed yesterday, that they work on including delisted
stocks in their database again to enable users to produce more
realistic backtest results. - After all, leaving delisted issues in
the database means also less work for them - the database just gets
larger, of course.

They offer already some fundamentals like P/E ratios and , of
course, their own VV ratios with a history of up to 9 years back for
most of the 8000+ stocks in the database.

So you can develop a certain strategy based on fundamentals and , if
you like, some technicals, and check , which stocks would have been
selected on historic dates with exactly this strategy and how they
would have performed.
The whole test can be done also on a portfolio level.

Again, if one has a working system, by all means, don't waste your
time with too much of backtesting and don't fall prey to the
paralysis by analysis syndrom ;-)).

Good Luck
Stefan

--- In amibroker@xxxxxxxxxxxxxxx, "Dan Clark" <dan_public@xxxx>
wrote:
> Stefan,
>

>
> I don't have an issue with the Industry Groups.  They seem
reasonable and
> rational.    I have an issue with the Industry to Sector mapping.
>

>
> If you look carefully, you'll notice that there are never more
than 9
> Industry groups in a Sector.   This allows Worden to code the
Sectors ending
> with "0". 
>

>
> The problem is that this results in more Sectors than is
reasonable.    For
> example, "Tobacco" is a Sector.   "Drugs" is a sector.  With other
schemas,
> these would be higher-level industries grouped under other
Sectors.   And,
> it makes it difficult to compare this to other sources of
information.  
>

>
> I looked up Hemscott. There system is composed of, ".9
macroeconomic
> sectors, 31 business segments and 215 industry groups."  Below is
their
> hierarchy.  Notice that the hierarchy identifiers (numbers) are
not related
> to the Worden Sector/Industry coding.
>

>
> It looks like Worden eliminated the first level of the hierarchy
and renamed
> the Hemscott "Business Segments" to "Sector".  I didn't realize
this before.
> Now, I'll have to think about it and decide what to do.
>

>
> Regards,
>

>
> Dan.
>

>

>
>
> 1
>
> BASIC MATERIALS
>
>

>
> 11
>
> CHEMICALS
>
>

>

>
> 110
>
> Chemicals - Major Diversified
>
>

>

>
> 111
>
> Synthetics
>
>

>

>
> 112
>
> Agricultural Chemicals
>
>

>

>
> 113
>
> Specialty Chemicals
>
>

>
> 12
>
> ENERGY
>
>

>

>
> 120
>
> Major Integrated Oil & Gas
>
>

>

>
> 121
>
> Independent Oil & Gas
>
>

>

>
> 122
>
> Oil & Gas Refining & Marketing
>
>

>

>
> 123
>
> Oil & Gas Drilling & Exploration
>
>

>

>
> 124
>
> Oil & Gas Equipment & Services
>
>

>

>
> 125
>
> Oil & Gas Pipelines
>
>

>
> 13
>
> METALS & MINING
>
>

>

>
> 130
>
> Steel & Iron
>
>

>

>
> 131
>
> Copper
>
>

>

>
> 132
>
> Aluminum
>
>

>

>
> 133
>
> Industrial Metals & Minerals
>
>

>

>
> 134
>
> Gold
>
>

>

>
> 135
>
> Silver
>
>

>

>
> 136
>
> Nonmetallic Mineral Mining
>

>
>
> 2
>
> CONGLOMERATES
>
>

>
> 21
>
> CONGLOMERATES
>
>

>

>
> 210
>
> Conglomerates
>

>
>
> 3
>
> CONSUMER GOODS
>
>

>
> 31
>
> CONSUMER DURABLES
>
>

>

>
> 310
>
> Appliances
>
>

>

>
> 311
>
> Home Furnishings & Fixtures
>
>

>

>
> 312
>
> Housewares & Accessories
>
>

>

>
> 313
>
> Business Equipment
>
>

>

>
> 314
>
> Electronic Equipment
>
>

>

>
> 315
>
> Toys & Games
>
>

>

>
> 316
>
> Sporting Goods
>
>

>

>
> 317
>
> Recreational Goods, Other
>
>

>

>
> 318
>
> Photographic Equipment & Supplies
>
>

>
> 32
>
> CONSUMER NON-DURABLES
>
>

>

>
> 320
>
> Textile - Apparel Clothing
>
>

>

>
> 321
>
> Textile - Apparel Footwear & Accessories
>
>

>

>
> 322
>
> Rubber & Plastics
>
>

>

>
> 323
>
> Personal Products
>
>

>

>
> 324
>
> Paper & Paper Products
>
>

>

>
> 325
>
> Packaging & Containers
>
>

>

>
> 326
>
> Cleaning Products
>
>

>

>
> 327
>
> Office Supplies
>
>

>
> 33
>
> AUTOMOTIVE
>
>

>

>
> 330
>
> Auto Manufacturers - Major
>
>

>

>
> 331
>
> Trucks & Other Vehicles
>
>

>

>
> 332
>
> Recreational Vehicles
>
>

>

>
> 333
>
> Auto Parts
>
>

>
> 34
>
> FOOD & BEVERAGE
>
>

>

>
> 340
>
> Food - Major Diversified
>
>

>

>
> 341
>
> Farm Products
>
>

>

>
> 342
>
> Processed & Packaged Goods
>
>

>

>
> 343
>
> Meat Products
>
>

>

>
> 344
>
> Dairy Products
>
>

>

>
> 345
>
> Confectioners
>
>

>

>
> 346
>
> Beverages - Brewers
>
>

>

>
> 347
>
> Beverages - Wineries & Distillers
>
>

>

>
> 348
>
> Beverages - Soft Drinks
>
>

>
> 35
>
> TOBACCO
>
>

>

>
> 350
>
> Cigarettes
>
>

>

>
> 351
>
> Tobacco Products, Other
>

>
>
> 4
>
> FINANCIAL
>
>

>
> 41
>
> BANKING
>
>

>

>
> 410
>
> Money Center Banks
>
>

>

>
> 411
>
> Regional - Northeast Banks
>
>

>

>
> 412
>
> Regional - Mid-Atlantic Banks
>
>

>

>
> 413
>
> Regional - Southeast Banks
>
>

>

>
> 414
>
> Regional - Midwest Banks
>
>

>

>
> 415
>
> Regional - Southwest Banks
>
>

>

>
> 416
>
> Regional - Pacific Banks
>
>

>

>
> 417
>
> Foreign Money Center Banks
>
>

>

>
> 418
>
> Foreign Regional Banks
>
>

>

>
> 419
>
> Savings & Loans
>
>

>
> 42
>
> FINANCIAL SERVICES
>
>

>

>
> 420
>
> Investment Brokerage - National
>
>

>

>
> 421
>
> Investment Brokerage - Regional
>
>

>

>
> 422
>
> Asset Management
>
>

>

>
> 423
>
> Diversified Investments
>
>

>

>
> 424
>
> Credit Services
>
>

>

>
> 425
>
> Closed-End Fund - Debt
>
>

>

>
> 426
>
> Closed-End Fund - Equity
>
>

>

>
> 427
>
> Closed-End Fund - Foreign
>
>

>
> 43
>
> INSURANCE
>
>

>

>
> 430
>
> Life Insurance
>
>

>

>
> 431
>
> Accident & Health Insurance
>
>

>

>
> 432
>
> Property & Casualty Insurance
>
>

>

>
> 433
>
> Surety & Title Insurance
>
>

>

>
> 434
>
> Insurance Brokers
>
>

>
> 44
>
> REAL ESTATE
>
>

>

>
> 440
>
> REIT - Diversified
>
>

>

>
> 441
>
> REIT - Office
>
>

>

>
> 442
>
> REIT - Healthcare Facilities
>
>

>

>
> 443
>
> REIT - Hotel/Motel
>
>

>

>
> 444
>
> REIT - Industrial
>
>

>

>
> 445
>
> REIT - Residential
>
>

>

>
> 446
>
> REIT - Retail
>
>

>

>
> 447
>
> Mortgage Investment
>
>

>

>
> 448
>
> Property Management
>
>

>

>
> 449
>
> Real Estate Development
>

>
>
> 5
>
> HEALTHCARE
>
>

>
> 51
>
> DRUGS
>
>

>

>
> 510
>
> Drug Manufacturers - Major
>
>

>

>
> 511
>
> Drug Manufacturers - Other
>
>

>

>
> 512
>
> Drugs - Generic
>
>

>

>
> 513
>
> Drug Delivery
>
>

>

>
> 514
>
> Drug Related Products
>
>

>

>
> 515
>
> Biotechnology
>
>

>

>
> 516
>
> Diagnostic Substances
>
>

>
> 52
>
> HEALTH SERVICES
>
>

>

>
> 520
>
> Medical Instruments & Supplies
>
>

>

>
> 521
>
> Medical Appliances & Equipment
>
>

>

>
> 522
>
> Health Care Plans
>
>

>

>
> 523
>
> Long-Term Care Facilities
>
>

>

>
> 524
>
> Hospitals
>
>

>

>
> 525
>
> Medical Laboratories & Research
>
>

>

>
> 526
>
> Home Health Care
>
>

>

>
> 527
>
> Medical Practitioners
>
>

>

>
> 528
>
> Specialized Health Services
>

>
>
> 6
>
> INDUSTRIAL GOODS
>
>

>
> 61
>
> AEROSPACE/DEFENSE
>
>

>

>
> 610
>
> Aerospace/Defense - Major Diversified
>
>

>

>
> 611
>
> Aerospace/Defense Products & Services
>
>

>
> 62
>
> MANUFACTURING
>
>

>

>
> 620
>
> Farm & Construction Machinery
>
>

>

>
> 621
>
> Industrial Equipment & Components
>
>

>

>
> 622
>
> Diversified Machinery
>
>

>

>
> 623
>
> Pollution & Treatment Controls
>
>

>

>
> 624
>
> Machine Tools & Accessories
>
>

>

>
> 625
>
> Small Tools & Accessories
>
>

>

>
> 626
>
> Metal Fabrication
>
>

>

>
> 627
>
> Industrial Electrical Equipment
>
>

>

>
> 628
>
> Textile Manufacturing
>
>

>
> 63
>
> MATERIALS & CONSTRUCTION
>
>

>

>
> 630
>
> Residential Construction
>
>

>

>
> 631
>
> Manufactured Housing
>
>

>

>
> 632
>
> Lumber, Wood Production
>
>

>

>
> 633
>
> Cement
>
>

>

>
> 634
>
> General Building Materials
>
>

>

>
> 635
>
> Heavy Construction
>
>

>

>
> 636
>
> General Contractors
>
>

>

>
> 637
>
> Waste Management
>

>
>
> 7
>
> SERVICES
>
>

>
> 71
>
> LEISURE
>
>

>

>
> 710
>
> Lodging
>
>

>

>
> 711
>
> Resorts & Casinos
>
>

>

>
> 712
>
> Restaurants
>
>

>

>
> 713
>
> Specialty Eateries
>
>

>

>
> 714
>
> Gaming Activities
>
>

>

>
> 715
>
> Sporting Activities
>
>

>

>
> 716
>
> General Entertainment
>
>

>
> 72
>
> MEDIA
>
>

>

>
> 720
>
> Advertising Agencies
>
>

>

>
> 721
>
> Marketing Services
>
>

>

>
> 722
>
> Entertainment - Diversified
>
>

>

>
> 723
>
> Broadcasting - TV
>
>

>

>
> 724
>
> Broadcasting - Radio
>
>

>

>
> 725
>
> CATV Systems
>
>

>

>
> 726
>
> Movie Production, Theaters
>
>

>

>
> 727
>
> Publishing - Newspapers
>
>

>

>
> 728
>
> Publishing - Periodicals
>
>

>

>
> 729
>
> Publishing - Books
>
>

>
> 73
>
> RETAIL
>
>

>

>
> 730
>
> Apparel Stores
>
>

>

>
> 731
>
> Department Stores
>
>

>

>
> 732
>
> Discount, Variety Stores
>
>

>

>
> 733
>
> Drug Stores
>
>

>

>
> 734
>
> Grocery Stores
>
>

>

>
> 735
>
> Electronics Stores
>
>

>

>
> 736
>
> Home Improvement Stores
>
>

>

>
> 737
>
> Home Furnishing Stores
>
>

>

>
> 738
>
> Auto Parts Stores
>
>

>

>
> 739
>
> Catalog & Mail Order Houses
>
>

>
> 74
>
> SPECIALTY RETAIL
>
>

>

>
> 740
>
> Sporting Goods Stores
>
>

>

>
> 741
>
> Toy & Hobby Stores
>
>

>

>
> 742
>
> Jewelry Stores
>
>

>

>
> 743
>
> Music & Video Stores
>
>

>

>
> 744
>
> Auto Dealerships
>
>

>

>
> 745
>
> Specialty Retail, Other
>
>

>
> 75
>
> WHOLESALE
>
>

>

>
> 750
>
> Auto Parts Wholesale
>
>

>

>
> 751
>
> Building Materials Wholesale
>
>

>

>
> 752
>
> Industrial Equipment Wholesale
>
>

>

>
> 753
>
> Electronics Wholesale
>
>

>

>
> 754
>
> Medical Equipment Wholesale
>
>

>

>
> 755
>
> Computers Wholesale
>
>

>

>
> 756
>
> Drugs Wholesale
>
>

>

>
> 757
>
> Food Wholesale
>
>

>

>
> 758
>
> Basic Materials Wholesale
>
>

>

>
> 759
>
> Wholesale, Other
>
>

>
> 76
>
> DIVERSIFIED SERVICES
>
>

>

>
> 760
>
> Business Services
>
>

>

>
> 761
>
> Rental & Leasing Services
>
>

>

>
> 762
>
> Personal Services
>
>

>

>
> 763
>
> Consumer Services
>
>

>

>
> 764
>
> Staffing & Outsourcing Services
>
>

>

>
> 765
>
> Security & Protection Services
>
>

>

>
> 766
>
> Education & Training Services
>
>

>

>
> 767
>
> Technical Services
>
>

>

>
> 768
>
> Research Services
>
>

>

>
> 769
>
> Management Services
>
>

>
> 77
>
> TRANSPORTATION
>
>

>

>
> 770
>
> Major Airlines
>
>

>

>
> 771
>
> Regional Airlines
>
>

>

>
> 772
>
> Air Services, Other
>
>

>

>
> 773
>
> Air Delivery & Freight Services
>
>

>

>
> 774
>
> Trucking
>
>

>

>
> 775
>
> Shipping
>
>

>

>
> 776
>
> Railroads
>

>
>
> 8
>
> TECHNOLOGY
>
>

>
> 81
>
> COMPUTER HARDWARE
>
>

>

>
> 810
>
> Diversified Computer Systems
>
>

>

>
> 811
>
> Personal Computers
>
>

>

>
> 812
>
> Computer Based Systems
>
>

>

>
> 813
>
> Data Storage Devices
>
>

>

>
> 814
>
> Networking & Communication Devices
>
>

>

>
> 815
>
> Computer Peripherals
>
>

>
> 82
>
> COMPUTER SOFTWARE & SERVICES
>
>

>

>
> 820
>
> Multimedia & Graphics Software
>
>

>

>
> 821
>
> Application Software
>
>

>

>
> 822
>
> Technical & System Software
>
>

>

>
> 823
>
> Security Software & Services
>
>

>

>
> 824
>
> Information Technology Services
>
>

>

>
> 825
>
> Healthcare Information Services
>
>

>

>
> 826
>
> Business Software & Services
>
>

>

>
> 827
>
> Information & Delivery Services
>
>

>
> 83
>
> ELECTRONICS
>
>

>

>
> 830
>
> Semiconductor - Broad Line
>
>

>

>
> 831
>
> Semiconductor - Memory Chips
>
>

>

>
> 832
>
> Semiconductor - Specialized
>
>

>

>
> 833
>
> Semiconductor - Integrated Circuits
>
>

>

>
> 834
>
> Semiconductor Equipment & Materials
>
>

>

>
> 835
>
> Printed Circuit Boards
>
>

>

>
> 836
>
> Diversified Electronics
>
>

>

>
> 837
>
> Scientific & Technical Instruments
>
>

>
> 84
>
> TELECOMMUNICATIONS
>
>

>

>
> 840
>
> Wireless Communications
>
>

>

>
> 841
>
> Communication Equipment
>
>

>

>
> 842
>
> Processing Systems & Products
>
>

>

>
> 843
>
> Long Distance Carriers
>
>

>

>
> 844
>
> Telecom Services - Domestic
>
>

>

>
> 845
>
> Telecom Services - Foreign
>
>

>

>
> 846
>
> Diversified Communication Services
>
>

>
> 85
>
> INTERNET
>
>

>

>
> 850
>
> Internet Service Providers
>
>

>

>
> 851
>
> Internet Information Providers
>
>

>

>
> 852
>
> Internet Software & Services
>

>
>
> 9
>
> UTILITIES
>
>

>
> 91
>
> UTILITIES
>
>

>

>
> 910
>
> Foreign Utilities
>
>

>

>
> 911
>
> Electric Utilities
>
>

>

>
> 912
>
> Gas Utilities
>
>

>

>
> 913
>
> Diversified Utilities
>
>

>

>
> 914
>
> Water Utilities
>

>

>
>   _____ 
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of sgfuchs
> Sent: Wednesday, July 20, 2005 9:17 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Tomasz, GetExtraData() Array Question
>

>
> Dan,
> TC2000/5 Industrygroups are the same as Media general
> Industrygroups, now Hemscott, Coredatagroup. I' dont know about
the
> in's and out's of TC2005 coding and database architecture, but the
> number and organisation of industrygroups is according to Wordens
> data provider.
>
> QP uses the same as Yahoo / Reuters, I believe. Hence the few
> differences.
>
> regards
> Stefan
>
> http://www.coredatagroup.com/db/groups.html
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dan Clark" <dan_public@xxxx>
> wrote:
> > Jason,
> >
> > 
> >
> > It turns out that this changed with the release of TC2005.  
Now,
> you can
> > have TC2005 running on two or more computers.  The first two
> computers are
> > included with your standard subscription.  Each additional
> computer is
> > $10/month (too high, IMO).  
> >
> > 
> >
> > I have TC2005 (and AB) running on my laptop and workstation. 
The
> good news
> > is that the TC2005 parameters (scans, PCFs, preferences, trend
> lines,
> > indicators, etc) can be uploaded and saved to the TC servers and
> then
> > downloaded to another computer.  It makes it simple to keep two
> computers in
> > sync.
> >
> > 
> >
> > Even with this benefit, the limitations of the TC2005 database
are
> starting
> > to wear on me.   And, I'm starting to question the benefit of
the
> TC Sector
> > categorization.   It looks like their Industry to Sector mapping
> is related
> > to limitations in their database and NOT based on a rational
> mapping.
> >
> > 
> >
> > Regards,
> >
> > 
> >
> > Dan.
> >
> > 
> >
> >   _____ 
> >
> > From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
> On Behalf
> > Of Jason Hart
> > Sent: Wednesday, July 20, 2005 7:14 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: RE: [amibroker] Re: Tomasz, GetExtraData() Array
Question
> >
> > 
> >
> > Dan - I like TC2K, especially their sentiment indicators, but
the
> fact that
> > they don't allow you to use their software on multiple computers
> is the
> > reason why I went with QP. 
> >
> > 
> >
> > JAson
> >
> > Dan Clark <dan_public@xxxx> wrote:
> >
> > Stefan,
> >
> > 
> >
> > Not trying to hijack this thread, but I noticed that you use
both
> QP and
> > TC2005.   (I'm interested because I'm thinking of replacing
TC2005
> with QP.)
> > Why have both?  What benefits does TC2005 provide that QP does
not?
> >
> > 
> >
> > Thanks and regards,
> >
> > 
> >
> > Dan.
> >
> > 
> >
> >
> >   _____ 
> >
> >
> > From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
> On Behalf
> > Of sgfuchs
> > Sent: Wednesday, July 20, 2005 2:41 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > 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)
> >
> >
> >
> >
> > __________________________________________________
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> >
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> >
> >
> >
> >
> >
> >
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