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Dan,
Survivorship bias :
If you do backtesting and want any significant results, you have to
span a longer timeperiod, say 4 - 5 years back at least, in order to
cover several market cycles.
Now you backtest your strategy on a list of symbols, either the
whole market or more clearly defined based on index components or
self defined lists of stocks meeting certain criteria.
As a matter of fact, a lot of small- and midcap companies get
delisted every year - either they go bankrupt, are taken over ,
merge with another company or go privat. These symbols are not
anymore available for a backtest, as of today. However, with a
backtest, you want to see, how your system would have performed, say
4 years ago until today.
If your symbollist consists only of those stocks which have survived
( read got not delisted ), the backtest can only be based on these
sysmbols performance - although your system might have taken stocks
which got delisted in the meantime and hence your results could be
completely different.
This is true in particular for the small- and Midcap segment of the
market, were you have the most delistings.
If I would use an old SP 600 list of symbols, say from 1999, I think
fewer than 60% of the symbols are still listed and even if, they
moght not be anymore in the SP 600 today.
So in a nutshell, you base your backtest only on those stocks who
have "survived". Think of all the dot.coms which vanished in tha
past 4 years from the stock market. I bet, many of those would have
appeard on any momentum based backtest back in 1999 ( I know this,
because I did also backtesting back in 1999 )
2. Actual vs. split / dividend adjusted prices :
Many high-tech stocks went through dozends of stocksplits in the
past 5 years. If you use a price filter in your system , it might
not consider stocks like YHOO, MSFT or CSCO in backtest for 1999 /
2000 because their split adjusted prices for this period were to
low - whicle their actual prices would have been high enoufgh back
then to have them included in your system.
Finally, there are 2 other major points to take into consideration
for backtesting :
1. In the system test, the system assumes you're prepared to execute
orders every market day. Unless you're a trading junkie, it's more
likely that you would miss a good deal of the backtest trades due
to :
Holidays, not being able to access your computer or reach your
broker, other reasons for not being able to update the backtested
strategy each an every trading day ( aside from the fact, that most
of the time, there's only so much trading volume at each price level
and it's highly unlikely to get filled exactly at the open or close.
2. Taxes : unless one has other sources to pay taxes on shortterm
gains, one would have to withdraw the money needed for paying tax on
those gains at lates somewhen in the first quarter of the following
year. This cuts back the amount of equity availabe for the system to
trade and hence has a significant influence on the results.
When I backtest strategies in AB, I start with year over year tests
and deduct 50% of the gains the system made as taxes by end of each
trading year.
If you make a living from trading, you have to do tests month over
month or even week over week and withdraw the amount you need to
cover your living expenses. Again, this can have a dramatical
influence on your test results - especially when you have to
withdraw money in a drawdon period where your account is deep in the
red ( happens with almost any system ) .
So what I look at in backtesting is not so much the overall
performance, but more important : consistency - is the system
generating cash each and every month during the testing period or ,
at least, doesn't it loose money on a month by month bases!
For that reason, almost any strategy based breakouts, high momentum
etc. on small and microcap stocks is of non value for me. First due
to the survivorship bias, but more important due to the hefty
drawdowns with such volatile stocks.
If I have a good system, I always go through every week of backtest
results and ask myself : would I've had the guts to stay with my
positions although the whole account is in the red for more than 30%
in the middle of a month. Just imagne the news and investment
reports you read in such a period when the markets tank and the
damage done to your emotianyl stability. I assume, not many would
stay with a theoretical system developped with a 130 $ piece of
software when seeing the S&P or NAZ dropping 1 - 2 % each and every
day.
Knowing myself better and better after years of trading, I skipped
almost any strategies which lead to spectacular results, but only on
the cost of drawdowns of 30% or more.
And don't rely on coded trading stops in a backtest unless you're
prepared to enter each calculated stop directly after purchasing /
shortselling the stock physically with your broker. Keeping mental
stops sounds good, but doesn't work in real live !!
Today, I use most of the time so called bracket orders with trailing
stops, were exits to both - stop and target, are directly submitted
to my broker the same time my order is filled. You recognize -
backtesting a system has more parameters as those you would usually
could code into AB.
We always try to trade as mechanical as possible, but we are human
beings and as such, we have to overcome our emotions - probably the
most complicated and ambitious objective one has to fulfill before
becoming a succesful trader.
Hope this helped.
regards
Stefan
--- In amibroker@xxxxxxxxxxxxxxx, "Dan Clark" <dan_public@xxxx>
wrote:
> 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.
> >
> >
> >
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> > 1
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> >
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> >
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> > 4
> >
> > FINANCIAL
> >
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> >
> >
> >
> >
> >
> >
> > 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)
> > >
> > >
> > >
> > >
> > > __________________________________________________
> > > Do You Yahoo!?
> > > Tired of spam? Yahoo! Mail has the best spam protection around
> > > http://mail.yahoo.com
> > >
> > > 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
> > >
> > >
> > >
> > > * Visit your group "amibroker
> > > <http://groups.yahoo.com/group/amibroker> " on the web.
> > >
> > > * To unsubscribe from this group, send an email to:
> > > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > > <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?
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