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Hi Craig --
The examples in the book are for educational purposes only -- do not trade them without performing your own testing and validation.
There is always a danger of searching through a list of tickers, finding some few tickers that a system works well for, and thinking that you have found the holy grail. That search is called "optimizing over the symbol space" and is generally discouraged.
You are correct that there is a very severe survivorship bias when you evaluate a system over the watchlist containing the tickers of the current NASDAQ 100. Those companies that went out of business in 2001 to 2003 are not included. There are some data suppliers (CSI and others) that maintain data for delisted stocks. But working with that data is complicated, and obtaining it is expensive.
Thanks,
Howard
On Sun, Feb 24, 2008 at 10:36 AM, cmaiman < cmaiman@xxxxxxxxx> wrote:
Hi All,
New to AmiBroker and had a couple of questions.
To get my feet wet I'm trying some code from Howard's book and am not sure I
understand the results.
Below is an example of two trades using the code in Fig. 22.22 on Pg. 315 (I did optimize
it as an experiment). My question is, are these realistic profits? It seems to me that it
doesn't take into account bid/ask and that the likely actual sale price is lower, perhaps low
enough to be a loss. If it doesn't take bid/ask into account, how do you do that in
AmiBroker?
Ticker Trade Date Price Ex. date Ex. Price % chg Profit % Profit
----------------------------------------------------------
AAUK Long 3/23/1998 3.43 3/25/1998 3.6 4.96% 430.20 4.90%
PTRO Long 11/17/1998 0.28 11/30/1998 0.38 35.71% 3566.43 35.66%
Another question: I downloaded all the Nasdaq stocks going back ten years, but it seems
I'm going to have a severe survivor bias because the only stocks it downloaded were the
ones that survived the whole tens years (true? - it seemed that half the stocks got 404
errors in AmiQuote). I got the Nasdaq ticker list from the AmiBroker website.
Another strange thing I just noticed is that 99% of the trades are with extremely low priced
stocks (e.g. .02, .04...). Hmm...
Thanks!
Craig
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