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This is a common problem with external relative strength testing.
Regardless of the program you are using, you have to calculate the ERS
for 10% to 15% more bars than the test period.
For 20 years of data, which is a bit much, you'll need something
between 5000 and 6000 ERS data points.
If you have 20 years of data, how are you compensating for surviorship?
You would be better off running tests on 5 to 8 years of data in
sample and another 4 to 6 years of out of sample data.
Good luck! My tests show the ERS value to be one of the best filters
there is for qualifying possible trades.
--- In equismetastock@xxxxxxxxxxxxxxx, "erc90" <erc90@xxx> wrote:
>
> Dear Sirs:
>
> I'm trying to back test 20 years of data using ERSA; however, I cannot
> get the explorer nor the system tester to recognize the ExtFml
> ("ERSA.ExternalRelativeStrength"). It will only go back in time 125
> periods-unless I manually change that figure.
>
> I wish to buy the top 10 stocks in the SP100 each quarter, i.e., each
> quarter I want to reallocate my account so that I'm always in the top
> ten. One tenth of my account should always be in one of the ten stocks.
>
> Any suggestions would greatly be appreciated!
>
> Eric
>
> PS. Must I always run the first simulation in SpyGlass or is there a
> say for me to supersede that step?
>
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