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That magazine is not an academic journal. It has no standing in the academic
community. It is interesting reading. Many of the articles could not stand
up to statistical analysis. Please stop using it as a bible. It is amazing
how the biggest advertisers always win the big awards.
-----Original Message-----
From: The Omega Man <editorial@xxxxxxxxxxxxx>
To: Omega List <omega-list@xxxxxxxxxx>
Date: Sunday, October 11, 1998 7:33 AM
Subject: WHY BACKTESTING WORKS
>
>In the October issue of our favorite magazine (Technical Analysis of Stocks
>and Commodities) there is an interview with James O'Shaughnessy. This
>interview will be of interest to those who have a view on the validity of
>backtesting as a method for developing trading strategies.
>
>The most interesting point made by Mr. O'Shaughnessy is that backtested
>models work best in all fields of human endeavor, not just in trading.
Such
>models, which he calls "quantitative/actuarial" models, consistently
>outperform non-backtested models, which he calls "clinical/intuitive"
>models. This is as true for doctors attempting diagnoses as it is for
>handicappers picking horses at the track. It is as true for college
>administrators judging admissions candidates as it is for parole boards
>judging parolees. It is as true for loan officers doing underwriting as it
>is for traders judging markets.
>
>The key is to choose a model which performs well in backtesting, and then
>*stick to that model*.
>
>
>Good trading,
>
>The Omega Man
>
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>A is A
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