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Particulars of O'Shaughnessy's work:
+ All I know of his work is what I read in his two books.
+ He test common and popular investment methodologies. Most of these
had fundamental components or were entirely fundamental.
+ The data used was Standard & Poor's Compustat Active and Research
Database.
+ The universe of stocks are all the stocks in the database.
+ Yes it was daily data.
+ The research was based on using criteria to select stocks for buy and
hold
with a yearly reevaluation.
+ He back tested from 1950 - 1994
+ His goal was to see which (if any) common methodologies beat the
the universe of stocks and at what risk.
>and what scientific test did you run to assume that his work looked pretty
>solid?
None. I just read the book and saw that he took into account many things --
some of which I would not have thought about:
+ He used and out-of-sample holdout period
+ He made sure that the research included companies that no
longer exist.
+ He eliminated Micro-capitalized stocks.
+ He made sure that he did not use data before it was available
historically.
+ etc.
> - you run
>zillions of iterations of on a powerful Unix machine with software that
>would make ts look like a 3 year old in wet pants and that qualified your
>thinking that his methods looked pretty solid?
Unfortunately I don't have access to that kind of services. I'm pretty
basic -- any testing I do is written in C on and run against ASCII data
files. I thought about exploring his work, but the Compustat databases
were outside my budget.
----
>zillions of iterations of on a powerful Unix machine with software that
You imply here that the only way to make a successful system or
methodology iterations on a machine... True? If so does
that mean that you view almost all the traders on this list (unless they
get lucky) doomed to failure? You have also indicated by your many
emails on this list that most of what is sold is worthless and worse. So
what is your suggested pathway to success for those of us who do not
have the resources you do?
== Rob ==
== Rob ==
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