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Craig:
Benchmarks issues can be classified as:
1) actual, historic
2) hypothetical, one market or one system
3) hypothetical, multi market
4) how to construct a benchmark.
(1)
For actual, historic, best ever, see books about, or biographies
of George Soros.
For ordinary mortal hedge fund managers, see their performance
listed on the Lind Waldock web site. To gain access privileges,
you need to declare yourself a QEP --Qualified Eligible Person.
(2)
For out of sample hypothetical, single market results of
published systems, see Futures Truth. Warning: Study the fine
print; the methodology used by Futures Truth is invalid.
Results, although out of sample, do not correspond to real world
results. (Same warning applies to 'benchmarks' published in
"Trading Lab" section of Active Trader Magazine.)
Futures Truth principals published a book "The Ultimate Trading
Guide". It list "10 best systems of all times". Again, do not
expect to be able to reproduce results.
(3)
For reproducible results, and valid methodology, see Katz and
McCormick "The Encyclopedia of Trading Strategies". Sound
reasoning; hard work to reproduce them. Results would be simple
to reproduce.
See also, Chande, listed below.
(4)
Actual studies of CTA's performance, plus studies based on multi
market back testing, plus theoretically valid approach to
modeling and benchmarking, see Tushar Chande's "Beyond Technical
Analysis". Be certain to get the 2nd edition. It will take you
6 to 12 months of work to read the material and to reproduce the
results. Worth it.
A less comprehensive, but important work, is Robert Pardo's
"Design, Testing, and Optimization of Trading Systems".
If you are seriously interested in the issue, sign up for a
course in Philosophy of Science at a major university with a
strong Philosophy department.
(Recommended schools: UC Berkely, Harvard, York (in Toronto),
London School of Economics, U. of Vienna, Central European
University--but you may have to look in their 'Finance Dept'
offerings. Second tier departments at Princeton, MIT, Chicago,
CMU, Rutgers, etc. are also OK.)
For maximum benefit, while you are enrolled in a Phil. Sci.
course, read the Chande and Pardo books.
Read Future Truth for a good laugh.
Leslie
Craig Parsons wrote:
>
> i want to benchmark some of my strategy performance reports but i'm looking
> for a benchmark to compare them to. can someone point me in the right
> direction.
>
> thanks in advance,
>
> craig parsons
--
Regards,
Leslie Walko
--
"Life is a tragedy for those who feel, a comedy for those who
think"
Horace Walpole, 4th earl of Orford, in a letter dated about 1770
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