Backtesting Question

[bignatty]

It seems that once one developes a system he can pick a market or a basket of stocks and test it over say 5 years on them. Is there any backtesting whereby one could run a screen for certain criteria and buy those securities, markets, etc. and hold for a certain period of time? In other words instead of testing a system on a a set of randomly selected stocks, is there a way to backtest for system that picks stocks from a set criteria.? For example screen for stocks crossing 50MA, buy and hold 1 month. This a opposed to looking how this would have performed on say GE stock over the past 5 years.

 

[Hook N. Sinker]

I do not think it wise. My testing shows each security has it's own character. A 50 day moving average might provide good signals for one security but poor signals for another. Some securities are so new that I can not decide if any method is good - there just is not enough trading history to perform a complete backtest.

So I would stick with securities that I can test and optimize my trading methods on.