Quote from GTG:
You have to be careful when you use fundamental data for a backtest. A lot of the data gets revised after the fact, and the reported values in the database now, were unknowable at the time.
Well I'm going off reported financial information through Bloomberg. I guess the data
could be flawed
Quote from h hubbins:
i'm no quant guru but his results might also improve if he dollar cost averages throughout the year right?
if the system is value based then test it against a value based large cap portfolio like the ishares s&p value etf.
well the way I do it is I assume all my stocks are equally valued. I don't know what the technical term for that is, but i choose 100 stocks that fit my criteria based all stocks' previous year's Q4 financial reports. Then, I see how all those 100 stocks performed over the year, and then find the mean of the returns
That's why I don't think slippage would be a huge deal. Tomorrow, I'll run through the backtest but I'll get the correct bid/ask prices for all the trades, that should take care of slippage. then I'll take commission into account. However, I was doing some rough calculations today and I don't think commissions would do much harm to my overall returns
Quote from phil1424:
stk trader how much are you asking for your system ? i take it still beating the pants off this lame market ? jake
Haven't thought about it yet. perhaps if there were some bids?
(don't take this seriously please)
Quote from TSGannGalt:
There's nothing wrong with using S&P as a benchmark, based on what he mentions.
Institutionally... he needs to be outperforming the S&P every year. 60+% DD is way too high. Your datasets are way too small. The std. dev/volatility of the performance is way too high. Finally, it'll get killed with trading costs...
Anyways... it's not a marketable system.
Good luck to the OP.
PS. The problem isn't about whether the system is robust or tradable. It's just not a good system to start off with... Based on these replies on "viability", I wonder what kind of systems the people replying are developing...
well, I think you are a little confused, because I don't see how you could deduct that this system isn't tradable and that it's "not good". The stdev of the annual returns is only slightly higher than the stdev of the S&P over the same years. I beat the s&p virtually every year. The DD isn't ever 60%, don't know how you came up with that
Quote from traderdragon2:
"However, I've always been under the impression that slippage doesn't make a huge deal when backtesting equities."
Wow, just wow. :eek:
Like I said, I'll run through the numbers tomorrow taking slippage and commission into account. I still don't think it would be a huge deal, since I'm placing end of day trades, holding my trades throughout the course of 1 year (so the number of trades isn't very high)
