Ron, what proportion of your posts reference Harris or PAL?
Survivorship bias
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The Harris research on survivorship bias mirrors my findings but in other ways.
I have some trading systems that do better with survivorship bias and others that don't. But the main thing is you are actually working on the actual set of information available to you at the time.
By their rebalancing nature, index constituents are a form of momentum trading systems. The S&P 100 is mostly a "top 100ish (determined by committee so not perfect) on a quarterly basis" momentum system.
I now have specific systems that target different market cap segments. Some of my systems do not work well on S&P 100 but work fine on lower cap parts of the market.
I'm not sure what other sort of dick saber battle you other guys are playing about each other's posts, but get back on topic please.
I have some trading systems that do better with survivorship bias and others that don't. But the main thing is you are actually working on the actual set of information available to you at the time.
By their rebalancing nature, index constituents are a form of momentum trading systems. The S&P 100 is mostly a "top 100ish (determined by committee so not perfect) on a quarterly basis" momentum system.
I now have specific systems that target different market cap segments. Some of my systems do not work well on S&P 100 but work fine on lower cap parts of the market.
I'm not sure what other sort of dick saber battle you other guys are playing about each other's posts, but get back on topic please.
You've got a serious problem here unless you're Prado.
I know Kevin and he's worked at tier 1 firms and is one of the smartest guys here. >90% of new traders fail... so what exactly is your affliction?
Many of us amateurs are not smart enough to know the difference.
@destriero may very well be the best option trader on ET but 99% of the time I had no idea what he was talking about because he never explained things in simple enough terms.
I don't blame him though, he owes me nothing. I do respect his no BS straight talks. @raVar is verbose but provided us with some simple testable concepts. I don't think they are too earth shaking but they gave me ideas of how to improve my trades and I appreciate that.
So, six of one and half a dozen of another.
I am on my mobile now but Igel the need to do a quick reply.
We have done an intense work on survivorship and on the data itself. The result can be found on wealth-data. It’s not only survivorship, Otis also what we call „tradeable data“. More after my kids birthday party.
We have done an intense work on survivorship and on the data itself. The result can be found on wealth-data. It’s not only survivorship, Otis also what we call „tradeable data“. More after my kids birthday party.
We integrated survivorship-bias free indices into Quantacula Studio and it was really eye opening what a difference they made in backtesting! Here are some of my findings on the Nasdaq 100 using a simple rotation model:
https://www.quantacula.com/Help/OpenHelp/devblog/100
https://www.quantacula.com/Help/OpenHelp/devblog/100
In reply to my reply, if you see on the main page of WealthData you see the price difference of the most popular data provider (Yahoo) and WealthData. This price differences often make the difference of getting in a position or exiting it. However when we researched our real results and compared them with the data of most data vendors we realized that there is a problem. Highs of the day are no real highs and lows are no real lows. The are just prices that happened in between. At the same time most data vendors take it easy by making the first tick the opening price... and so on. That is why you need clean data...
The boss of this forum is Baron and you have no business policing anyone. People like you damaged good forums like this. Banning you could increase forum value because it's obvious your focus is not on the subject but on attacking other members.
I can find 53 references to Harris and his work in 750 posts but most before 2012. He deserves every mention. His blog and free articles have been valuable guide for me over the years.