Would you trade this system??

[JackR]

Two things:

Did you select the 100 stocks last year or this year and then run the test? That is, did you use something like the IBD top 100 from Sept 2004 or did you use a recent list of "good" stocks? Survivorship or unconscious selection bias can play a big role in your numbers.

By coincidence I just ran my EOD swing portfolio numbers (real system, real $). From Sept 24, 2004 to Sept 23, 2005 - 29.7%, BUT from Jan 01, 2005 - Sept 23, 2005, 11.2%.

Obviously the time frame can have a rather large impact on the numbers.

 

[condorll]

Quote from JackR:

Two things:

Did you select the 100 stocks last year or this year and then run the test? That is, did you use something like the IBD top 100 from Sept 2004 or did you use a recent list of "good" stocks? Survivorship or unconscious selection bias can play a big role in your numbers.

By coincidence I just ran my EOD swing portfolio numbers (real system, real $). From Sept 24, 2004 to Sept 23, 2005 - 29.7%, BUT from Jan 01, 2005 - Sept 23, 2005, 11.2%.

Obviously the time frame can have a rather large impact on the numbers.

You are very astute, yes I ran the IBD 100 list.

The only thing I can't possibly identify is when stocks were added or deleted from the IBD 100 list as IBD doesn't publish this info to the best of my knowledge.

I plan on updated my IBD 100 watch list every weekend, but keeping this list in order with additions and deletions is gonna be a major pain in the ass.

You said "did you use something like the IBD top 100 from Sept 2004 or did you use a recent list of "good" stocks". Actually, I started the IBD 100 watchlist in my software back in July. So I have no idea when the stocks were added, I have kept the recent additions and deletions current since then.

I wish there was a software program or template for excel that would generate the current watchlist and show the changes.

If anyone has an excel template or recommendation on how to properly maintain this list, I would appreciate it.

 

[KevinK]

Quote from condorll:

You said "did you use something like the IBD top 100 from Sept 2004 or did you use a recent list of "good" stocks". Actually, I started the IBD 100 watchlist in my software back in July. So I have no idea when the stocks were added, I have kept the recent additions and deletions current since then.
[/B]

This could be a problem because IBD uses high R/S which could make your backtesting false as it is a long only system...

 

[condorll]

Quote from KevinK:

This could be a problem because IBD uses high R/S which could make your backtesting false as it is a long only system...

Why would that make my backtest false?

Yes it is a long only system as you would not want to short the strongest stocks. I would look for a list of weak stocks for shorting.

 

[KevinK]

Quote from condorll:

Why would that make my backtest false?

Yes it is a long only system as you would not want to short the strongest stocks. I would look for a list of weak stocks for shorting.

But if you ran the July 2005 IBD 100 since July 2004 obviously the performance will be good.

 

[ElectricSavant]

He is right. Its like trading only in a bull market skewness...

Quote from condorll:

Why would that make my backtest false?

Yes it is a long only system as you would not want to short the strongest stocks. I would look for a list of weak stocks for shorting.

 

[condorll]

Quote from ElectricSavant:

He is right. Its like trading only in a bull market skewness...

My trading system will only take trades from the list provided they meet certain technical criteria, which should eliminate stocks that are breaking down.

Are you saying that the minute a stock is added to the IBD 100, it's done? What is your experience with IBD stocks longevity on the 100 list?

 

[KevinK]

Quote from condorll:

My trading system will only take trades from the list provided they meet certain technical criteria, which should eliminate stocks that are breaking down.

Are you saying that the minute a stock is added to the IBD 100, it's done? What is your experience with IBD stocks longevity on the 100 list?

Can you post the list?
No, the IBD 100 finds the hot stocks with the high R/S rankings, thus using the 2005 list is finding the best performers..during the time your backtesting

 

[ElectricSavant]

Your subset should include shorts then...

 

[condorll]

Quote from ElectricSavant:

Your subset should include shorts then...

So, you are saying that my trading formula should work as well on short trades as on long trades? I would, in my opinion have to apply different technical criteria to generate a short trade.

Thanks for your input, I appreciate this discussion. I will try to post my trade list next.