Swimming Upstream - Backtesting the Hard Way

There are always pitfalls when using bleeding edge technology.  This last week I fell into one.  Portfolio123  made some S/W enhancements while I was in the middle of some highly repetitive data capture tasks.  This caused me some grief.

When I perform analysis on stocks I like to fix as many parameters as possible for the duration of the analysis.  Otherwise I am chasing a moving target.   When I started this exercise I chose a time period of March 1st, 2002 to October 29th, 2008.  The March 1st date was set because it was beyond the initial time period where the Portfolio123 historical database was incomplete.  Other than that it was pretty much arbitrary.  Unfortunately March 1st was not the first day of the week. My intent was to test different start dates once I had done a thorough investigation of the March 1st start date to see what the effect would be by staggering the start date.

But now Portfolio123 has thrown a wrench into my development approach.  One of the modifications that Portfolio123 did was to fix the backtester to the start of week for weekly rebalance (and other rebalance periods except for daily).  Now I can't compare future results against data I had previously gathered because I can no longer run with the same processing algorithm.  The results will be different.

So what I am going to do is publish the data I had gathered using the old Portfolio123 tool since the last post then start fresh with new baseline data.  So here we go.

I had a concern after my last post that the industry group contribution may not be all that significant compared to individual stock movement so I decided to do some tests based on stock rise instead of industry rise.  The tests were similar in nature to the industry group test looking at stock rise over varying lookback periods.   The setup screen looked as follows:

I first ran the tests using a lookback period (n) of 60 to 300 using the rule Close(0)/Close(n) > 1.00 with weekly rebalance over the time period 03/01/02 to 10/29/08.  Then I repeated with the rule Close(0)/Close(n) < 1.00.  Below are the results graphed in EXCEL.

Below are the individual stock rise results and industry group rise results plotted on one graph.  I don't wish to draw any conclusions at this time since I cannot continue with the analysis.  I'll attempt to recover this train of thought once I get going with the new Portfolio123 screen backtester.

Comments

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