Replies to post #3698 on Strategy Central

[capt_jmj]

MVP, we are not quite yet to that advanced a stage, still trying to work out the major issues with overall rule changes instead of trying to address each negative occurence on an exception basis, although that may ultimately be what we need to do. The concern is, will that exact set of circumstances ever occur again, and if you do "fix" it, are you precluding some other beneficial effect later on? In so many of our back test cases, we have found that to be true, and overall returns suffer. However, if you can surgically target the bad trade well enough, it would be beneficial. Eliminating just a few bad trades can make a huge difference over time, all other things being equal.

[MetalFillBoy]

RE: mvp: Historical Data from masterdata.com

Steve,

I am sure you will do this, but make sure you check the data from this source. I went there to take a look at their monthly adv/dec data for the NDX, and found it to be incomplete. According to their data, the NDX only has 100 stock components since 7/20/05. Going back from there, there are fewer and fewer stock in the NDX. They may have generated historical adv/dec information from the current 100 stocks back to 1/2/1990, where their data says there were only 36 stocks on the NDX.

I have daily NDX adv/dec information from the McClellan's themselves, and they have data back that far, but they say that their data in only accurate from 1/1/1996 to current. And FWIW, I trust their data.

Again, I am sure you will check this out your self. Just wanted you to know that their historical NDX adv/dec data is suspect, IMO.