brwgParticipant05/06/2018 at 8:46 amPost count: 19
The nasdaq 100 strategy replies on picking the best performing 4 shares out of the Nasdaq 100. Questions:
1. Does the backtesting take into account any historical change of the nasdaq 100 components? If it is only based on the current list when the stock list was created, the backtesting results are not necessarily correct.
2. If there is a change of the Nasdaq100 going forward, will this adjustment be picked up by the system automatically or we have to manually replace the list with a new one?
VangelisModerator05/06/2018 at 9:15 amPost count: 162
The N100 backtests has survivorship bias. In other words we are backtesting on todays available list. To do a real survivorship-free test you need a far more complicate setup.
Our “live performance”, after 2015, on the other hand, is not backtested but rather based on real-time signals we have issued, so it is survivorship free.
We adjust the Nasdaq 100 list ourselves so don’t have to manually add or subtract companies.
You must be logged in to reply to this topic.