I'd like to ask both Trader666 and Jack to leave the past behind. Trader666 *has* produced solid tests of some of Jacks work; and should be recognized as such. When Trader666 is ready, and maybe when this project has been completed, I'd like to study his work. Contributions, such as Trader666s, are welcome, imo.
As it seems certain relevant software has been developed, Would it be possible that a set of back-testing performance statistics (preferable based on EOD data of say any single major ETF, covering a reasonable period of time) can be available for inspection (as the same statistics should be reproduced by anyone else with any of the software that are designed to do the same trading method)? Thanks in advance!
I regard that post as temporary humor. When vikana gets his initial tasks done, he, you and everyone else will be able to see the humor in his mistaken assessment. In the meantime, I have been asked, by PM from vikana to NOT add substantive content to the system of PVT. We are not designing an ATS for PVT. Here, all that is going on is analysis, testing and clarification. These three things will be sufficient to deal with the specified stuff from page one which are: 1. To eradicate once and for all the prior posts on backtesting the PVT trading where the backtesting posted in your forum was not backtested by you to confirm its faults. 2. To show a complete backtesting code in whatever code is desired and to show that the code can be corrected to get a quality back test performed. In effect, this is a back testing forum and it happens that PVT is being back tested to get the unfortunate propaganda created in the past by trader666 off the table once and for all. I planned on posting the essential steps of using PVT as taken from the reference ""IBD MeetUp Number Five: Putting the Pieces Together for Building Wealth, A backgorund Paper for IBD MeetUp Tucson". This would have provided a basis for debugging the upcoming coded analysis, and testing being done over the next few days. When this work is accomplished by those doing the tasks, I'm very sure when it is compared (from a coding and data useage viewpoint) that the past "work" of trader666 will be finally put to rest for just what it is even those the coding he did is still unpublished)
A 400,000 run produced a result that there was no statisitcal significant difference in the third significant figure of the upper end of the cycle duration recommended. Is 400,000 a good enough sample size??? BUT just as Trader666 made the same mistake you did, an ETF is not eligible since ETF's cannot make the cut to Get in the Universe. In Trader666's case he used the S&P 500 for his reasons (He has stated that I did not give him guidance properly; so here, and today, I am giving you guidance.) If Trader666 had used the correct Universe he would have gotten a result that may have had some value if he had not made other contributing mistakes. As we see the moderator feels Trader666 did a good job. He is mistaken.
I've done some analysis of the final universe posted on the second page of this thread: http://www.elitetrader.com/vb/showthread.php?s=&postid=1976450#post1976450 http://www.elitetrader.com/vb/showthread.php?s=&postid=1943173&highlight=final+universe#post1943173 DISCLAIMER: I'm NOT saying this is an analysis of PVT in its entirety, and I'm not saying this is how you (Jack) intended for the universe to be traded. HOWEVER, based on your comments about the importance of the universe and how high quality it is, I wanted to see how the stocks in the universe performed in June relative to the Dow, SP500 and Nasdaq indices. This was my medhodology: Since the FU (final universe) was published in the Iterative Refinement thread at 06-03-08 01:20 AM, I bought each of the indices and stocks the following morning (June 3) at the open and exited after holding for 10 full market days at the close on June 16th. I also did a 20 day analysis, buying on the open June 3 and selling at the close on June 30. First the 10 day results: The indices lost an average of 2.59% and the final universe lost an average of 3.1% The attached chart shows the individual gains and losses... the first three bars on the left are the Dow, SP500 and Nasdaq, and the remainder are the FU stocks.