most of my systems are backtested on between 10 and 30 years of data...average holding period is a few weeks to months for longs. Shorts definitely need to be held for shorter durations. I am using amibroker for backtesting...
both good ideas i think...how would you build a filter for #1? I do have something in place, but it is less than perfect for sure. Certainly far less adept than eyeballing a chart.
There are a couple factors at play here IMO, differential market behavior on the downside (check 2008 vs. now) and the influence of overall market trend on individual issues. "Downtrends" often take the form of violent parabolic moves followed by equally violent retraces or extended consolidation, while stocks can remain in relatively slow, steady uptrends for years. Add that indices in general spend much more time in slow grinding ascents than in bona fide downtrends, and this definitely affects the behavior of even relatively weak component stocks. In a market like the one we have today you just aren't going to get much love on the short side. Certainly there are stocks which are trending down, but you're going to get hit with violent reversals as often as you're going to get much distance to the downside. My suggestion is to focus on what you mentioned in the last paragraph, a shorting strategy as a means to reduce overall volatility of your portfolio, hedge against those periods where long-only doesn't do so well (2008), with any boost to overall returns being a bonus.
Thanks SpecterX, what you are saying is what my research has been confirming. I do have strategies which lower volatility and add 2%-3% return per year, but you would never trade them individually. The reduction in volatility is pretty significant, however. Drops my MDD over a 30 year period by about 10%, so that is almost worth 10%-20% in extra return, if you ask me...