trading back test


T r a d i n g B a c k T e s t

If you are serious about your trading and you have made the investment decision to buy the backtesting software Tradesim©, why not utilise its full potential, and be ahead of the game and use the Survivorship Bias Free Testing function.

What is Survivorship Bias

Also known as Index Constituent Representation Bias, Survivorship Bias refers to the fact that the complement of stocks that make up an Index at any point in time are different to the stocks that made that same Index in the past. Therefore the stocks that make up an Index Say the ASX 200 today are deemed to be the current ‘survivors’.

Generally running backtesting without utilising Survivorship Bias Free Filter will skew results positively for long systems and negatively for short trading systems.

Another shortcoming of simply using a current static constituents list to back test a Trading System for a past period, will be the inclusion of certain stocks for the whole backtesting period, say 10 years, whereas they may have only been part of the Index  for the last few years only, ie Fortescue Metals Limited (FMG),

For a more in-depth discussion see Tradesim© Application Note 5.

One way to mitigate these erroneous backtesting results is to use appropriate Survivorship Bias Free Dynamic Tables.

The following Survivorship Bias Free Dynamic Tables Are NOW available for your immediate use – from year 2000 to date.

individual Dynamic Table Price List
  A$   A$
ASX 20  25.00 ASX 200  120.00
ASX 50  30.00 ASX 300 130.00
ASX 100 70.00 ALLORDS  150.00
       
BUY A VALUE PACK AND SAVE

Dynamic Table Packs 

 A$
1. ASX 20, 50, 100   87.50
2. ASX 20, 50, 100, 200   147.00
3. ASX 20, 50, 100, 200, 300 187.50
4. ASX 20, 50, 100, 200, 300 & All Ords    199.50

Dynamic Tables Updates

ASX Indices Constituents Updates consist of:

  • Quarterly Standards and Poors Indices rebalancing announcements
  • Periodic Standard and Poors Indices additions and deletions resulting from corporate activity such as mergers, acquisitions, and delisting
  • ASX announcements relating to name / code changes

You can track these changes yourself and update tables directly or for a yearly low fee of $49.95, renewable 1st July, you can subscribe to the Update Service and have the latest Dynamic Tables sent directly to you monthly,
           
How to place an order:

  1. Choose Table or Pack
  2. Email request to zzreal@optusnet.com.au with contact details