|PDF Title||:||Quantitative Trading|
|Author||:||Ernest P. Chan|
|Total Page||:||256 Pages|
|PDF Size||:||8.23 MB|
|PDF Link||:||Read and Download|
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“Most strategies performed much better 10 years ago than now, at least in a backtest. There weren’t as many hedge funds running quantitative strategies then. Also, bid-ask spreads were much wider then: So if you assumed the transaction cost today was applicable throughout the backtest, the earlier period would have unrealistically high returns.
Survivorship bias in the data might also contribute to the good performance in the early period. The reason that survivorship bias mainly inflates the performance of an earlier period is that the further back we go in our backtest, the more missing stocks we will have.
Since some of those stocks are missing because they went out of business, a long-only strategy would have looked better in the early period of the backtest than what the actual profit and loss (P&L) would have been at that time.
Therefore, when judging the suitability of a strategy, one must pay particular attention to its performance in the most recentfew years, and not be fooled by the overall performance, which inevitably includes some rosy numbers back in the old days.”
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