i tested all the of the systems on a base of 63 stocks, 127 stocks and 2500 stocks. The three systems previously mentioned outperformed in all bases.
i used a $5000 base investment, $25 cost per trade. no stops, trade occurs on the day following the signal.
original $200,000 base investment in 1989 in 40 members of the fortune 500
23 additional stocks were added in the following 9 years putting the maximum investment at a total of $315,000
the systems added:
GTSG in 1998
CIEN,QWST,AMFM,AMZN,network associates in 1997
SEEK,XCIT,LU,YHOO,and lycos in 1996
NSCP and TBR in 1995
ASND in 1994
GTW, and morgan stanley dean witter in 1993
PSFT,AOL,SBUX,CPWR in 1992
Winstar in 1991
CSCO, and COST in 1990
members of the group that performed poorly were Drug, Oil, and Airline stocks such as LLY,PFE,BMY,AMR, Mobil etc.
so there were some under performing stocks within the model.
only one or two of the stocks were the top performer when compared individually against other system tests. But the models performed consistently better than any other models tested.
regards
peter |
