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Subject:  Re: Optimizing Blends with Sharpe/(GSD^x) Date:  11/17/2007  11:41 PM
Author:  Zeelotes Number:  204017 of 270566

Mark wrote:
However, he discusses backtesting, and not favorably. He mentions Tradestation and legions of data hounds searching for the optimum strategy. However, his treatment is a little shallow, from what I've read so far. Sure, tuning a backtest for a particular parameter value is a suspicious activity, obviously; whereas the simplicity of using a few fundamental parameters and a sort that takes advantage of past human behavior would seem qualitatively different. I also think the quality of our backtesters and datasets are better than what he's familiarized himself with. Of course, I could easily be wrong.

What he is talking about is the backtesting of Technical Analysis, not fundamental analysis which is primarily what we do here. It is not an apples to apples comparison. I 100% agree with the idea that TA and Tradestation (and other similar software) enable one to be fooled by randomness day in and day out. It is a lesson in futility trying to find indicators that work in that field IMO. I've been there, done that.

But one interesting thing is that it appears that Tradestation can now use fundamental data as well -- check this out:

And now, new for TradeStation 8.3, in addition to building technical strategies, you can build and back-test strategies based on fundamentals. Enhance your strategy back-testing power by incorporating fundamental data into your strategies. With all-new indicators, PaintBar studies, strategy components and over 900 historical fundamental reference data fields added, you have the tools you need to create and test strategies for whatever your trading needs require.

Check out the list of available "historical" fundamental data by clicking on 900 historical fundamental reference data fields.

Anyone know the source of their fundamental data?
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