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URL:  https://boards.fool.com/tgo-writes-good-grief-at-times-eg-january-12019533.aspx

Subject:  Re: PEG26 Starting week variations Date:  2/20/2000  11:33 PM
Author:  DNeuman Number:  59113 of 275955

TGO writes:
 Good grief, at times (e.g., January to early February), these numbers
seem darn near random! So a 5 stock port started 2/05/99 returned 229%,
while a 4 stock port started one week earlier returned -6% ?! Ouch!

Don't numbers like these make others feel less confident about this
strategy? Or is my inexperienced eye playing tricks on me?

Do the other screens show similarly dramatic variations?



After seeing similar numbers on the Foolish Four:
http://www.fool.com/ddow/2000/ddow000210.htm

I also wondered how various screens perform week-to-week as well as day-to-day? 

If a screen has such large variations as the FF on a daily basis, this leads me
to wonder about the backtest accuracy (is it luck, datamining, or a good sample
of expected results?)

Anyhow, here are the numbers for Spark, RS-26, PEG starting in Dec 98
(various dates)and holding for 1 year. The thing I noticed right off is that
Spark does not change the underlying stock selections often, and these are not
volatile stocks. This gives Spark a more stable performance than the others


Start Date   Spark1-5 Spark2-5 PEG1-3 PEG1-4  PEG1-5 RS26 1-3 RS26 1-4 RS26 1-5   SPY    QQQ
12/4/98         88.4%	97.8%	34.8%	53.5%	40.7%	188.2%	168.5%	152.8%	22.7%	94.6%
12/7/98	        88.1%	99.4%	30.6%	48.0%	36.2%	194.6%	171.0%	151.1%	21.2%	90.5%
12/8/98	        87.5%	98.9%	27.2%	44.9%	33.0%	211.1%	182.9%	161.5%	20.8%	91.5%
12/9/98	        85.9%	98.0%	26.0%	43.6%	32.3%	202.0%	175.6%	154.6%	19.8%	87.2%
12/10/98	88.0%	99.8%	23.6%	38.7%	27.9%	224.7%	189.5%	166.8%	22.2%	91.8%
12/11/98	83.4%	94.3%	36.3%	23.7%	34.5%	213.3%	155.1%	139.6%	22.3%	90.8%
12/14/98	90.9%	100.9%	37.4%	25.1%	34.3%	219.8%	160.4%	142.6%	26.2%	100.7%
12/15/98	80.1%	87.7%	28.9%	19.3%	29.2%	196.2%	142.6%	127.9%	21.8%	91.2%
12/16/98	84.9%	90.5%	27.2%	18.7%	28.5%	186.5%	135.8%	122.1%	22.6%	95.8%
12/17/98	88.6%	93.4%	23.8%	16.0%	26.3%	182.3%	133.8%	120.5%	21.2%	96.6%
12/18/98	83.9%	88.1%	24.0%	16.2%	26.3%	174.3%	196.6%	184.9%	21.6%	93.2%
12/21/98	80.1%	84.9%	21.2%	12.7%	22.3%	151.4%	174.3%	165.1%	19.1%	90.0%
12/22/98	83.1%	87.0%	24.4%	14.1%	25.9%	150.1%	177.5%	169.7%	20.3%	102.4%
12/23/98	78.0%	81.5%	20.9%	11.4%	29.2%	158.5%	183.1%	174.6%	18.2%	96.1%
12/24/98	85.7%	90.7%	19.5%	10.9%	29.9%	156.9%	183.6%	176.4%	20.5%	99.8%
12/31/98	93.8%	100.2%	-6.5%	11.1%	29.6%	132.5%	109.3%	98.7%	20.2%	99.1%
1/3/99	        89.2%	95.2%	-5.2%	16.6%	36.1%	147.0%	120.7%	108.6%	19.3%	104.4%
1/4/99	        70.9%	75.2%	-15.2%	7.2%	22.0%	129.4%	106.6%	101.9%	13.4%	85.5%
1/5/99	        67.7%	72.0%	-14.2%	3.4%	19.5%	102.0%	84.5%	86.1%	11.0%	75.2%
1/6/99	        57.6%	60.4%	-18.9%	0.4%	18.2%	81.1%	68.5%	72.7%	9.7%	62.9%
										
										
Mean:	        82.8%	89.8%	17.3%	21.8%	29.1%	170.1%	151.0%	138.9%	19.7%	92.0%
Std Dev:	8.7%	10.8%	18.2%	15.6%	5.8%	39.3%	36.8%	32.5%	4.0%	9.5%
Mean -2std	65.4%	68.3%	-19.1%	-9.3%	17.4%	91.6%	77.3%	73.8%	11.7%	73.0%
										
Dec Backtest:	62%	69%	36%	65%	68%	168%	164%	146%	23%	95%
Jan Backtest:	80%	84%	-6%	16%	36%	147%	121%	117%	20%	99%

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