Backtesting on FTSE 100

[Chorlton]

Hello All,

Has anyone ever carried out any backtesting on the FTSE100 over the last, say 20 Years?

If so, how did you deal with those companies which have become delisted in recent years?

Additionally, is there any way that I can find out what companies made up the FTSE100 EACH YEAR, over the last 20 years so that I can ensure that I have price data available for those which may have become delisted?

Any help much appreciated,

Chorlton

 

[Baldwreck]

Hello All,

Has anyone ever carried out any backtesting on the FTSE100 over the last, say 20 Years?

If so, how did you deal with those companies which have become delisted in recent years?

Additionally, is there any way that I can find out what companies made up the FTSE100 EACH YEAR, over the last 20 years so that I can ensure that I have price data available for those which may have become delisted?

Any help much appreciated,

Chorlton

Hi Chorlton - I'm pretty sure you will have to contact FTSE direct to get that depth and detail of information - I've done plenty of back testing of the index itself but not on individula constituents.

 

[Lightning McQueen]

Hi Chorlton

This link may be of some limited help, changes only goes back to 2002 and ftse 100 changes are lumped in with the rest.

http://www.ftse.com/Indices/UK_Indices/Index_Changes.jsp

 

[Chorlton]

I've done plenty of back testing of the index itself but not on individula constituents.

Hi Baldwreck,

Would I be right in assuming you trade the index itself then?

 

[Chorlton]

Hi Chorlton

This link may be of some limited help, changes only goes back to 2002 and ftse 100 changes are lumped in with the rest.

http://www.ftse.com/Indices/UK_Indices/Index_Changes.jsp

Cheers McQueen.... I'll take a look....

The issue of Survivorship bias seems to be a big stumbling block for me at the moment...

 

[Tawe Trader]

If you are looking at trading the FTSE it is worth checking in on the Welsh Wizard. He is a short-term trader and he gives a free daily commentary most days.

www.thewelshwizard.com

http://footsie.members.beeb.net/ARCHIVE/151007.htm


I pretty much, only trade the FTSE index - cash and Future.

Regards
Daz

 

[Baldwreck]

Hi Baldwreck,

Would I be right in assuming you trade the index itself then?

Yes but only as part of a portfolio - comprising 6 other stock indices and up to 8 currency pairs.

 

[alexander]

Hello All,

Has anyone ever carried out any backtesting on the FTSE100 over the last, say 20 Years?
Chorlton

Michael Harris in his book "Profitability and Systematic Trading" (http://www.tradingpatterns.com/News/Book/bookdetails/bookdetails.html) has detailed code one can use to test several FTSE100 price patterns. In one article in Traders' in the past he also made some comments about the proper risk/reward parameters for trading this market but I do not recall now the specific issue.

The book seems to be out of print but you may be able to find a used copy. I remember I checked a few of those price patterns and seemed to perform well in forward testing.

Alex

 

[Chorlton]

I remember I checked a few of those price patterns and seemed to perform well in forward testing.

Alex

Hi Alex,

Did you purchase the book then? If so, were these patterns suitable for coding into a system?

Thanks,

Chorlton

 

[alexander]

Hi Alex,

Did you purchase the book then? If so, were these patterns suitable for coding into a system?

Thanks,

Chorlton

Hi,

The patterns came with code in Easylanguage, Metastock formula and Wealth-Lab script. I haven't checked it out but you may be able to find a used copy some place.

Alex

 

[Chorlton]

Hi,

The patterns came with code in Easylanguage, Metastock formula and Wealth-Lab script. I haven't checked it out but you may be able to find a used copy some place.

Alex

Cheers Alex,

I'll do some detective work and see if I can track down a copy somewhere.....

All the best..........