CBT & The ASX Growth Portfolio

[RobGiles]

Hi Nick
Does the Custom Backtester allow you to eliminate selection bias with trend following systems like your ASX Growth Portfolio?

[Nick Radge]

It will. This was discussed on the call the other night and a template will be added to the course sometime this week when I find time.

Whilst it removed Selection Bias, these systems become more prone to Start Date Bias so its best to run rolling window backtests as well.

[JulianCohen]

I have been using CBT on my WTT system for a month or so.

To account for the start date bias I ran the backtest and looked to see the date the earliest stock was entered. Then I run my backtest again from that date and used the Russell 3000 NOT the Current and Past. I then looked at what stocks the system was holding and set entry orders for recent highs so that I would be buying those stocks with some momentum. At present I am 75% invested and 25% of those orders are still to be filled.

It might be a little cumbersome to do it this way but I figured I had to draw a line on the system and say from this point I will trade it as is. From backtests I know it works so over a long period of time the system will shake itself out.

Nick does that seem a decent way to go about it?

[Nick Radge]

It’s certainly one way and once the positions are aligned to that run there is not much more that needs doing.

I would still be inclined to run MCS tests though.

[JulianCohen]

I did all that once I was ready to go live; after doing all the testing and MCS etc etc

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