Problems With the Current Method

You Think You have Problems?

The lists change regularly; when do you build a new system?

If you are running 2 systems, what about overlaps?

Systems are developed based on the past, whereas those stocks may not have been on the list in the past.  Hence backtesting only gives you a way of trading those stocks, not any indication of what would have happened if you had traded the lists in the past.

End of day price vs your price.

How do you get started?  Buy the current holdings, or start up the system fresh?

Problem with any mechanical system:  If a stock drops out of the list, or is deleted for some reason, a restructuring of the past can occur.  Errors in the data, such as Fasttrack missing a split (recently on MATR) may also cause some problems.

I do not know of any satisfactory purely mechanical solution to these problems.  You have to use some common sense.

Stock Trading is more time consuming than trading funds, unless you just put in market orders.

These stock systems are not necessarily well correlated to the major market averages.  Hence the timing systems we have used do not necessarily work well with these systems.  It is better to time the systems based on their own equity curves, and to hedge if it looks profitable.

  Question:  Is trading frequently more risky than trading seldom?  Anybody read the studies that say frequent traders lose money?