Hello. I am having some success using 'broker ratings' as a backtest parameter. But I am wondering if this uses only current ratings as they are now--not as they were in the past? If so this creates a huge hindsight bias..

I.e., is the backtester using a "current rating" parameter AT THE TIME OF EACH PAST PERIOD--or is it merely using the "current rating" of the present day...??

To check this out, I ran a backtest with 1-week periods and with only ONE parameter: '>1 broker rankings for strong sell' for the last 2 months and also for the first 2 months, two years ago.

Backtest over last 2 months (right now) avg stocks: 173

Backtest over first two months (2 yrs ago) avg stocks: 280

I am hopeful that the backtester SEEMS TO BE using ratings CORRECTLY AS THEY WERE THEN. Because if the backtester were only using the latest ratings--this would fix the 'avg stocks' that would pass the screen--I think. Presumably, there might be fewer of these stocks in the past, because some of these stocks might not have existed. But there could not be more--I think. So, I think the backtester correctly seems to be using "current ratings" meaning "as they were then-current in each past period..."

Am I correct in this assumption? Can the 'current broker ratings' safely be used as a backtest parameter? Thank you anyone.


Attach file (image (.gif, or .jpg), screen (.und) or report (.rpd))


Attach file (image (.gif, or .jpg), screen (.und) or report (.rpd))

For questions or more information or to Order Today, call 1-800-767-3771, ext. 9392 or 1-312-630-9890, ext. 9392
You can also e-mail our Sales Support at: kevinm@zacks.com
Copyright 2012
Zacks Investment Research
111 N. Canal St., Suite 1101, Chicago, IL 60606
(800) 767-3771 ext. 9392