I am new to the RW Community.  It seems to be relatively inactive. Moreover, it is difficult to use. For example, the latest post is not listed at the top of the page, but rather the bottom, forcing one to page down many pages to find it.  Also, I have been unsuccessful in downloading .und files posted by other members. It seems that all that I get is  a file of html source code for the web page in question rather than  the .und file.   A new issue of "Tips and Tricks" supposedly is posted every other week, but I have yet to see any new ones posted.   Any one have any tips to make this site more user friendly?


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Tonymac
at 06/19/17 6:57 PM : RE: RW Community

Norman
at 02/13/18 3:05 PM : RE: RW Community

Julio
at 02/11/18 8:30 AM : RE: RW Community

TopDog
at 07/25/17 12:58 PM : RE: RW Community

eliberts
at 05/11/17 10:13 PM : RE: RW Community

surabhi17
at 10/19/16 7:35 AM : RE: RW Community

KMatras
at 04/03/13 8:41 PM : RE: RW Community


Dravo

Well, clearly you have done your homework.  Interesting about the Monday CtoC vs Friday CtoC.  Whenever I did a similar analysis for weekly strategies (using Monday OtoO, though), the degradation in performance was much greater.  Wonder how much is model specific vs. a real difference in Monday CtoC vs. Monday OtoO?  Obviously, Monday CtoC works for your model.

Did you build the backtest extension to 1982 using YQL?  How much trouble was that?  Any technical problems?

So you are able to do, say, $25k+ worth of shares using MOC without problems?

My use of traditional (vs EW) SP500 is simply to have an easily referenced benchmark to normalize RW performance.  Agree that the EW would be more appropriate.  However, most strategies don't even surpass the traditional SP500.  Using excess return as presented in RW is still the easiest way to do a quick & dirty evaluation of a screen since it removes a lot of the underlying market gyrations.  I think every new user of RW should go back and run the screens presented in the website's marketing brochure.  Examining a plot of the rolling cumulative excess return for each of those shows just how quickly and approach can go from adding significant positive value to being neutral or negative value added.  Lesson is that whatever the are doing, they need to set "shutdown" parameters before they start trading so they don't fall victim to that.

Not sure that discrepancy in output between different vintage DBCMHIST can be ascribed solely to the split bias.  Something is definitely going on, though.

Final point.  Based on my reference to the S&P website source data, your total return estimates for the S&P traditional & EW indices are off by roughly a factor of 2 (on the hight side).  Not that it makes a difference regarding your strategy's performance (which is stellar).  I would not share that with anyone and milk it until it stops working.


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