Learn how to benchmark your strategy versus various benchmarks, ranging from indexes, to stocks and other strategies.
Cutting to the chase, imagine you have a simple screen that finds reasonable large cap companies. That screen is literally “import ohlson_o_score < -3 and mc > 10b”
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Hard to beat Apple! Notice we added General Electric. It’s hard NOT to beat General Electric.
We don’t have the adjusted close of the Russell 1000 in our system. Or do we?
We’re going to go to quandl to get this data. So first, we’ll click on new tab.
Type in: russell_1000%. The percent at the end ensures that it is plotted as a benchmark (i.e. on the same scale as the green and brown lines.
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You can cut and paste any public permalink from Quandl into Equities Lab, but in this case, EOD data is what you want. So, type in “Qd_EOD.ticker.Adj_Close” where ticker is the ticker you want to follow. IWB happens to be a Russell 1000 index fund.
The new results are a click away.
The line looks pretty similar. But if numbers are desired, check out the backtest report.
Click on trading rules, to add it.
This will show another backtest as a benchmark.” src=”https://www.equitieslab.com/wp-content/uploads/2018/10/e59du_17.jpg” />
This will show another backtest as a benchmark.
Large company (all companies over 10b in market cap) clearly did not do as well as our screen or the other benchmarks, so clearly all the benchmarks are doing something to outperform it.