An Example of Survivorship Bias in Trend-following

Posted by Michael Harris on October 31, 2019

We estimate the survivorship bias in backtesting a simple but popular trading strategy for trend-following large cap stocks. We compare the results with survivorship bias to those that account for desisted stocks. Read the article with a Trend-Following subscription . . .

Subscriber login

Subscribe to read

Norgate Data survivorship bias

Michael Harris

Read more about the author here

Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated performance results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Hypothetical trading results are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.

An Example of Survivorship Bias in Trend-following

Michael Harris

Subscribe by email

Categories

Subscribe and receive a free book

CFTC RULE 4.41

Copyright Notice

An Example of Survivorship Bias in Trend-following

CTAs Ask Investors to Be Patient

Managed Futures Replication Strategy

9-Sigma Event In Managed Futures

Michael Harris

CTAs Ask Investors to Be Patient

Managed Futures Replication Strategy

9-Sigma Event In Managed Futures

Subscribe by email

Categories

Subscribe and receive a free book

CFTC RULE 4.41

Copyright Notice