Backtesting Frustration (Part 6)

This has been a very beneficial exercise in expository writing because at the outset I was not sure I would ever get through. One question remains: why bother backtesting 2001 – 2003 if this part of the database has so many holes?

2001 – 2003 presents a critical sampling of different market environments. The 9/11 crash is followed by a sharp bullish reversal into January 2002. From April 2002 to July 2002 the market fell 29% before falling 20% from August 2002 to October 2002. The market then rallied 63% from March 2003 through December 2003. These may be the only occurrences in the database of such wide-ranging action at low market prices. And even if they weren’t the only occurrences, the total number of occurrences is small enough to make each one critically important.

I feel better having gotten all of this frustration out in writing.

With regard to the abandoned butterfly backtest, I think I will simply the column headers and take it a smaller chunk at a time. As mentioned earlier, I am trying to accept that my backtesting will take much longer than it probably should. This will be one of those cases but at least it will get done and hopefully from it I will get some very insightful analysis.