I read What works on wall street. Want to know something about backtesting.
Does anyone know, alongwith utilities what other type of stocks he has excluded from his testing?
Like he has excluded ADR,GDR,REIT's or CL-A,CL-B companies?
I have backtested the strategies which he has given in his first edition. I had successfully replicated them. Only for some years difference in returns is quite high.
Can anyone help on this?
O'Shaughnessy's What works on Wall Street
Has anyone been able to replicate returns of strategies given in the book 'What works on wall street' historically?
We can't really tell you that. WWOWS uses data that spans a much longer time than the 14 years of Quantopian data. Some factors will not work over short periods of time (14 years can be a short period of time for some of the factors in WWOWS), and you might not be able to tell if it's just that the factor is temporarily out of favor, or if, since the factor has become known, it has permanently been arbitraged away. People get PhDs trying to figure out the reason why particular factors work, and whether or not the advantage is likely to persist over time.
That said, I've tested EV/EBITDA, and it works very well with the Quantopian dataset. I haven't tested anything else from that book.
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