Hi all,
If an algo can survive the worst of market conditions, it is worth looking at.
Statistcal analysts will use random walks to test logic.
Professor Burton Malkial's A Random Walk Down Wall Street is a fascinating read.
I propose that QC develop a random walk and worst case algo testing system, where all algos, whose backtest results meet a minimum performance criteria, are then eligible to be tested on numerous randomly selected windows of time , for user-defined universes, random historical price data of a fictional universe, and on historical major events.
Even if QC doesn't think this would be useful, I thought the community would like having these dates to test thier algos on.
I don't know how far back QC data goes, but here ya go......
Cheers!
OLDEST STOCK SYMBOLS
BK , ED , PG, IBM , KO , PFE , AGN , JNJ , BID , CI , DD , CL , VAL, JW.A
Major Market Events
Panic of 1901 • DJIA decline: -10.8% from 5/6/1901 to 5/9/1901
Panic of 1907 • DJIA decline: -45% from 1/07/1907 to 11/15/1907
Wall Street Crash of 1929 • DJIA decline: -46.6% from 9/16/1929 to 11/13/1929
Recession of 1937-38 • DJIA decline: -42.6% from 9/4/1937 to 3/31/1938
Germany invades France • DJIA decline: -24.5% from 5/10/1940 to 6/10/1940
End of World War II • DJIA decline: -23.2% from 5/29/1946 to 10/9/1946
Kennedy Slide of 1962 • DJIA decline: -26.8% from 12/28/1961 to 6/26/1962
Tech Stock Crash of 1970 • DJIA decline: -18.7% from 4/20/1970 to 5/26/1970
1973-74 Stock Market Crash • DJIA decline: -45.1% from 1/11/1973 to 12/6/1974
Black Monday • DJIA decline: -22.6% on 10/19/1987
Friday the 13th mini-crash 13 Oct 1989
Invasion of Kuwait • DJIA decline: -18.4% from 8/2/1990 to 10/11/1990
Long-Term Capital Management Fails • DJIA decline: -19.2% from 7/19/1998 to 8/31/1998
9/11 September 2001
Dot-com Bubble • DJIA decline: -31.4% from 5/19/2002 to 10/9/2002
Lehman Brothers Collapse and the Great Financial Crisis • DJIA decline: -53.7% from 10/9/2007 to 3/9/2009
Flash Crash April - May 2010
US Debt Downgrade • April - October 2011
Chinese Stock Market Turbulence • DJIA decline: -13.6% from 6/24/2015 to 8/25/2015
2018 Global Stock Market Downturn - Sep 2018
COVID-19 Outbreak • DJIA decline: -35% from 2/12/2020 to 3/20/2020
