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