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Steve Auger
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Steve Auger has been trading stocks, commodities and options for over 25 years and runs the website After graduating from the University of Waterloo in 1981 with a Bachelor of Applied Science, he has been employed most of his career working on space and... More
My company:
Stock Market Student
My blog:
Stock Market Student
  • Test Environment 0 comments
    Oct 28, 2013 11:21 PM

    I've changed my plan a little bit from what I described in yesterday's post. I realized that no I'm not Superman and I can't afford to spend several months on this project. In other words, a few simplifications were in order.(click to enlarge)

    First of all, I decided not to test every sector for every factor. Instead I will test the entire target universe for all 107 factors, then afterwards determine if individual sectors are covered by the stock factors. If not, then I will further test those sectors.

    In addition, I won't be testing for rising/falling interest rates at this stage but instead I will do so during RS optimization. A separate project will be initiated to discover what factors work best in various economic conditions.


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