Neurodoc's Blog : The Problem with weekly RW backtesting (+ rally losing steam)

My new morning buys today from Research Wizard screening will look great based on Fri close on RW backtesting (assuming they hold up the rest of the week), but from today's open less spectacular because they gapped up:

Stock------My return today-------What RW records from Fri

FCX ........-.38%..........................2.7%
GS.............1.24...........................2.03
HA..............2.24...........................3.25
NNI.............0.51............................0.98
UFPI.......... 5.95............................6.25

The average difference in percentage gain today was slightly greater than .8. If you annualize 0.8% weekly, you get a 51% annualized return that didn't happen (whatever happens the rest of the week, that .8% difference is still there). Subtract that from your screening return to get a real return. This of course doesn't happen every week--and sometimes the reverse occurs, but it would be SO much better if RW could backtest its Sun picks from the real world Mon open; the variance is potentially huge if you backtest 6 years. (And as for P&P of course all the above got a bunch of goose eggs today--recording at today's close)

Meanwhile, the modest increase in market averages on lower volume as they butt up against resistance suggests a pause in the action or some retracement.