I’m backtesting a systematic trading system that i want to use to trade the ASX Small Universe..
Its a trend following system
If I test this system for all of 1990-2000 ASX Small Caps the results are favourable.
From 2000 – 2020 the results are favourable up to 2010.
From 2010 until now (2020) the results are mediocre and probably not worth trading.
I’m not a veteran in the market and don’t have history behind me to know if Small Caps were ‘different back then’
So whats going on here? Have Small Caps just not been performing as well from 2010 – 2020 as they were in previous years?
Not as much ‘bank for the buck’ in the Small Caps index constituents?
Or does a trading system need to be tweaked over the years to ‘fit’ the market you are trying to trade?
Also, is there a way I can check the results of the S&P ASX Small index itself over the last 20 years so that I can see the performance of it?