First post so please be gentile.
I have created a simulation for a number of stocks. I do all of my testing in-sample and rolling forward a little out of sample (to obtain the performance statistics). I move this window through time to create a performance time-series for each stock I look at I have noticed that when I stick together the out-of-sample results a few stocks are very consistently under performing through the entire back test period.
My question is: I don't want to introduce any bias into my simulation by selecting stocks from the out-of-sample window instead of the in-sample window, however why would I include these very poorly performing stocks if they have not ever performed out of sample? My assumption being that this trend will continue. I could exclude these stocks and back test on a regular basis to see if the performance changes?
Any views on this would be much appreciated.
Thanks for any help