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survival bias and lisitng   Message List  
Reply | Forward Message #139977 of 143783 |
Re: survival bias and lisitng

Though, that approach would mean that you could only backtest up to the date at
which your delisted stocks ended. Unless you were able and willing to
continually update your free vendor to move the newly delisted stocks into the
the delisted area.

Mike

--- In amibroker@yahoogroups.com, ges x <ges8ges@...> wrote:
>
> I use the premiumdata for stock history for purposes of backtesting. I
> think it is worth investing in.
>
> You can just buy the historical data, and use some other free source for
> recent data.
>
> On Sun, Jul 5, 2009 at 1:16 PM, Mike <sfclimbers@...> wrote:
>
> >
> >
> > Assuming that you want US markets, have a look at Norgate Premium Data:
> >
> > http://www.premiumdata.net/products/premiumdata/ushistorical.php
> >
> > Mike
> >
> >
> > --- In amibroker@yahoogroups.com <amibroker%40yahoogroups.com>,
> > "loveyourenemynow" <loveyourenemynow@> wrote:
> > >
> > > Hello,
> > >
> > > since survival bias and listing/delisting effects are very important on
> > long term backtesting I would like to know if there is any reliable source
> > of free data of the major world index components, with accurate
> > listing/delisting dates.
> > > Or alternatively what is good paid service.
> > >
> > > Thanks
> > >
> > > Ly
> > >
> >
> >
> >
>





Mon Jul 6, 2009 3:50 am

sfclimbers
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Message #139977 of 143783 |
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Hello, since survival bias and listing/delisting effects are very important on long term backtesting I would like to know if there is any reliable source of...
loveyourenemynow
loveyourenem...
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Jul 5, 2009
3:21 pm

Assuming that you want US markets, have a look at Norgate Premium Data: http://www.premiumdata.net/products/premiumdata/ushistorical.php Mike...
Mike
sfclimbers
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Jul 5, 2009
7:16 pm

I use the premiumdata for stock history for purposes of backtesting. I think it is worth investing in. You can just buy the historical data, and use some...
ges x
gesges
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Jul 5, 2009
9:47 pm

Though, that approach would mean that you could only backtest up to the date at which your delisted stocks ended. Unless you were able and willing to...
Mike
sfclimbers
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Jul 6, 2009
3:51 am

Getting delisted stock is extremely easily, nearly data vendors provide them. But getting changes to indices components with accurate dates is not done by any...
Paul Ho
paultsho
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Jul 6, 2009
8:15 am

Thanks Mike,Ges and Paul, What about a collection of files containing the index components at different updates? Thomasz provides a clever implementation with...
loveyourenemynow
loveyourenem...
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Jul 7, 2009
12:48 am

I've looked at this issue a lot and also looked at ways around it - suffice to say that I've found no way to deal with the issues of switching portfolios over...
droskill
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Jul 7, 2009
11:37 am
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