Rank: Newbie
Groups: Registered, Registered Users
Joined: 8/27/2006(UTC)
Posts: 6
Location: Washington, D.C.
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I'm looking to backtest a trading system for [individual] stocks in the S&P 500 (I like their liquidity and typically available options) over the past 10+ years. However, given that so many stocks come in and out of the index every year - how do I go about setting up the historical data set in Metastock (I'm using 10.0 EOD)?
Anyone have any experience with this? Since this seems like it should be a project with fairly broad interest, I'd be more than happy to host the results for others to use if we can tackle this.
Cheers - Matt
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers
Joined: 4/1/2006(UTC)
Posts: 135
Location: Romania
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U should do the test on the entire market with a liquidity filter, at least this is my solution to survivorship bias - a real problem many times ignored by system developers.
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Rank: Newbie
Groups: Registered, Registered Users
Joined: 8/27/2006(UTC)
Posts: 6
Location: Washington, D.C.
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You hit the nail on the head.... survivorship bias is exactly the reason I want to go back and do this. In fact, given that I actually prefer the short side, removing the flameouts completely distorts the analysis.
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