Backtest an index with symbols that existed in it
Author: eralbanese
Creation Date: 8/28/2020 9:17 PM
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eralbanese

#1

8/28/2020 9:17 PM

Hello,

I am interested in back testing my strategy against an index (for example S&P 500). I understand easily how I can test against the current symbols in the S&P 500 but if I back test say to 1990 it will include all of those symbols even though they didnt exist in the SP500 at that time.

Is there a way to focus the trading strategy to symbols that existed only in the S&P 500 at that exact time?

Thank you,
Eric
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Eugene

#2

8/29/2020 4:47 AM

Hi Eric,

This is called "backtesting without survivorship bias". Wish one day Wealth-Data would open up this feature to our customers. But at the moment you can subscribe to Norgate Data's service (3rd party) and enjoy survivorship basis free backtesting in Wealth-Lab!

Check out these forum threads:

* Norgate Data
* Survivorship bias / Delisted symbols / Historical index components
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