Help with Survivorship Bias Free DB

Help with Survivorship Bias Free DB

Dave W.
2014-02-17 18:15:41

Hi. I'm trying to follow the article here: Getting Accurate Backtesting Results: Survivorship bias-free S&P 500
Read more: http://www.quantshare.com/sa-435-getting-accurate-backtesting-results-survivorship-bias-free-s-p-500#ixzz2taVo8a9x

I've setup my custom database (named "sp500index"), created the downloader, and am trying to create the parser. If I'm understanding correctly, the article assumes the ticker symbol is in the first field, but it appears they have updated the csv format and the ticker is now in the 4th field. So, I updated the parser by adding three 'skipped' fields before the symbol field. That allowed me to properly locate and parse the symbol, but now there is an issue with the subsequent two fields not showing the correct values, which I don't know how to resolve.

Attached are screen shots displaying the issue and my setup. Can you help?

Screen shots:
https://drive.google.com/file/d/0BxSjaSuq_9wgMzVuc0syQ3d6VXc/edit?usp=sharing
https://drive.google.com/file/d/0BxSjaSuq_9wgN2p4SjllcERxckU/edit?usp=sharing
https://drive.google.com/file/d/0BxSjaSuq_9wgOHVpeko0WVpkUnM/edit?usp=sharing
https://drive.google.com/file/d/0BxSjaSuq_9wgOVJJWDEzbHdPU0E/edit?usp=sharing
https://drive.google.com/file/d/0BxSjaSuq_9wgU1NMN29rcmpCUnM/edit?usp=sharing
https://drive.google.com/file/d/0BxSjaSuq_9wga1FRRTRwQlZuX2c/edit?usp=sharing

Thanks,
Dave

QuantShare
2014-02-18 12:59:08

Best Answer

Dave,

Instructions have been changed, please check the blog post again.

Dave W.
2014-02-19 21:23:36

Thank you. The revised instructions address the main issue.

When I completed the process, there may still be something that isn't right with the screener code or something else I'm doing wrong. When I run the screener code in the article:
Read more: http://www.quantshare.com/sa-435-getting-accurate-backtesting-results-survivorship-bias-free-s-p-500#ixzz2tmz1gAng

- Select "Analysis" then "Screener"
- Click on "Create a new screen"
- Type the following formula: (Editor Mode)

inIndex = GetData('index', 'ivv', Zero);
inIndex = BetweenFirstLast(inIndex);
filter = hhv(inIndex, 100000000);

I only get 534 results from that screen. That seems low for the S&P500, which I think turns over an average of 3% - 4% per year. Does the screen get data all the way back to the start of the ivv custom database (December 2006 I think)? Do you get more securities when you run the screen?

Any suggestions on where I might be making an error? Thanks as always for your suggestions.

QuantShare
2014-02-20 11:30:45

Yes, the screener is correct. This could be because:
- Only few data is available in the "ivv" custom database.
- No EOD data available for some securities (in this case the security is not displayed in the screener)
- "Automatically add new symbols" is not checked in the downloader

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