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Survivorship bias-free S&P 500 database downloader

by clonex, 2720 days ago
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This is a survivorship bias-free S&P 500 database downloader. With this downloader you will be able to test your strategies with more realistic expectations.
I have created this script thanks to this blog post: Getting Accurate Backtesting Results: Survivorship bias-free S&P 500.

Original author is Quantshare Team. Thank You QS!

More info about Survivorship bias-free

"You may be surprised how backtesting results can hugely change depending on the data you are using. If you are trading stocks from a particular index you may get completely different results depending on whether you are applying a static list of stocks (Stocks that compose that index today) or a dynamic list that simulate the index composition at any moment in the past.

The survivorship bias can hugely affect your trading strategy backtesting results. You will end up buying stocks that are currently included in your reference index but are not part of that index at the time the stock was purchased. Creating a survivorship bias free database for the indices you are trading should be a very important step in your strategy development process.

The composition of any index changes over time; there are many reasons that can explain why a stock is delisted from an index. Bankruptcy, merging with another company, transferred to another exchange or failing to meet an exchange listing requirements are some of these reasons.
"


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Type: Download Script

Object ID: 1141


Country:
United States

Market: Stock Market

Style:
Fundamental Analysis

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