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Turok

Registered: Jul 2001
Posts: 4015

12-29-03 07:40 PM

Hey gang,

Its the classic exchange wide backtesting problem...how can I get a historical list of the delisted stocks for both naz and nyse?. I'm looking back to early '90s.

The list of current symbols of course is "winner filtered" and I need to ensure that this doesn't significantly impact a exchange wide system.

Any ideas?

Thanks
JB

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DK_

Registered: Sep 2003
Posts: 131

12-29-03 08:16 PM

The term is survivorship-bias. I assume you're using some sort of minimum liquidity filter.. as you're probably not program-trading penny stocks? So, what you need to do is reevaluate which stocks meet your required liquidity on a daily basis in your backtest. This does not take into consideration delisted stocks, but you will include trades for a fair number of dot-kamikazes like realnetworks.

http://ichart.yahoo.com/z?s=RNWK&t=...off&z=m&a=v&p=s

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Turok

Registered: Jul 2001
Posts: 4015

12-29-03 08:25 PM

>The term is survivorship-bias.

That's the one

>I assume you're using some sort of minimum liquidity filter

Yes.

>This does not take into consideration delisted stocks

Exactly, and it is those stocks that I wish to consider. Though I understand the impact of liquidity filtering, it still is no substitute for the list of delisted.

Thanks
JB

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axeman

Registered: Feb 2002
Posts: 3503

12-30-03 08:19 PM

bump - i've been looking for a delisted list for a long time too.
Anyone? Anyone?

peace

axeman

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kerm1t

Registered: Jun 2004
Posts: 8

07-29-04 04:47 AM

I've found no historical quote provider that includes a comprehensive historical data set, that is, including delisted companies. Back testing with a winners-only data set like those I keep finding is far too biased to be of much use. Suggestions?

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kerm1t

Registered: Jun 2004
Posts: 8

07-29-04 06:33 PM

Premiumdata.net responds to the question with:

"Our US stock market data does not (yet) have history for delisted securities but we intend to change this in the next 3
months. "

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