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
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=my&q=l&l=off&z=m&a=v&p=s
>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
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?
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. "
Some time ago I came upon this issue, there was quite a bit of discussion on it at wealth-lab.com. Back then we found that WallStreetCity would allow you to download some delisted stock data in their free historical download. They had to be delisted recently and still trading on OTCBBs. Here are some symbols I downloaded. ACRTQ ADELQ AMIIQ BHMSQ ENRNQ FDMLQ FNVG GBLXQ MIRKQ RELH THDOQ UALAQ WCOEQ However as it turns out it is not always necessary to create a watchlist of delisted stocks. Think of it this way, some delisted stocks trade downward in pretty steady fashion before delisting making them easy to judge. What I was really after was a list of stocks with several bad price shocks which I could test against some filters, so I created a script to make a watchlist of stocks which have exhibited a 50% one day price drop in the previous four years. Whether they went on to delisting or bankruptcy is irrelavent. I tested my filters against this list. Nowadays though I simply test filters against the entire market. Some of these stocks at any one time are lining themselves up for bankruptcy, in the 50% drop list I found it's not always the chapter 11 announcement that causes the drop, often the drop happens way before that. Here is a list of some stocks exhibiting 50%plus one day price drops :- AAPL ABB ACF ACO AHO ALOY AMIE ARL ARMHY ARO ARTG ASF ASGR AVAN AVN AYE AZPN BCE BEAV BRIO BVEW CAPA CCRD CCUR CGA CHPC CHRZ CKC CLST CNP CNXT COMS CRY CTEC CTXS CWST DAR DKHR DLGS DRTK DVD DYN ECSI EDS ELN ELX ENTU EP EPAY ETS FDRY FFFL FHRX FMXI GES GGAL GNLB GTIV GVHR HBIO HGR HOMS ICN ICPT IDEV ILA IMAX INAP INKP INSM INTI INTV ISIS JILL JWL KSU LEXR LGTO LJPC MAXM MCTR MDCC MED METHA MSN MSTR MSV MWY NAFC NENG NET NETE NEXM NTII NTRO NTSL NUI NVEC OMG OPWV OVTI PCCC PDII PKN PKS PLMD PLXT PMTC PMTR POL PROX PRSF PTEC PTIX PVN PVSW PWR Q QVDX RATE RETK RLRN RMBS ROK ROXI RSC RSTNE RWY SBAC SBYN SEE SEPR SGI SIRI SONS SPM SPRI SRZ SVVS SYKE T TALK TCI TERN TIWI TMR TMTA TMWD TSTN TWW UCOMA UHAEQ ULTI VRSN VRTY VTIV VWKS WFR WGBC WITS WMB WVCM XING XOSY ZOMX
If you need data for delisted US, Canadian or UK stocks, CSIData carries it, although they aren't entirely comprehensive. For example, back in the old days, to save space they reused ids for some delisted stocks in their database, causing the old data to get discarded. They also didn't carry the whole NASDAQ until the early-90s or so. You'll have to buy a ton of history to get it all. Are there any particular delisted stocks that you're interested in, or do you need as many as you can get (for backtesting purposes, say)? To answer the original post in this thread, there's a list of delisted American stocks here: http://www.codehappy.net/charts/delisted_stocks.txt
Oh, and just to clarify, CSI provides end-of-day data. If you need intraday data, I think tickdata.com provides it for delisted stocks as well (I've never dealt with them, so double check with them that they have what you need before you buy anything, of course.) If you want better data than that -- and you don't want to pay institutional prices for it -- you may need to build the databases yourself.