Can anyone recommend a source of historical data WITHOUT survivor bias?

Quote from rwk:

The OP didn't say what he wants the data for, but I would think a coach/trainer for Bright would be working mostly with high momentum stock strategies. I don't think survivorship or lookahead biases are all that important for high momentum, but they're absolutely critical for anything like value investing.
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I don't know anything about Bright but there are a ton of firms that are trying to get "tick data" just to say they have it as an attraction to potential HFT/algo guys.
 
Quote from WinstonTJ:

I don't know anything about Bright but there are a ton of firms that are trying to get "tick data" just to say they have it as an attraction to potential HFT/algo guys.
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We're not looking at HFT type traders. (But we have come up with some stuff on benefitting from them ;) ). This particular request is for hedged strategies with swing trading timeframes.
 
Quote from Rodney King:

Compustat supplies prices, returns, volumes. What leads you to believe otherwise?
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I said ASFASIK - As far as I know. I have used it and only noticed prices as of financial reporting period end dates. I haven't looked too hard for other market data, but have been told common practice is to merge compustat financial statement data with market data from another source. Which is what I have done.
 
Quote from black diamond:

Thanks. Do you use/recommend this? Merging can be painful.
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Well, the name-brand quant firms use multiple vendors for price/returns data, since those data are cheap relative to the other databases offered by Compustat, Reuters, Factset et al -- and they cross-check to clean up errors and outliers. But, more to the point -- OP seems to have disappeared from the thread, so we're just talking to ourselves. If/when OP comes back, will be interesting to hear what he decided to do.
 
Quote from Rodney King:

Well, the name-brand quant firms use multiple vendors for price/returns data, since those data are cheap relative to the other databases offered by Compustat, Reuters, Factset et al -- and they cross-check to clean up errors and outliers. But, more to the point -- OP seems to have disappeared from the thread, so we're just talking to ourselves. If/when OP comes back, will be interesting to hear what he decided to do.
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Hi Guys,

I'm still here. Lots of good info so far. I'm going to check into Compustat further.

Thx,

Cash
 
Two I've tried are CSI Data www.csidata.com and Premium Data www.premiumdata.net

Of the two, Premium Data is the standout since it doesn't have symbol number limitations and its database is more complete than CSI's (eg. CSI commonly misses our the "when issued" period of trading for spinoffs and its data doesn't always start at the IPO date, particularly for older stocks, plus there are lots missing historically too).
 
cashonly said:
I'm looking for a source of historical data WITHOUT survivor bias.

You know, when a company is bought, or goes into bankruptcy, or is delisted, or some other such thing, their symbol basically goes away from all historical data sources that I can find. So if you're doing backtesting it's impossible to have the results run on these stocks and you have "survivor bias"

Looking for a data source that has the data for these symbols as well.
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FirstRate Data
https://firstratedata.com/b/1/sp500-historical-intraday-stocks-bundle
 
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