Software for historical performance/correlations

Good points, and before deciding on the actual to-do items one must think more philosophically about what survivorship bias even means and how one is affected by it. It really depends on specific strategies, approaches to trading, holding periods,...whether survivorship bias has any impact at all and if, what kind of impact. If it was as easy as 3 lines of python code and out come intelligent analytics then we would all be unemployed.

Don't forget survivorship bias.

You've asked for a backtest involving stocks in the S&P 500. Today's S&P 500 is not the same as it was 1,2,3,4,5 years ago etc! e.g. Consider Monsanto that delisted June 2018 (takeover by Bayer) - it was a member of the S&P 500. Do you even have this data in your system?

All of a sudden this system gets way more complex....
 
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