Survivorship bias

[ronblack]

@Baron, I gave it another try. Giving up because I do not need people like Kevin policing my posts. You can delete my account. Kevin wants the forum for himself. If you do not block him, he deserves it.

 

[GaryBtrader]

@ronblack I'm not sure who you're responding to? I don't see any posts by Kevin in this thread. Also the reference you made to a previous thread has a post by Kevin but all the text has been deleted??

 

[Volker Knapp]

Let’s get back to the topic. This is more important than you think. Most researchers, even the big guys fail to consider it.
This is bad. Really bad.

 

[WealthSignals]

Is anyone using Norgate data with historical index constituent series? What is your experience? The data appear useful in avoiding survivorship bias as in this interesting article.

On a related note, Norgate's historical index constituents are supported in Wealth-Lab for anyone who wishes to test on data which is free from survivorship bias. -Eugene

 

[indicator777]

On a related note, Norgate's historical index constituents are supported in Wealth-Lab for anyone who wishes to test on data which is free from survivorship bias. -Eugene

Great news! By the way, another article in same blog with example where "CAGR drops to less than 8% from more than 20%"

Also I found another interesting one using volume to rank sp500 stocks. Bias is high if not considering delisted with artificial gains in the order of 100% for some year that disappear after proper backtest.

 

[jharmon]

Volume is a poor ranking technique and reeks of selection bias.

Dollar volume/turnover is far more interesting.

But I agree on survivorship bias - this is critical to any trading system. Anybody who attempts to analyze the market/create a trading system without it is a fool.