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Let me
try to explain the significance of the "extinct stocks"
issue.
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The
following stats only reflect U.S. stocks (NYSE, AMEX, NASDAQ) where the
highest average volume (50-day) on any day was > 75,000 and the highest
actual close on any day was at least $1. I'm personnaly not
interested in stocks that don't meet that criteria.
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There
are 8,266 such stocks that are currently being
traded.
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Of
those, only 2,112 were trading in 1992.
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In
1992, there were 1,207 stocks trading that are not trading
now.
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412 of
the currently traded stocks have had their volume backadjusted to be more than
double the number of shares that was actually traded on the
day.
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915 of
the currently traded stocks have had their historic prices reduced by more than
50% due to normal splits.
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623 of
the currently traded stocks have had their historic prices adjusted upward by
more than two times due to reverse splits.
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If you
ignore extinct stocks and actual prices and volumes, what good is historical
backtesting? You would be missing 1,207 stocks in 1992, 1,066 stocks
in 1993, etc. You may be filtering based on price and/or volume using
totally useless numbers.
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I
guess that it all depends on how much confidence you want to have in your
backtesting results.
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