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RE: [amibroker] More on index constituent lists



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I can't help but wonder if people who use things like the Russell 2000 and NASDAQ 100 constituent lists as watchlists realise what happens to such lists almost weekly.

If you are using lists like this, I would suggest that you lose one stock about every two weeks due to either the ticker changing or the stock being de-listed.

Perhaps you maintain your own lists.  If so, great!

The problem is that many of the stocks that disappear are the stocks that have done poorly (price wise).  You can backtest a system today and get a CAR of 80%.   You can backtest the same system tomorrow and get a CAR of 90% due to one stock simply disappearing from your watchlist.

Just something to think about.

I'm happy to keep the watchlists up-to-date with current tickers.  If you care about keeping de-listed stocks, it's up to you to figure out a way to do so.

Adios


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