Re: [amibroker] Re: S&P100 Lists from 2006 to 2010

[Richard Dale <richard@xxxxxxxxxxxxxxx>]

Unfortunately the lists provided by three_percent do not show symbol changes.

eg. Sun Microsystems changed its trading symbol from SUNW to JAVA.  It is an S&P 500 constituent.  The 2007 list shows it as SUNW but 2008 onwards shows it as JAVA.

Any decent data vendor would have renamed SUNW to JAVA so having a constituent of SUNW in your constituent isn't helpful at all because this symbol will not be found.

We (Norgate) are working on historical survivorship-bias-free index constituent lists and will look to provide a plugin much along the lines described by John below.  ETA is probably March-April next year.  Since we have a delisted stocks database already this makes like much easier.  At this stage we'll be looking to do the Russell 1000/2000/3000 back to 1990, DJIA back to 1950 and S&P 500 back to the 1970s if all of our research on constituent data is complete.

Best regards,
Richard Dale.
Norgate Investor Services
- Premium quality Stock, Futures and Foreign Exchange Data for
  markets in Australia, Asia, Canada, Europe, UK & USA -
www.premiumdata.net

-------- Original Message  --------
Subject: Re: [amibroker] Re: S&P100 Lists from 2006 to 2010
From: Keith McCombs <kmccombs@xxxxxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Date: Sat, 02 Jan 2010 15:20:55 -0500

 

John --
Your comments regarding changing of S&P contents is quite true.  That's what makes the historical lists that three_percent provided so valuable.

john.harmon97 wrote:

 

Unfortunately these lists aren't particularly useful because:
* symbols shown are not necessary's today's symbols (many companies have changed their trading symbol in the last few years)
* many companies delisted due to take over or failure
* s&p modify components far more regularly than yearly

Hopefully somebody will come up with a method that you can just add into your entry condition something like:

IsInIndexToday("S&P 500") and you wouldn't have to worry about anything else.

I imagine this would be a huge amount of research though.

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