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Fine for going forward, but suffers from increasing problems going
backwards. Real historical sector index data will include prices of
securities that existed in the past but not today (bankruptcies, takeovers,
name changes etc.). Some sectors have changed out of all recognition over
the last 10 years even. If you only use the companies that have survived the
whole period then the survivorship bias is immense. It's a problem anyway
for any serious stock market backtesting, but if your population is a sector
or an industry rather than the whole market then the problem is bigger
because your sample is smaller.
-----Original Message-----
From: Dusant [mailto:cooldush@xxxxxxxxx]
Sent: Sunday, April 03, 2005 3:07 AM
To: Metastockusers@xxxxxxxxxxxxxxx
Subject: Re: [Metastockusers] Subject: Historical Sector Data?
The simple way to have historical data for various sectors, is to create
custom indicators, using the security() function.
Yes it is a little time consuming, but this way you are not dependant on any
data vendor. The data resides on your PC.
Dusant
----- Original Message -----
From: Harry M. Ward <mailto:hmw3@xxxxxxxxxxxxxx>
To: Metastockusers@xxxxxxxxxxxxxxxx
<mailto:Metastockusers@xxxxxxxxxxxxxxx>
Sent: Sunday, April 03, 2005 3:41 AM
Subject: [Metastockusers] Subject: Historical Sector Data?
On 2 Apr 2005 06:14:56 -0000, "Andrew Tomlinson"
<andrew_tomlinson@xxxxxxxxxxx> wrote:
>>I called both CSI and Prophet and both of them said that they did
not have
>>historical sector data - the stocks themselves, yes, but not the
historical
>>sectors. Any more ideas?
Sorry. I thought they both had historical sectors.
Several years ago I got my Metastock data from Dial Data. They
have/had weekly S&P Group data. According to my records, they had
104
groups, with data for some groups going back to 1969. I don't know
if
you can just get the back data, since Dial Data is a subscription
data
service.
In 2002 S&P established their GICS industry classification system,
and
revised the contents of their sectors. They did back testing to
1994,
and found that some, but not all of the old data correlated. For
more
info on this, go to S&P's website, and search for The Global
Industry
Classification Standard. I have no idea how (or if) Dial Data and
others correlated the old sector data, or just started again.
Best I can do.
Harry
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