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"I guess the real point here is: Do the constituent stocks exhibit
different behavior (i.e. better trades/signals) than non-constituent stocks?
If the answer is no (or unknown), then a liquidity filter will do the job
just as well."
Indeed - the many dollar question. In my own backtesting on a particular
momentum system, the S&P500 stocks did better (compared to the top 500
stocks or so by $ turnover). This is possibly due to an indexing effect - a
big move in an index component will be exaggerated as investors jump in to
rebalance. But I can't be sure until I have a longer history to rebalance.
And at this point in time its on my "wouldn't it be nice to have" list, not
my "must have" list. I operate my system on the S&P500 stocks - if it does
better than the backtesting, then great. I could come to a time when I
really needed the data, though (e.g. if I wanted to get the last ounce out
of the backtesting to show investors).
Best
Andrew
-----Original Message-----
From: equismetastock@xxxxxxxxxxxxxxx [mailto:equismetastock@xxxxxxxxxxxxxxx]
On Behalf Of Richard Dale
Sent: Saturday, April 16, 2005 12:42 AM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: RE: [EquisMetaStock Group] A-D data format.
Hi Andrew,
It's still on my medium term TODO list... I have S&P constituent data back
to around 2001 but it needs careful tracking/mapping to delisted and
code-changed securities which is likely to be a manual slog at best.
I'm investing additional sources of corporate action feeds that might allow
me to backtrack code codes but it's all rather expensive....
I guess the real point here is: Do the constituent stocks exhibit different
behaviour (ie better trades/signals) than non-constituent stocks? If the
answer is no (or unknown), then a liquidity filter will do the job just as
well.
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
<http://www.premiumdata.net/>
_____
From: equismetastock@xxxxxxxxxxxxxxx [mailto:equismetastock@xxxxxxxxxxxxxxx]
On Behalf Of Andrew Tomlinson
Sent: Friday, 15 April 2005 21:55
To: equismetastock@xxxxxxxxxxxxxxx
Subject: RE: [EquisMetaStock Group] A-D data format.
I started down this road a while ago. In the end I decided I didn't have the
time or energy. What decided me was the realization that, even if I managed
to get the index list changes back to the dawn of time, I couldn't do
anything with it unless I had matching data. Data vendors change and purge
their lists when there are name changes, takeovers, bankruptcies, etc. An
S&P 500 list from 20 years ago may not have data on 20% (? I'm guessing -
could be more) of the component securities using today's lists. So until a
vendor starts to offer data that hasn't been cleaned up in that way (you
still need stock splits etc) there's not much you can do with the index
info.
Richard Dale at Premium Data was starting to look at this at one point, but
I don't know if he got anywhere.
_____
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