Does signal data include stocks that discontinued trading?

[amouseos]

Hi,

I would like to enquire if esignal's data set includes stocks that stopped trading at any point in the past.

I am basically trying to check for survivorship bias in the data I do my tests with.

Thanks a lot
Andreas

[ScottJ]

It sort of depends on the situation. Since symbols can be re-used, we tend to pull old symbols via an automated de-listing process. Sometimes, information still is being sent from a source using that symbol (like news) so it'll stick around for a while. Hope that helps.

Thanks.

[amouseos]

Thank you Scott, that was quick and helpful.

I wish esignal would keep data of discontinued stocks (if the symbol is not yet recycled), it would really help with backtesting accuracy.

Thanks anyways!
Andreas

[ScottJ]

I think that could be a fairly tricky undertaking. Are you doing a portfolio backtest in a 3p app? It might help to understand the need and application for this old data but I can already think of several "gotchas" that would make it a challenge.

Thanks.

[amouseos]

Hi Scott,

the need for this old data it to avoid the survivorship bias in backtesting.
Simplistically, if you exclude in a census analysis the people who died in the past 6 years, the analysis will show that the mortality rate is lower than it really is.
In the same manner, our backtesting results show better results for long tests (and worse results for shorting, I guess) because they exclude stocks that dropped dead during the test period.

This is considered a serious disadvantage among serious testers, as I understand. I am still trying to get my bearings around testing so I can't have too strong an opinion yet!

Take care
Andreas

[ScottJ]

Thanks for the additional info. Are you using a particular application or running this analysis through a spreadsheet or homemade database?

Thanks.

[amouseos]

I'm using Excel.

[ScottJ]

Can you give me a symbol that's been delisted and you still need this history for? I'm just wondering if the data is still stored in one of our servers or purged altogether.

Thanks.

[amouseos]

I don't have specific data i'm looking for.

But let me see.. I have a stock list i got a few months ago, and lately esignal cannot find data for some of the symbols, including MMG, CBC, WEST, DYP, NAVI, ALY, SOLF, NOVL.

Thanks Scott
A

[ScottJ]

Symbols that are delisted get put in a special file and that's why you get the "invalid symbol" when you enter them in a quote window. We don't automatically wipe out their daily history though so if you try to get a daily chart on DYP, WEST, NAVI and NOVL, you'll be able to see some data. The others have been cleared.

So best I can say is try the symbol in a daily or weekly chart and see if you get anything. You will likely get lucky here and there but it's not exactly a practice you can rely on as we are clearing history under a number of circumstances (re-used symbols being the most obvious).

Take care,
Scott

[amouseos]

Ok Scott, thanks.

Andreas