Today by backtesting I find a very curious thing: In my algo I just have the stock MDLZ. But from a date another stock KRFT is mixed in the portfolio. See my attached backtesting. I doubt if it has a little to do with the black hole? :-/
Formerly I have sometime quite mysterious error by backtesting. But I fail to find out the reason. Today I catch it.
One can see at the beginning there is only one stock MDLZ in the portfolio:
...
2012-08-20 21:59 PRINT Stock:Equity(22802 [MDLZ])
2012-08-21 21:59 PRINT Stock:Equity(22802 [MDLZ])
2012-08-22 21:59 PRINT Stock:Equity(22802 [MDLZ])
...
But from 2012-10-02, another unknown stock 'KRFT' is mixed in my portfolio. Terrible. :-)
...
2012-10-02 21:59 PRINT Stock:Equity(22802 [MDLZ])
2012-10-02 21:59 PRINT Stock:Equity(43405 [KRFT])
2012-10-03 21:59 PRINT Stock:Equity(22802 [MDLZ])
2012-10-03 21:59 PRINT Stock:Equity(43405 [KRFT])
2012-10-04 21:59 PRINT Stock:Equity(22802 [MDLZ])
2012-10-04 21:59 PRINT Stock:Equity(43405 [KRFT])
@Albert,
Thanks for the information. Do you know where can one find the general spin-off information? I think maybe there is spin-off not only by MDLZ but also by some others.
Besides, such spin-off will influence or even distroy the result of my algo. I wonder how to detect such spin-off when I run the backtesting, especially when I do live trade?
Thomas
I update my algo: as soon as the spin-off happens, I will sell it. One can see the RETURN is different than I haven't sold it.
I find this phenomenon occacionally. It seems I have backtesting all of my algos again under considering the spin-off.
Yeah sure, you can subscribe to the spin-off datafeed:
https://www.quantopian.com/data/eventvestor/spin_offs
There is also one for M&A, which you probably also want to consider!
https://www.quantopian.com/data/eventvestor/mergers_and_acquisitions
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