Survivor Bias Adjusted?

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Survivor Bias Adjusted?

edited Feb 20, 2017

I'm new to Quantopian and have been playing with the platform a bit over the last week. One question I can't figure out is if for example I am using the Q500US which I assume is the S&P 500 tickers, does back testing automatically adjust to use the tickers that were in the S&P 500 at that period of backtesting?

For example the companies that made up the S&P 500 in 2011 might not be the exact some ones in the index today so if we test based on the ones that exist today we are creating a bias in the results since we know the ones that exist today survived up until now unlike the companies that got delisted.

3 responses

Spencer Singleton

The definition of the Q500 is according to their help documentation. "A default universe containing approximately 500 US equities each day. Constituents are chosen at the start of each calendar month by selecting the top 500 "tradeable” stocks by 200-day average dollar volume, capped at 30% of equities allocated to any single sector." So the stocks do not have to be in the S&P 500 it is just the most liquid 500 stocks over the past year or so. Judging by the number of delisted data errors I have been finding in the Q500 I'm fairly certain the data is survivor ship bias free as well.

So when my back test starts on 1/1/2010 for example, the Q500 picks from a pool of stocks that existed on 1/1/2010 or that exists today? Thats what I am really not clear on. If you are getting delisted errors then that just means they don't exist in the current pool of stocks, but they should still exist if you go far back enough.

Jamie McCorriston

That's correct. When you run a backtest, the algorithm will only see data/stocks that were available on the simulation date.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.