Extensive historic stock data (listed and delisted) that works with WL?
Author: mikesblack
Creation Date: 9/11/2009 10:37 PM
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mikesblack

#1
Norgate Investor Services advertises listed and delisted stocks back through 1950. Do you know about them or are there other data providers you can recommend? Think it's in MetaStock. Not sure about ASCII.
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brucev

#2
Hi Michael,

I use Norgate, and they are fine as a provider. They do have delisted data, HOWEVER, it isn't all that useful.
They just have a folder which contains all the delisted stock history.

If you are trying to reconstruct index constituents, what you need to know is which stocks are in which indexes and when they were in and out etc.

That they don't have.

You can build all that yourself if you have time and data. I do this for the ASX200 in Australia, and its a fair bit of work.

Cheers,
Bruce
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mikesblack

#3
Thanks Bruce.
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jamie1coutts

#4
Hi

I am uninitiated in this and not very tech savvy so I apologise for the awkwardness of the question phrased.

I am attempting to backtest my strategy over a minimum 15 year period for stocks strictly comprising the ASX 300 index. However, my data provider, Premium Data does not account for survivorship bias so I am concerned that my results are not a valid reflection of the real system performance. I have access to Bloomberg data so unless I can work out a way to to use Premium Data then I am willing to complete the task with Bloomberg data.

Question 1: Can anyone point me to resources on how to build datasets to accurately reflect the changes in index inclusion over any look back period?
Question 2: Has anyone done this with Premium Data or Bloomberg data and if so could they share how they did it?

When I asked Premium Data about this issue they did say they will be releasing something for Amibroker this year they told me but it was less than clear whether Wealthlab would be added.

Thanks
Jamie
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Eugene

#5
Top quality data, a history of delisted symbols and ability to test without survivorship bias are coming to Wealth-Lab soon.

Unfortunately, ASX 300 isn't covered. :/
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Carova

#6
QUOTE:
Top quality data, a history of delisted symbols and ability to test without survivorship bias are coming to Wealth-Lab soon.
Hi

Hi Eugene!

Can you give us a ROUGH indication of what you mean by "soon"?

Vince
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Panache

#7
I'm very excited.

I have been cleaning my newly downloaded Bloomberg data (which isn't very clean!).

I hope the new data source is going to be able to adjust for splits, like Fidelity and Yahoo.
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Gamba

#8
Any news on this topic?
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Eugene

#9