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Experience of stock dividends and splits in simulation

Posted: Thu Feb 04, 2016 4:35 am
by Mats
Hello out there all experience TB users.

I am in the process to set up historical simulation for stock system for SP500. I only traded futures for many years.

It is quite a work to set up a database with all listed and delisted stocks with splits and dividends and the historical compostion of SP500.

I have two questions:

1. How much does i affects simulation results if i do not use delisted, dividends, splits and historical composition of SP500?
2. Is there any ready database out there what is ready to buy and have reliable data?


Thanks for all input!

Re: Experience of stock dividends and splits in simulation

Posted: Thu Feb 04, 2016 9:33 am
by Tim Arnold
The affect on your system results will depend on your system, long term, short term, edge, etc. But it is important to include dividends and delisted stocks if you want an accurate back test. I am not a fan of trading only stocks that were a member of the S&P500 at some historical point -- I don't' subscribe to the value of that.

Yes CSI has all this data and it integrates with TB nicely.