Experience of stock dividends and splits in simulation

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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Roundtable Knight
Roundtable Knight
Posts: 142
Joined: Thu Feb 28, 2008 2:59 am
Location: Stockholm

Experience of stock dividends and splits in simulation

Post by Mats » Thu Feb 04, 2016 4:35 am

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!

Tim Arnold
Site Admin
Site Admin
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Joined: Tue Apr 06, 2004 1:41 pm
Location: Boston, MA

Re: Experience of stock dividends and splits in simulation

Post by Tim Arnold » Thu Feb 04, 2016 9:33 am

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.

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