Trading Blox - does it handle "survivorship bias"?

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seraphim
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Trading Blox - does it handle "survivorship bias"?

Post by seraphim » Mon Jul 17, 2006 1:56 am

Hello,

Well, my trial to Trading Blox has expired -- now I need to decide whether to purchase! Really neat tool, I really enjoyed running ideas during my trial and analyzing all the results! Great stuff!

One question - does Trading Blox have any mechanisms for handling "survivorship bias"? (That is, dealing with the fact that many stocks have been delisted, and are not available on current lists of stocks; for an historical simulation to really be realistic, you need to include those delisted stocks whenever possible.)

For example, I have heard that the CSI data does include stocks in the historical data that have since been delisted, so it seems like the data is available. But one potential problem is that some of the delisted symbols get re-used. You need some way for the software to realize that the two symbols are not the same, are not continuous. Does Trading Blox deal with that somehow?

Perhaps there are other data or programming issues as well. I'd be interested in finding out how Trading Blox deals with this kind of thing.


Thanks very much!
Seraphim

Roscoe
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Post by Roscoe » Mon Jul 17, 2006 5:18 am

These guys have done some serious work on the subject: http://www.blackstarfunds.com/files/Doe ... stocks.pdf - perhaps you will find their paper to be of interest.

Tim Arnold
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Post by Tim Arnold » Mon Jul 17, 2006 10:52 am

Hi Seraphim,

Yes, the CSI data can include delisted stocks. They assign a unique symbol to address this issue, so there are no duplicates.

Trading Blox will read this data and use it per normal. You can do more complex things, like only include stocks with certain volume limits, or certain trading history.

But the short answer is yes, Trading Blox will allow you to test many assumptions around survivorship bias and how you might test or trade based on that.

Tim

seraphim
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Post by seraphim » Mon Jul 17, 2006 11:58 am

Roscoe wrote:These guys have done some serious work on the subject: http://www.blackstarfunds.com/files/Doe ... stocks.pdf - perhaps you will find their paper to be of interest.
Hi Roscoe,

Yes, actually it was that paper, and an email discussion with Eric Crittenden its author, that led to the question!


Thanks very much,
Seraphim

seraphim
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Post by seraphim » Mon Jul 17, 2006 12:02 pm

Tim wrote:But the short answer is yes, Trading Blox will allow you to test many assumptions around survivorship bias and how you might test or trade based on that.
Great! Glad to hear it! I like Trading Blox more and more, the more I look into it!


Thanks again,
Seraphim

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