# Removing stocks from simulation based on long term out of sample performance

I have performed a simulation on a stock universe and have found some stocks that out of sample have never performed (every day they always lose money in the simulation). I don't want to introduce any look ahead bias but these stocks have consistently lost money for 2 years (I simulate once a day). Can I remove them from the simulation?

Thanks

• It surprises me that $500 = 2 \times 250 \textrm{ trading days}$ returns are all negative. How are you simulating? – Bob Jansen Dec 4 '18 at 6:53
• Thanks Bob, The returns are not all negative but the trend is very definitely consistently negative. I'm testing in-sample (1 year) and rolling forward (by a few days) out of sample – Stacey Dec 4 '18 at 8:08
• In your question you state they "always lose money". Some stocks might perform bad, if you remove badly performing stocks from your sample you're definitly introducing look-ahead bias. – Bob Jansen Dec 4 '18 at 8:47