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I tried to do simulation as accurate as possible because my life will depend on it. I looked at backtesting results and I found that there were situations that the program bought stocks but it disappeared when I tried to sell it. Sometimes they merged with other company. Sometimes they just delisted for some other reasons.

What is the most accurate way to simulate such situation ? To understand what should happen, how is the price determined when I try to sell delisted stock in real life ?

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Your models must be Split, merge & Delist Aware. That is the only way you can solve this problem.

When a company announces a merger/delisting date, it's often after seeking Shareholders approval, which often will be approved by the nation/authority. If not, the company will be criticized for misleading shareholders. So the news often is reliable and doesn't change.

If a company, whose shares are trading at say 100 USD announces a delisting date at a price of say 150 USD. All the market makers will be onto it as the stake is going to provide 50$ (Guaranteed/Risk-Free Return) on the delisting date, from their purchase date.

If you look at the above company data through your models, all models just consider it as an optimistic situation as the prices are rising consistently and they do the buying. Sometimes, the price would even exceed the buyback price, which is an opportunity to sell. But the models wouldn't be aware of such information.

The only way of doing it is to make the models aware of the splits, mergers and delistings. This information is public and could be processed. It is expensive, complex but this is the only way to go forward.

The information is provided by the respective indices. For NasDaq Its here, NDAQ Press Releases by Company For LSE, LSE Press Releases For DAX, DAX Press Releases For ASX, ASX Press Releases For NSE, NSE Press releases You should be able to find this information from the respective indices, if the index isn't mentioned above.

The data could be very specific [depending on the index]. Some indices just upload the pdf or file received from the companies. In such a case, you might have to manually process the information. Often, this wouldn't be the case, if you are validating top companies of an index. For micro/mid/small cap, this could be a problem.

The Index maintains the information of those companies, which are delisted too. However it might be provided in a different sub section. you might make a note of this.

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    $\begingroup$ Thanks for the comment. The problem is where to look for delisted sell price especially when we are concerning historical data . Even commercial source dont have such information $\endgroup$ – Hairy Ass Dec 11 '19 at 2:16
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    $\begingroup$ @Hairy Ass, Added the sought references in my answer. please check. $\endgroup$ – user43629 Dec 11 '19 at 2:51

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