New answers tagged backtesting
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Do not use a list of all NYSE, Amex and Nasdaq stocks for your backtesting. Exchange membership is of little significance in the US. All three exchanges include some very inactive and illiquid stocks. Instead use the historical membership list for an index (such as S&P 500, Russell 1000, Wilshire, CRSP Index family) so you get a list of stocks which have ...
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If they publish information about all K trials, then you're right. But the author's point is that that's not typical practice. Typical practice is to not disclose that information, and it amounts to p-hacking where the statistical power of the test differs to what's being advertised.
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algoseek.com provides Equity Security Master File which tracks any changes for a security (Ticker, Name, Primary Exchange, etc) and goes back to Jan 2007.
You can filter tickers by SecurityDescription column and a relevant date range to get your target Universe. Also, they provide FIGI and ISIN within it, so cross-referencing with other vendors should be ...
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I have been looking for it also, and I don't think anything is able to do that.
I personally re-built some backtrading program, and I think it's pretty straightforward to do especially with Pandas' ability to resample data by time and build candles from it. https://pandas.pydata.org/pandas-docs/stable/reference/api/pandas.DataFrame.resample.html
You have 2 ...
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There's no need to calculate these dates, as there are many data sources that record exactly when the last trading date was for each expiry. It's standard stuff. Try the exchange website, it's probably free, and the exchange is authoritative.
Same holds for prospective dates/expiries out to a rolling horizon. IIRC it's usually a few years for equity index ...
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