Comments on: Suvivor Bias http://www.mebanefaber.com/2010/02/12/suvivor-bias/ Stock Market and Investing Blog of Mebane Faber Tue, 11 Oct 2011 15:24:53 +0000 hourly 1 http://wordpress.org/?v=3.2.1 By: WorldBeta http://www.mebanefaber.com/2010/02/12/suvivor-bias/comment-page-1/#comment-4245 WorldBeta Sat, 15 May 2010 21:59:25 +0000 http://www.mebanefaber.com/?p=2585#comment-4245 Diana Diana

]]> By: emini http://www.mebanefaber.com/2010/02/12/suvivor-bias/comment-page-1/#comment-4244 emini Sat, 15 May 2010 20:45:15 +0000 http://www.mebanefaber.com/?p=2585#comment-4244 Thanks for sharing Thanks for sharing

]]> By: WorldBeta http://www.mebanefaber.com/2010/02/12/suvivor-bias/comment-page-1/#comment-4042 WorldBeta Sat, 15 May 2010 16:59:25 +0000 http://www.mebanefaber.com/?p=2585#comment-4042 Diana Diana

]]> By: emini http://www.mebanefaber.com/2010/02/12/suvivor-bias/comment-page-1/#comment-4041 emini Sat, 15 May 2010 15:45:15 +0000 http://www.mebanefaber.com/?p=2585#comment-4041 Thanks for sharing Thanks for sharing

]]> By: dskills http://www.mebanefaber.com/2010/02/12/suvivor-bias/comment-page-1/#comment-3674 dskills Fri, 19 Feb 2010 20:43:33 +0000 http://www.mebanefaber.com/?p=2585#comment-3674 Great point Carl - I had forgotten about P123. Great point Carl – I had forgotten about P123.

]]> By: Carl http://www.mebanefaber.com/2010/02/12/suvivor-bias/comment-page-1/#comment-3673 Carl Fri, 19 Feb 2010 20:08:34 +0000 http://www.mebanefaber.com/?p=2585#comment-3673 <a href="http://Portfolio123.com" rel="nofollow">Portfolio123.com</a> has addressed survivor issues Portfolio123.com has addressed survivor issues

]]> By: dskills http://www.mebanefaber.com/2010/02/12/suvivor-bias/comment-page-1/#comment-3668 dskills Thu, 18 Feb 2010 11:40:23 +0000 http://www.mebanefaber.com/?p=2585#comment-3668 I'd love to hear from other readers, but I know of no generalized backtesting tool that deals with survivorship bias well - I'm not sure that even TradingBlox deals with it - would love to be corrected on it. The problem, however, is both the tools and the databases. First, no one yet offers a tool where with a dynamic portfolio that can have components come in and out at different times based on database data. They all offer the ability to have, say, a filter on a watchlist that selects stocks based on, say, volume. But no tool that I know of allows you to select, say, the S&P 500 and then the tool deals with all the events that bring stocks in and out of the index. The second problem is the database which others have mentioned.<br><br>It is amazing to me that no one has dealt with this so far - Norgate has said that they are working on the issue and will have a solution for Amibroker which I am excited about. I'd love to hear from other readers, but I know of no generalized backtesting tool that deals with survivorship bias well – I'm not sure that even TradingBlox deals with it – would love to be corrected on it. The problem, however, is both the tools and the databases. First, no one yet offers a tool where with a dynamic portfolio that can have components come in and out at different times based on database data. They all offer the ability to have, say, a filter on a watchlist that selects stocks based on, say, volume. But no tool that I know of allows you to select, say, the S&P 500 and then the tool deals with all the events that bring stocks in and out of the index. The second problem is the database which others have mentioned.

It is amazing to me that no one has dealt with this so far – Norgate has said that they are working on the issue and will have a solution for Amibroker which I am excited about.

]]> By: WorldBeta http://www.mebanefaber.com/2010/02/12/suvivor-bias/comment-page-1/#comment-3666 WorldBeta Thu, 18 Feb 2010 06:25:49 +0000 http://www.mebanefaber.com/?p=2585#comment-3666 It is almost like it is intentional (Suvivor, not Fidelity) . . . It is almost like it is intentional (Suvivor, not Fidelity) . . .

]]> By: jadoube http://www.mebanefaber.com/2010/02/12/suvivor-bias/comment-page-1/#comment-3665 jadoube Thu, 18 Feb 2010 03:41:35 +0000 http://www.mebanefaber.com/?p=2585#comment-3665 So it's still spelled incorrectly in the title, and Fidelity is misspelled in the body. So it's still spelled incorrectly in the title, and Fidelity is misspelled in the body.

]]> By: bj http://www.mebanefaber.com/2010/02/12/suvivor-bias/comment-page-1/#comment-3664 bj Thu, 18 Feb 2010 01:48:46 +0000 http://www.mebanefaber.com/?p=2585#comment-3664 Wealth Lab backtesting is great for computer expert. For monthly or quarterly balancing, 2008 and 2009 data are enough (great bear and bull in two years) for manual testing. I use etf selector from <a href="http://www.etfquest.com" rel="nofollow">www.etfquest.com</a> and do manual paper/pencil back testing. Wealth Lab backtesting is great for computer expert. For monthly or quarterly balancing, 2008 and 2009 data are enough (great bear and bull in two years) for manual testing. I use etf selector from http://www.etfquest.com and do manual paper/pencil back testing.

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