Recently I had reader send me the rules for a stock trend following strategy. He knew these are the strategies I have been researching lately. The rules were few and I had time, so I coded it up.
Here is my definition of pre-inclusion bias from How much does not having survivorship free data change test results?
Pre-inclusion bias is using today’s index constituents as your trading universe and assuming these stocks were always in the index during your testing period. For example if one were testing back to 2004, GOOG did not enter the S&P500 index until early 2006 at a price of $390. But your testing could potentially trade GOOG during the huge rise from $100 to $300.
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