Survivorship Bias Filter Utility !!

TradeSim now introduces survivorship bias free back testing to further refine back testing results even more. All TradeSim Editions including the trial now comes with the ability to do survivorship bias free backtesting using a Survivorship Bias Filter (SBF) Table that is easy to create, This table is essentially a text file which contains a list of constituent symbols and there corresponding date ranges for when they were included in the index. Multiple date ranges are permitted which allows for the circumstance when a constituent came into and out of the index.

Survivorship Bias Filter Utility available in the Professional and Enterprise Editions

The Professional and Enterprise editions of TradeSim now come with a Survivorship Bias Filter Utility which has a filter table builder assistant that allows the user to construct filter tables from Standard and Poors lists which are freely available. Note that some of the data available from the S&P website maybe incomplete or contain erroenus information so some additional checking should be done to make sure that your tables are an accurate representation of the past constituents lists. Because the lists are simple text files with date ranges they can easily be editied using a text editor such as Note Pad.

• Step 1. Load in the Index Change Table obtained from the S&P website.

• Step 2. Load in the Earliest and the Latest Constituents list available from the S&P website. Set the latest constituent date to correspond to the date from the S&P file. Then click on Construct button to build the table.

• Step 3: Use the Fixup tool to search and replace missing dates.

• Step 4: Save the table for use in a trade database exploration.

Once these tables have been created they can be applied at the time a trade database is created within Metastock or can be applied directly to a loaded trade database. Even if you don't use Metastock you can still apply the SB filter to a trade database that you have created with another charting package. You can switch the SB filtering on and off and make a direct comparison beiween the results. Nothing could be more simpler !! Plus the effect of the filter is transparent to the operation of the software and does not hinder back testing performance. You can run Monte Carlo analysis with the Enterprise Edition at full speed and the filter will not slow down the analysis. For convenience the filtered trades are also visually displayed in the trade database manager as greyed out trades if the filtered out trades have been included in the trade database build.

To build a proper survivorship bias free trade database you need an accurate SBF Table as well as access to a data provider that provides delisted securities. Some data vendors are now supplying delisted securities as part of their service.

For more information on survivorship bias free backtesting see the following document

• AN5 - Survivorship Bias Free Back Testing using TradeSim

The Benefits to you the trader.

We know of one company who is charging $1000's of dollars plus additional costs just to access this facility !! With TradeSim there is now no need to pay thousands of dollars for this facility and no need for any specialized security data. If you have Metastock and your data provider provides access to delisted and expired security data then you can do Survivorship Bias free back testing with TradeSim. And the cost to you is nothing if you are a registered user. If you are not you can purchase TradeSim from our online store.