Survivor Bias

[karl_ranson]

Hi there,
I am interested in developing a way of accurately backtesting to account for shares that have moved into and out of the ASX 100/200/300/500 over the last 10 years. I assume that experienced traders must have found ways to account for this inflow/outflow. ( For example, only 3 years ago Paladin was trading at around 1c whereas now it's in the top 300. )

I'd really appreciate any comments on the below questions:

1. Is anyone aware of a document that contains information on when each company was added or deleted to the ASX 200,300 and 500 lists, dating back to before the year 2000?
(as someone mentioned on an previous post, http://www2.standardandpoors.com contains some info but only up to the year 2000.)

2. I have a good understanding of Metastock and Tradesim. Can anyone suggest a way of including this information such that it can be used to allow trades to be entered into while they're a constituent of the relevant Index (and also allowing the trade to be exited even if the stock may have slipped out during the trade) ?

As I mentioned above, all feedback is appreciated.
Thanks
Karl

[Jose]

Karl, taking out the survivorship bias can be a lot of work.

You may be interested in a couple of articles I wrote, which in part deal with isolating the survivorship & market trend biases:

Trading System Development Tools (http://www.metastocktools.com/URSC/sysdev.htm)
Trading with solid foundations (http://www.metastocktools.com/URSC/sysdev2.htm)


jose '-)