4 ms·
Back testing is a real bitch. I've been building my own app for back testing recently, my specific interest being how published insider buys (SEC Form 4 transa
by ikea_meatballs 14y ago
Back testing is a real bitch. I've been building my own app for back testing recently, my specific interest being how published insider buys (SEC Form 4 transactions) affect the prices of stocks in the short near and long term. You can get dividend data and stock splits easily enough from some public feeds. But where do you get a database of ticker changes, bankruptcy events, and spin-offs, especially on the OTC markets? You can't unless you're willing to shell out a lot of money. Back testing properly is probably out of the cost range of the individual investor.
Some examples:
* Lehhman's ticker changes on the way down
* GM going bankrupt and then coming back from the dead!
* Skye International used to trade under SKYY (at 0.35c/share), but now SKYY tracks a cloud SaaS ETF 20.60/share). Think you got a big win using that strategy that including buying SKYY? Think again!
- Iterated 14y agoHave you looked into CRSP (Center for Research in Security Prices)? I know they have all that data, I'm not sure how much it costs though. Probably not profitable for the average retail trader.
- fawce 14y agoYou're speaking truth. We (quantopian) deal with all of those headaches, and test the algos with fully adjusted data. Splits, symbol changes, mergers, divestitures, dead companies, dividends - they're all covered.
- spitfire 14y agotickdata.com has split adjusted, survivor bias free data. It isn't cheap however. You'll still need to go elsewhere for the SEC filings though.
- kal00ma 14y agoI've been working on a similar strategy after having read Nejat's book: http://www.amazon.com/Investment-Intelligence-Insider-Trading-Seyhun/dp/0262692341 http://www.amazon.com/Investment-Intelligence-Insider-Tradin... The plan is to derive trading signals from insider purchase data while taking into account the insider's relative risk-aversion (estimated from age, salary, sex). At this point I'm just trying to recreate Nejat's results. Data-quality seems to be an issue (stock splits aren't recorded in the yahoo data). If you would like to collaborate or trade ideas message kal00ma on reddit.
- deleted 14y ago[deleted]