Backtest Survivorship Bias

[xtrader]

I have started to back test my trading strategies and recently came across the concept of 'Survivorship Bias'

I am interested to canvass the opinion of the more experienced trading system developers, whether Survivorship bias is a material consideration when back testing systems?

Secondly if so, where can i source a historic list of ASX index constituents

thanks and regards

xtrader

 

[tech/a]

I have started to back test my trading strategies and recently came across the concept of 'Survivorship Bias'

I am interested to canvass the opinion of the more experienced trading system developers, whether Survivorship bias is a material consideration when back testing systems?

Secondly if so, where can I source a historic list of ASX index constituents

thanks and regards

xtrader

If its a long term portfolio method then yes it could be an issue.

If your trading futures then no.

If your method risks in anyone trade less than 20 or so % of your total capital base then one bankruptcy or even 2 wont break you but will put a significant hole in your capital trading base.

Shorter term methods with high trade frequency are less likely to be impacted as much as their number of trades to recovery is likely to be quicker.

For ASX portfolios I think Richard at Premium data has all delisted stocks in his history.