Historical Market Data Database
Keith
I have some comments/suggestions on historical market data
databases. Unfortunately (and incredibly) there is no existing
financial website that offers even the basic database necessary to
perform rudimentary research of our investing strategies. The
historical database should:
- Be free of "survivorship bias": The database should contain
discontinued instruments/delisted equities etc and *not* just what is
currently available/tradeable today. If my investing strategy has a
high chance of choosing companies that go out of business for example,
I would at least like to be able to research this possibility on my
chosen financial website before I "go live" with real money.
- Time series of fundamental/data. *Not* just the latest current
snapshot. How to research an investing strategy to see how it might
have performed in the past, if all we have is the current snapshot of
fundamental data!? If my investment strategy selects from the stocks of
an Index like S&P500, I would like to be able to see and test with the
stocks that made up the S&P500 10 years ago, and not just what they are
today (See Survivorship bias point above).
- Time series fundamental data needs to be timestamped and reflect
exactly when and what the information was when it was first released to
the public. If we are trying to investigate how our investment
strategy would have performed in the past before we go live with it in
the future, then we need to back test with the historical information
as it was available... and *not* values that have been back adjusted to
the "correct" value in hindsight.
- Long History, at least 20-30 years where possible - needed to test
investment ideas through all market types, both secular bull an bear.
Seemingly simple tips for a correctly implemented and useful historical
market data database. Unfortunately nobody else offering financial
websites have done it right despite professionals being well aware of
how important these simple tips are for implementing a decent
historical database. Its so bad that I suspect that its deliberate.
Fingers crossed that Google does things right with their historical
market data database, and not just follow the financial website crowd
so we small investors have a financial service that is head and
shoulders above the rest :)!
--
Keith
Keith
Here is an example: http://finance.google.com/finance?q=siebel+systems
Bought by Oracle, now an "Inactive" ticker SEBL.
However there is no way to see an official recognisation of this on
google finance, for example in the Company Facts section.
Even when it is marked as "(Inactive)" in google finance, there is no
info showing who where why and how (unless there by chance happens to
be a news article reference, but since many of the news links don´t
work when a ticker is deleted it is not much help, especially for older
inactive stocks).
Also need daily dated lists to show what has been aquired by what, or
gone out of business etc etc. Need ways to keep tabs on the historical
context, please!