Survivor Free Data

Hi guys,

I recently had a demo of Norgate Data which allows a depth of survivor free, clean data for backtesting strategies across the ASX, US, UK, Canada etc. They have plug in with a number of other vendors including AmiBroker. Was wondering if this is something Optuma would consider in terms of expanding its current offering for the purposes of backtesting data?

cheers

Mandeep

Hi Mandeep,

We have a large data review underway internally now - expansion of the surviorship data is a key factor.

No ETA at this stage.

All the best

Mathew

+1 for Norgate data. They also have extensive breadth data based on historical components. Some of it goes back to the last 1990s. They have historical constituents for $NDX, $SPX, $SML, $MID, $RUT and $RUI. There is a function in Amibroker that makes it easy to choose data settings when backtesting or charting: capital reconstructions, capital reconstructions and special dividends or capital recontructions, special dividends and ordinary dividends.

Has there been any follow up with this request?

Norgate has historical constituents for breadth on: DJIA, Nasdaq 100, S&P 100/500/400/600/1500 + Russell 1k/2k/3k Indices

For example, S&P 500 historical constituents goes back to 1957

We are compiling the data for this (but not back to 57!). We have the data in a format that we can import into our servers as soon as we have finished the data overhaul. The biggest issue we have had was the US equities which were downlisted into OTC. The last step we need to do is merge OTC into US Equities so that all the lifetime members are in that list. How far we go back depends on how reliable our historical data is.

Our initial focus is on making sure that we clean up the databases. Then we will add in all the survivorship bias data. Priority is a function of how many uses on each region. So the priority is:
Australia
US
India
Europe
Asia

I expect the whole project to run in parallel with other projects and take another year before we are completely done with it.

All the best

Mathew

Any updates to this?