Consider look-ahead bias when optimising ticker pairs due to S&P 500 survival bias #18
Description
Summary
- How do we work around look-ahead bias?
- We'd be choosing amongst the top X current companies in the S&P 500, but this discounts companies that performed poorly within our date range and may have fallen outside of the top X within that timeframe
- Does it matter for a pairs trading strategy?
- Resources:
- https://www.reddit.com/r/algotrading/comments/adbkpb/how_to_get_list_of_sp_500_companies/
- https://www.reddit.com/r/algotrading/comments/mtgakn/free_api_to_get_up_to_date_list_of_all_sp_500/
- https://www.reddit.com/r/algotrading/comments/11rb44u/sp500_constituents_historical_list/
- https://github.com/datasets/s-and-p-500-companies
Related Issues
Originally mentioned in #14