what is a Recent
Big AI writes:
from 2005 (may have been posted already):
Does Trend Following Work on Stocks?
Cole Wilcox, Managing Partner Director of Research & Trading Blackstar
Funds, LLC
Eric Crittenden, Blackstar Funds, LLC
https://www.cis.upenn.edu/~mkearns/finread/trend.pdf
Over the years many commodity trading advisors, proprietary traders,
and global macro hedge funds have successfully applied various trend
following methods to profitably trade in global futures markets. Very
little research, however, has been published regarding trend following
strategies applied to stocks. Is it reasonable to assume that trend
following works on futures but not stocks? We decided to put a long
only trend following strategy to the test by running it against a
comprehensive database of U.S. stocks that have been adjusted for
corporate actions. Delisted companies were included to account for
survivorship bias. Realistic transaction cost estimates (slippage &
commission) were applied. Liquidity filters were used to limit
hypothetical trading to only stocks that would have been liquid enough
to trade, at the time of the trade. Coverage included 24,000+
securities spanning 22 years. The empirical results strongly suggest
that trend following on stocks does offer a positive mathematical
expectancy, an essential building block of an effective investing or
trading system.
Jared Albert writes:
This is obviously the hardest(or most expensive) part of a study like this:
<<<Data Integrity Data Coverage The database used included 24,000+ individual securities from the NYSE, AMEX & NASDAQ exchanges. Coverage spanned from January-1983 to December-2004.
Survivorship bias The database used for this project included historical data for all stocks that were delisted at some point between 1983 and 2004. Slightly more than half of the database is comprised of delisted stocks.
Corporate actions All stock prices were proportionately back adjusted for corporate actions, including cash dividends, splits, mergers, spin-offs, stock dividends, reverse splits, etc. Realistic investable universe A minimum stock price filter was used to avoid penny stocks7 .
A minimum daily liquidity filter was used to avoid stocks that would not have been liquid enough to generate realistic historical results from. Both filters were evaluated for every stock and for every day of history in the database, mimicking how results would have appeared in real time.>>>
The data vendor they used has these prices listed:
PowerST will run on any Windows computer.
Cost:
The cost of PowerST is:
Initial Purchase: $25,000
Monthly Maintenance: $1,000
Calculation Engine Source Code: $100,000
Does anyone know of an economical source for at least merger and delisted data is accounted for:)?
This site has delisted symbols so long as they are not reused ex:http://www.eoddata.com/StockQuote/NYSE/LEH.htm