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Hi all, just wanted to share this with the broader forums, since I assume many are like me in that they don't often peruse the data issues section.
In short, I am concerned that any time you use “HasFundamentals” filter in universe selection, you are subjecting yourself to meaningful survivorship bias.
At least a handful of takeover targets from ~2015-2020 (no longer trade) do not have fundamental data (they have price data… just no fundamental data). I hope I am incorrect (and hopefully someone can shed some light on why I'm having issues) but wanted to get the conversation going. If I am correct here, it makes QuantConnect unusable for any sort of cross sectional equities factor investing. Please see the attached issue link for more detail.
Tom M
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