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It appears fundamental data might be lost for (some) delisted stocks.
I've been working on an algorithm that looks at fundamentals, a few weeks ago I saw the stock CTEK was getting some hits in my code occasionally so put in some extra log messages to track it.
CTEK was delisted on Sept 1st, and after coming back to my algorithm and running it again I now see that it is never being detected. Some debugging is showing me that fundamental data isn't available any more.
Has anyone else noticed anything like this? Is it a widespread occurrence? It implies a fairly worrying survivorship bias problem in any algorithm based on fundamentals.
Derek Melchin
Hi Rojito,
Normally, fundamental data isn't removed when a security is delisted. We've created this data issue to address the problem.
Best,
Derek Melchin
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Rojito
Thanks Derek!
Would it be possible to run a broader test against all delisted stocks to see if this a widespread problem or was isolated to CTEK?
Thanks!
Derek Melchin
Hi Rojito,
We will contact MorningStar regarding CTEK.
Thanks for the suggestion on the broader test, but since we don't know if a delisted security was part of their database to start with, our test would have a lot of false flags.
Best,
Derek Melchin
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Rojito
Thanks Derek,
If I am interpreting my own backtest logs correctly there definitely was fundamental data for CTEK from IPO through to around March 2019 when my backtest stopped.
I was able to track ttm revenue and ttm revenue change by accumulating quarterly reports, for example.
Kind regards,
Rojito
Derek Melchin
Hi Rojito,
MorningStar no longer has CTEK data in their database. We are waiting to hear back from them on whether survivorship bias affects the rest of their database.
Best,
Derek Melchin
Want to invest in QuantConnect as we build the Linux of quant finance? Checkout our Wefunder campaign to join the revolution.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Rojito
Thanks for following up with this one Derek!
Malik Stuart
Thanks for following up for this.Finding some unique similar ish issues myself.
A Stock like “PFGC” which has been listed, delisted, relisted, I don't seem to be able to get access to it's fundamental data from its original listing period in the 2000s to 2008.
I was having issues using a Coarse and Fine Fundamental trying to get that ticker and others into my universe, had to play around with. Was piping info to the log at the end of a run to analyze all of thisWith Fundamental Universe - {"SPY", "BCRX", "CGEN", "DVAX", "EWBC", "GERN", "GTXI", "HURN", "INO", "MBI", "NVAX", "PFG", "VNDA", "JAZZ", "ATHX", };
Without - {"SPY", "ABK", "ACHN", "AHG", "AMAG", "ANDS", "ANPI", "ASPM", "AVNR", "BCRX", "BSC", "CGEN", "CRME", "CTX", "CVTX", "CYPB", "DCTH", "DVAX", "ELX", "EWBC", "GERN", "GTXI", "HGSI", "HURN", "IMMU", "INO", "IPCS", "ISPH", "ITMN", "KERX", "MBI", "MNT", "NVAX", "PDGI", "PFG", "PFGC", "POZN", "RPRX", "SCRX", "SLXP", "SPSS", "STEC", "TSRA", "VG", "VNDA", "VVUS", "JAZZ", "MBRK", "ATHX", "CHLN", }
Louis Szeto
Hi Malik
Please refer to the method on getting delisted-relisted stock symbols in this thread.
Best
Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Rojito
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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