Trading tools and strategies
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When a Ticker drops from the database, special adjustment in P&L/CAGR calculations
Posted November 11th, 2007 by mariopapas
Every now and then tickers drop from the Backtesting Database, mainly due to M&A or Re-Structuring, Re-Financing activities by the companies.
The Backtester does not know the last closing price of the stock when a ticker is dropped.
Currently Keelix assumes that the stock would have made 10% profit from the last price of the prior frequency period.
My recommendation is that the Backtester should have a new user-entered parameter which will guide the CAGR calculator how to handle such occurences.
For Instance a user may choose to penalize with a 4% charge based on the stock's last available price in the database. Then input parm will be "-4%"
While in other test scenarios the user may choose to promote the stock with a 6% "acquisition" premium. Then input parm will be "+6%".
What do you think, is it worth enhancing the software to accomodate the above idea ?
Excellent suggestion.
Excellent suggestion. Regarding the old backtester, if I remember correctly it assumes a return which amounts to 10% on a yearly basis. For a stock held for 30 days or similar, the return will typically be around 1/12th of that. In a future backtester release I will try to put in a user definable return for given tickers at given dates.
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