historical constituents

[Anonymous]

just wondering about historical constituents in the alpha database.

if i run a backtest over historical constituents ($XJO for example) and don’t include a filter using IsIndexConstituent(“$XJO”), am i potentially including a stock that was not in the $XJO on a given day? OK it seems clear now the answer is probably yes.

also, is there a difference using IsIndexConstituent(“$XJO”) to IsIndexConstituent(“$XJO.asx”) if all my asx data has the suffix .asx?

darryl

[Nick Radge]

Quote:

if i run a backtest over historical constituents ($XJO for example) and don’t include a filter using IsIndexConstituent(“$XJO”), am i potentially including a stock that was not in the $XJO on a given day? OK it seems clear now the answer is probably yes.

You are correct. You’ll get any stock that was in the universe at some stage in the past and not at the specific point when it was.

Quote:

is there a difference using IsIndexConstituent(“$XJO”) to IsIndexConstituent(“$XJO.asx”) if all my asx data has the suffix .asx?

I believe you only use IsIndexConstituent(“$XJO”)

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