I noticed the following when I was checking the CompInd% indicator in IndexLab. I created three indicators with exact the same parameter but different dataset:
I noticed that the indicator values for all days are the same for the second one (NASDAQ 100 from WD) and the third one (Nasdaq 100 current only from Norgate). But for many date ranges the last one that uses Nasdaq 100 Current & Past has different values. This is interesting since NASDAQ 100 from WD and Nasdaq 100 Current & Past are dynamic dataset with delisted stocks and both have over 300 stocks. But Nasdaq 100 current only from Norgate only has 101 current listed N100 stocks. How could the indicator values for NASDAQ 100 from WD are exactly the same as Nasdaq 100 current only from Norgate?
Does IndexLab indicators calculate the point-in-time indicator values by considering the dynamic nature of NASDAQ 100 from WD and Nasdaq 100 Current & Past?. Another way to say it: are IndexLab indicators survivorship bias free if a survivorship bias free data is used as input?
CODE:
CompIndPctExtreme(bars,"Nasdaq 100;Norgate Data",2000,new ROC(bars.Close,20),"Above",10.00); CompIndPctExtreme(bars,"NASDAQ 100;WealthData",2000,new ROC(bars.Close,20),"Above",10.00); CompIndPctExtreme(bars,"Nasdaq 100 Current & Past;Norgate Data",2000,new ROC(bars.Close,20),"Above",10.00);
I noticed that the indicator values for all days are the same for the second one (NASDAQ 100 from WD) and the third one (Nasdaq 100 current only from Norgate). But for many date ranges the last one that uses Nasdaq 100 Current & Past has different values. This is interesting since NASDAQ 100 from WD and Nasdaq 100 Current & Past are dynamic dataset with delisted stocks and both have over 300 stocks. But Nasdaq 100 current only from Norgate only has 101 current listed N100 stocks. How could the indicator values for NASDAQ 100 from WD are exactly the same as Nasdaq 100 current only from Norgate?
Does IndexLab indicators calculate the point-in-time indicator values by considering the dynamic nature of NASDAQ 100 from WD and Nasdaq 100 Current & Past?. Another way to say it: are IndexLab indicators survivorship bias free if a survivorship bias free data is used as input?
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Answered 101 vs. 100: https://www.wealth-lab.com/Support/Faq
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Search the page for "Alphabet".
IndexLab DOES only use historically accurate constituents from dynamic DataSets.
@glitch: That's what I thought. But what confused me is that why the indicator values are all the same for Nasdaq 100 from WD and Nasdaq 100 (current only) from Norgate data? Since Nasdaq 100 (current only) from Norgate only contains current index components so the indicator values should be different a few years back?
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