FLX8
- ago
I'd like to build my own Universe Dataset where the Listing and Delisting of Component Symbols are determined by myself.

Using the WealthData S&P500 as my template, I can see that there are Symbols where there is addition info appended to the name, for instance: AABA.20191002.A

Is this how Survivorship is determined in WL8?

I can see in the WD dataset that TSLA has no additional info in the name but I know it was not welcomed into the S&P until Dec 21, 2020.

Ideally, I'd like this implementation, as explained in this article:
"Norgate used the same solution that I previously built for in-house use. They used the same logic and it makes perfect sense to me. What they did was to make a custom RightEdge indicator. You provide this indicator with an index code, and it will then return 0 on any days where the stock wasn’t part of that index, and 1 for any day when it was a member. This indicator obviously works for graveyard stocks as well, which is vital.

Using this indicator, it’s really easy to implement the logic. Just make sure that you don’t allow any buy orders if this indicator is 0."

https://www.followingthetrend.com/2016/06/norgate-data-for-rightedge-review/

Thank you
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- ago
#1
QUOTE:
Is this how Survivorship is determined in WL8? I can see in the WD dataset that TSLA has no additional info in the name but I know it was not welcomed into the S&P until Dec 21, 2020.

The W-D convention on delisted symbol names can be found here: https://www.wealth-data.com/faq But you're right to assume that there's more than just the name. W-D maintains a history of corporate actions in an online database on its server. That's how a (non-delisted) stock like TSLA moves in and out of an index.

QUOTE:
I'd like to build my own Universe Dataset where the Listing and Delisting of Component Symbols are determined by myself.

Your starting point is the DataSet Provider API, section "Avoiding Survivorship Bias":
https://www.wealth-lab.com/Support/ExtensionApi/DataSetProvider
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