Hi, I need to compile a database of the following information for backtesting, I'm happy to do the legwork pulling it in and compiling it etc. I'm just starting out with a zero budget so I'm really looking for free or cheap sources - maximum a couple of $100 1) Historical Price Data - Must include delisted symbols - Must be adjusted for splits and dividends - Must be clean enough to use The best I have found so far is the Quandl WIKI database. Yahoo is out because it doesn't include delisted. 2) Historic Index Constituents by Date - I want to be able to build a system that can lookup, by date, whether a symbol was in a specific index - Also the reverse, get a list of stocks in an index on a specific date - Must include delisted 3) Historic Market Cap (Plus others would be a bonus) - I want to be able to build a system that can lookup the Market Cap for a specific symbol on a specific date. - Must include delisted Can anyone point me in the right direction for any of the above? Thanks in advance for any information you can provide!
Hello, For your first question, I can recommend www.csidata.com which offers delisted stock history adjusted for splits and dividends and is exceptionally clean. Their pricing isn't too bad either. I don't think they have 2 and 3 right now though.
The index constituent is going to be the hardest to find. I haven't seen any reliable / retail affordable options besides using Norgate Premium Data with Amibroker. I personally don't use it and use IQFeed with amibroker but I know quite a few use Premium Data and their alpha program has a index constituent option. I don't think it's built for anything yet but Amibroker but perhaps it is, could shoot them an e-mail. Their data seems to be well received in the Amibroker community. Their delisted data is a little pricey but it's a one time fee. They seem reputable from what I've see and heard, and good data goes a long way in saving headaches, especially trying to manage index constituents and integrity of mergers, delistings,etc. As far as I remember the data is I. Meta stock format, easy to import into whatever your using usually. Csidata.com is another reputable source for data, but like the above poster they lack some of data your looking for. I've done quite a bit of research on data options and have never seen any with all those criteria, but then again the Internet is harder to filter out crap these days.
For the S&P 500 https://en.wikipedia.org/wiki/List_of_S&P_500_companies It is free, yet you have to compile the listing by yourself For the the rest of indexes you will have heavy trouble and it could be very expensive.
Hi All, Thanks so much for your replies! OK, so... #1 CSI - don't seem to offer delisted unless it's an extra "Premium" service (expensive, I guess). Norgate Data - This is looking interesting. Currently listed back to 1985 ($75), Delisted back to 1985 ($232) Total = $307USD - ok done (Thanks metamega!) Norgate Data ticks box #1. Bit more expensive that I wanted but allot more coverage. #2 / #3 Norgate do have their alpha program but you need to subscribe to daily updates. I'm not going to be doing that yet. Wikipedia doesn't really give enough historical info and to be honest I wouldn't trust it's accuracy. Market Capitalizations.com looks good but $79 for 1 index! I'd also want other indexes not just the s&p 500 It seems incredible to me that this data isn't available somewhere. Either in the form of by index or market cap by date. Even a historical fundamentals database should do it? Thanks for your input so far...any more ideas? There MUST be people backtesting with this info.
Hi Monito, Norgate Data offers historical data and trading system access to historical index constituents. The historical data access is not actually provided by lists but, rather, by a more useful time series indicator for each stocks that you can easily incorporate into a trading system. We have multiple subscription levels available, but you'll need a subscription at the Platinum level to get access to delisted stocks and historical index constituents: https://norgatedata.com/stockmarketpackages.php#usstocks Note that we don't provide historic market cap - only the current market cap. However, if all you're really seeking to do is to select a "market cap range" (such as mid caps, small caps, microcaps etc.) then perhaps all you need to do is check index membership against a given index (such as S&P MidCap 400). The indices we cover is detailed here: https://norgatedata.com/data-content-tables.php#ushics
You can get this data from algoseek. Their historical stock data is adjusted for splits, dividends, or other corporate actions.Plus, the data includes delisted symbols.