An Example of Survivorship Bias in Trend-following

Posted by Michael Harris on October 31, 2019

We estimate the survivorship bias in backtesting a simple but popular trading strategy for trend-following large cap stocks. We compare the results with survivorship bias to those that account for desisted stocks. Read the article with a Trend-Following subscription . . .

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Norgate Data survivorship bias

Michael Harris

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Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated performance results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Hypothetical trading results are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.

An Example of Survivorship Bias in Trend-following

Michael Harris

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An Example of Survivorship Bias in Trend-following

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Data Mining, “Momentum Monkeys”, and Survivorship-Free Data

Retail Stock Market Investors Do Not Need Macroeconomic Analysis

Equities Market: Trend-Following Or Momentum?

Subscribe by email

Subscribe and receive a free book

CFTC RULE 4.41

Copyright Notice

Categories